Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and
extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

This paper formalizes the idea that more hedging instruments may destabilize markets when
traders have heterogeneous expectations and adapt their behavior according to …

Technological advances in telecommunications, securities exchanges, and algorithmic
trading have facilitated a host of new investment products that resemble theme-based …

Advances in financial technology have made tax-loss harvesting more feasible for retail
investors than such strategies were in the past. We evaluated the magnitude of this “tax …

We analyze the effects of the observed increased share of delegated capital for trading
strategies and equilibrium prices by introducing delegation into a standard Lucas exchange …

This book is about the policy regime that is being put in place in most jurisdictions in one
form or another to prevent a recurrence of the crisis that has engulfed the global economy …

We show that the introduction of a leverage constraint improves the practical implementation
of characteristics-based portfolios. The addition of the constraint leads to significantly lower …