This paper examines the impact of specification uncertainty on the performance of international mean-variance conditional asset allocation. This notion is defined as the uncertainty faced by the investor regarding the specification choices necessary to implement a conditional strategy. To assess...

This paper develops a simple technique that controls for "false discoveries", or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We...