Estimation of the Pareto tail index from extreme order statistics is an important problem in many settings. The upper tail of the distribution, where data are sparse, is typically fitted with a model, such as the Pareto model, from which quantities such as probabilities associated with extreme...

Market neutral funds are commonly advertised as alternative investments offering returns which are uncorrelated with the broad market. Utilizing recent advances in financial econometrics we demonstrate that constructing market (beta) neutral funds by standard forecasting methods is often very...

This paper investigates the mean-variance and diversification properties of risk-based strategies performed on style or basis portfolios. We show that the performance of these risk strategies is improved when performed on portfolios sorted on characteristics correlated with returns and is highly...