Predictions of asset returns and volatilities are heavily discussed and analyzed in the finance research literature. In this paper, we compare linear and nonlinear predictions for stock- and bond index returns and their covariance matrix. We show in-sample and out-of-sample prediction accuracy...

With-profit life insurance contracts are designed with a return smoothing collective savings component sharing the investment risks amongst different generations of policyholders. We analyze the resulting implications from the point of view of a multi-asset mean-variance investor by evaluating...

In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy...