Berk and van Binsbergen (2016) have shown that the Capital Asset Pricing Model (CAPM)
best represents the revealed preferences of any investor who can invest in mutual funds (ie, …

This paper introduces a Modified Hierarchical Risk Parity (" MHRP") approach that extends
the HRP approach by incorporating three intuitive elements commonly used by practitioners. …

This paper investigates risk premia in Chinese commodity markets by decomposing the returns
of commodity futures into spot and term premia following Szymanowska et al. (2014). We …

This paper uses machine learning techniques to investigate whether popular macroeconomic
or sentiment factors are better at predicting stock market returns. We find that although …

… This study uses the large scale simulation framework introduced in Molyboga and L’Ahelec
(2016) with 1,000 simulations for the out-of-sample period between January 1999 and June …

This article introduces a large scale simulation framework for evaluating hedge funds’
investments subject to the realistic constraints of institutional investors. The method is …

While much is known about the financialization of commodities, less is known about how to
profitably invest in commodities. We develop a four‐factor asset pricing model of commodity …

Standard tests for persistence in hedge fund performance are not consistent with investment
practices because they ignore performance reporting delay, overlook fund selection …

The asymmetric nature of performance-based compensation in hedge funds introduces a
moral hazard problem in which investors bear the negative consequences of fund managers' …

I show analytically that a volatility-targeted allocation methodology improves the risk-adjusted
performance of portfolios under a broad set of assumptions regarding the serial correlation …