The author derives expressions for the information ratio (IR) that can be expected from
directional market-timing strategies. The results hold as accurate approximations and lift the …

Investment managers often manage a portfolio with respect to a benchmark. Typically, they
use a mean‐variance optimization framework to maximize the information ratio of their …

This paper studies models in which active portfolio managers utilize conditioning information
unavailable to their clients to optimize performance relative to a benchmark. We derive …

This paper studies models in which active portfolio managers optimize performance relative
to a benchmark and utilize conditioning information unavailable to their clients. We provide …

In this paper, we propose a simple approach to for exploiting optimally the information
provided by technical analysis. Our optimal asset allocation strategy is easy to apply in …

In the classical discrete-time mean-variance context, a method for portfolio optimisation
using conditioning information was introduced in 2001 by Ferson and Siegel ([1]). The fact …

Full article: Geometry of unconditionally efficient portfolios formed with conditioning
information: the efficient semicircle Skip to Main Content Taylor and Francis Online …

Essays in empirical asset pricing and portfolio construction Page 1 Essays in empirical asset
pricing and portfolio construction Michael William Ashby Faculty of Economics This …

In the finance community there is a huge debate about whether or not active portfolio
managers can provide better returns than passive managers. While active managers often …