Academic research on trend-following investing has almost exclusively been focused on testing the profitability of various trading rules. However, all existing trend-following rules are ad-hoc rules whose optimality has never been justified theoretically. The goal of this paper is to fill this...

DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds...

Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper aims to fill these gaps in the literature. We begin this...