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Persistent link: https://www.econbiz.de/10009681080
We show that the probability of risk parity beating any other portfolio is more than 50 percent. We also prove that if portfolio performance is measured by Sharpe ratio, risk parity is the only maximin portfolio when (1) all assets' future Sharpe ratios are greater than an unknown constant and...
Persistent link: https://www.econbiz.de/10012905464
We show that the profitability of time-series momentum strategies on commodity futures across their entire history is strongly sensitive to the starting day. Using daily returns with 252-day formation periods and 21-day holding periods, the Sharpe ratio depends on whether one starts on the first...
Persistent link: https://www.econbiz.de/10012905851
We analyze a unique, comprehensive, multi-decade dataset of all communications with clients by a boutique investment advisory and investment management firm to explore the behavior of individuals involved in financial decision making. We propose and test a theory of self-regulation to explain...
Persistent link: https://www.econbiz.de/10012906029
We analyze a large and comprehensive play-by-play dataset of professional games in the National Basketball Association using tools from financial economics to explore the optimality of strategically idling resources in the face of uncertain future demand. We find that starters ought to be idled...
Persistent link: https://www.econbiz.de/10013115342
Persistent link: https://www.econbiz.de/10009693658
Does better performance lead to more assets? We examine nearly 30,000 mutual funds to determine the effect that a funds outperformance relative to its peers has on the funds later asset size. We find that a fund that earns ten percent more than the size-weighted average of its peers in its style...
Persistent link: https://www.econbiz.de/10012937956
Drawing on and extending an estate allocation algorithm of 12th century philosopher Moses ben Maimon, we show how “Maimonides Risk Parity” can link together the equal weighted, market capitalization weighted, and risk parity portfolios in a unified, elegant, and concise theoretical...
Persistent link: https://www.econbiz.de/10012973864