That investors should diversify their portfolios is a core principle of modern finance. Yet there are some periods where diversification is undesirable. When the portfolio’s main growth engine performs well, investors prefer the opposite of diversification. An ideal complement to the growth...

The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most...

Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...