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

Abstract Markowitz (1959) mean-variance (MV) portfolio optimization has been the practical
standard for asset allocation and equity portfolio management for almost fifty years …

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 …

Volume I: Financial Markets and Instruments skillfully covers the general characteristics of
different asset classes, derivative instruments, the markets in which financial instruments …

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 …

Quantitative equity portfolio management combines theories and advanced techniques from
several disciplines, including financial economics, accounting, mathematics, and …

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 …

We examine the consequences of short selling in the context of quantitative investment
strategies held by individual investors in taxable accounts. Short positions not only allow …

Optimization of long–short portfolios through the use of fast algorithms takes advantage of
models of covariance to simplify the equations that determine optimality. Fast algorithms …

The paper's main objective is to predict bank stock performance one year ahead with a
composite efficiency metric from relative contextual financial analysis. We bring together …