Environmental change created worldwide interest in investing in renewable energy. Less
reliance on fossil fuels would have a substantial influence on investors for alternative …

Portfolio optimization has always been a challenging proposition in finance and
management. Portfolio optimization facilitates in selection of portfolios in a volatile market …

Since its original publication, Value at Risk has become the industry standard in risk
management. Now in its Third Edition, this international bestseller addresses the …

This paper provides an overview of the recent theoretical and empirical research on herd
behavior in financial markets. It looks at what precisely is meant by herding, the causes of …

We introduce a new measure of active portfolio management, Active Share, which
represents the share of portfolio holdings that differ from the benchmark index holdings. We …

This paper briefly describes recent papers on the economics of rational herding in financial
markets. Some models can predict perfect herding, in which rational agents all act alike …

The central message of this paper is that nobody should be using the sample covariance
matrix for the purpose of portfolio optimization. It contains estimation error of the kind most …

Contrary to basic finance principles, high-beta and high-volatility stocks have long
underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by …

We propose a new approach to detecting and measuring herding which is based on the
cross-sectional dispersion of the factor sensitivity of assets within a given market. This …

In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail
to meet practical investment goals of marketability, usability, and performance, prompting …