Active portfolio management is typically conducted within constraints that do not allow
managers to fully exploit their ability to forecast returns. Constraints on short positions and …

Full coverage of ETF investments from an expert in the field The initial edition of Gary
Gastineau's The Exchange-Traded Fund Manual was one of the first books to describe and …

Pairs trading is a popular speculation strategy. Several implementation methods are
proposed in the literature: they can be based on a distance criterion or on co-integration …

This paper develops a comprehensive framework to address uncertainty about the correct
factor model. Asset pricing inferences draw on a composite model that integrates over …

Pairs trading is a popular quantitative speculation strategy. This article proposes a general
and flexible framework for pairs selection. The method uses multiple return forecasts based …

Pairs trading is an speculative investment strategy based on relative mispricing between a
pair of stocks. Essentially, the strategy involves choosing a pair of stocks that historically …

This paper presents fast algorithms for calculating mean-variance efficient frontiers when the
investor can sell securities short as well as buy long, and when a factor and/or scenario …

We investigate two popular approaches to long-only style investing that are often considered
as potential starting points for smart beta investors: the “portfolio mix” that builds a style …

Of course, our proposal of an algorithm, or dynamic portfolio, as an index is a significant
departure from the norm. Existing indexes such as the S&P 500 are defined as baskets of …

Long–short strategies have generated controversy and institutional interest for more than 10
years. We analyzed the efficiency gains of long–short investing, where we defined efficiency …