In this article, model predictive control is used to dynamically optimize an investment
portfolio and control drawdowns. The control is based on multi-period forecasts of the mean …

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal
portfolios, designing hedging strategies, and assessing risk. Most investors estimate the …

This book brings together the latest concepts and models in real-estate derivatives, the new
frontier in financial markets. The importance of real-estate derivatives in managing property …

In this paper, we propose three key requisites for practical multi-period portfolio selection
solutions that highlight the central challenges of managing portfolios across a multiperiod …

It is becoming increasingly common for investors to stratify portfolios into factors rather than
assets. This approach may be advantageous for a variety of reasons. For example, certain …

Volatility reduces any investment's compound rate of return in what is termed volatility drag,
a drawback of leveraged investment products (LIPs). In recent years “Version 2.0” LIPs that …

These lecture notes cover old and new investment methods, regulatory and legal
developments and the role of technology as a game changer in asset management. The …

Within the 14-year period ended December 31, 2013, the Equity Income Partners LP hedge
fund, managed by Envision Capital, ranked in the top quartile of the CISDM universe of …

The instability of risk is one of the most daunting challenges in forming optimal portfolios.
Investors typically attempt to improve risk estimates by compressing them toward a cross …

This thesis consists of three chapters, each of which explores separately the explanation,
prediction and application of the time-varying stock–bond correlation. In the first chapter …