Alternative index products often achieve improved performance at the cost of increased exposure to risk. In this study, we propose a portfolio tilting strategy that alleviates the risks inherent to alternative indices by projecting fundamental factors on risk factors to purge the influence of...

In the absence of market imperfections, the mutuality principle leads to efficient risk sharing and the Pareto optimal asset allocations. With market imperfections such as transaction costs and information asymmetry, risk-sharing becomes costly, and it can even lead to financial crises. We...

We use supervised machine learning to develop a financial sentiment dictionary from 3.1 million Chinese-language financial news articles. Our dictionary maps semantically similar words to a subset of human-expert generated financial sentiment words. In validation tests, our dictionary scores the...