We consider the problem of the statistical uncertainty of the correlation matrix in the
optimization of a financial portfolio. By assuming idealized conditions of perfect forecast …

Several attempts have been made to reduce the impact of estimation errors on the optimal
portfolio composition. On the one hand, improved estimators of the necessary moments …

We create a simulated financial market and examine the effect of different levels of active
and passive investment on fundamental market efficiency. In our simulated market, active …

Socially conscious individual investors face a host of challenges, not least of which are a
stock buy list screened by environmental, social, and governance (ESG) criteria, and …

Traditional portfolio optimization has often been criticized for not taking estimation risk into
account. Estimation risk is mainly driven by the parameter uncertainty regarding the …

Estimation risk is known to have a huge impact on mean/variance optimized portfolios,
which is one of the primary reasons to make standard Markowitz optimization unfeasible in …

Implementing sector rotation strategies with a set of low-frequency economic measures, the
authors construct long-only sector exchange traded fund (ETF) portfolios that respond …

We examine the effects of including timberland, farmland and commercial real estate in a
mixed asset portfolio with stocks, government bonds and T-Bills. Using both smoothed and …

Mean-variance optimization often leads to unreasonable asset allocations. This problem has
forced scholars and practitioners alike to introduce portfolio constraints. The scope of our …

Since the onset of the Great Recession in 2008, the practice of tactical asset allocation has
received increased interest from practitioners. Though commonly used in conjunction with …