This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

This paper develops useful theory of arbitrage and risk arbitrage. It describes a prize winning successful risk arbitrage involving Nikkei put warrants trading on the Toronto and American stock exchanges. The paper describes the various types of contracts and how the risk arbitrage was traded...

This paper categorizes investors into five groups. They are: efficient markets, risk premium, genius superior traders, rejectors of efficient market theory and those who use research to make superior risk adjusted returns. Successful investment involves estimation and optimization and these are...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Pension funds typically suggest the 60-40 stock-bond rule to lower risk as during stock market declines bonds tend to rise. However, US investment returns have been presidential party dependent; and returns in the last two years of all administrations exceed those in the first two years. The...

AbstractThe following sections are included:The January effectCommodity trading: investing in the January small cap effect in the index futures marketsConclusion

AbstractAs I write on Sunday November 22, 2010, this I am watching the TV analysts discuss this controversial decision on Sunday, November 15. They are all ex-National Football League star players with an announcer. Their analysis is seat of the pants. But is that the right way to analyze...

AbstractThe following sections are included:Types of sovereign fundsIs there a common asset allocation for pension funds?Sovereign Pension funds and International Capital MarketsGovernance Issues of public pension fundsIntergenerational borrowingRegional TrendsAsiaMiddle EastEuropeConclusion

AbstractWe know that on average the typical mutual fund does not beat the market. The evidence is that professional managers all over the world have a hard time beating the market averages. In a given year, only about 25% to 40% of managers actually beat a buy-and-hold strategy of holding the...

AbstractThe following sections are included:Predictive Ability of the Bond-Stock Earnings Yield Difference Model