In this paper we study the application of the Black-Litterman model to an active fixed-income portfolio management. We present a rigorous derivation of the model in a general setting and then move on to apply it to active management. We derive the characteristics of the fixed-income portfolio we...

This study investigates the relationship between operational efficiency and stock performance. The analysis is conducted by building an efficiency-based stock selection strategy and assessing its performance over different investment horizons in a contextual and empirical setting provided by the...

Risk-based asset allocation models have received considerable attention in recent years. This increased popularity is due in part to the difficulty in estimating expected returns as well as the financial crisis of 2008 which has helped reinforce the key role of risk in asset allocation. In this...