People perceive emerging equity markets as extremely risky. It is suggested that this is not
true for a well-diversified global investor. In fact, modest investments in emerging markets are …

We propose and develop a scheduling system for a very special type of flow shop. This flow
shop processes a variety of jobs that are identical from a processing point of view. All jobs …

The management of global investment portfolios is a complex extension of single-country or
domestic fund management. Clearly currencies must be explicitly considered, and the …

The traditional asset allocation to equities and bonds is characterized by high volatility and
lacks sufficient diversification, particularly during periods of distress. The meltdown of 2001-…

In this paper we try to shed additional light on the question of integration or segmentation of
European equity markets by studying the statistical relevance of some intuitively appealing …

Portfolio managers often use factor models to forecast risk and exceptional return or “alpha.”
Many use risk models based on one set of factors and alpha models based on another, …

… during the financial crisis in the US Further comparing the UK and US markets, Barkham
and Geltner [1995] find greater price discovery in the UK In Suryanarayanan and Stefek [2011], …

There is a large literature devoted to understanding the importance of country and global
factors. Grinold, Rudd, and Stefek [1989], Heston and Rouwenhorst [1994], Griffin and Karolyi […

Traditional approaches of structuring policy portfolios for strategic asset allocation have not
provided the full potential of diversification. Portfolios based upon a 60/40 allocation between …

In a frictionless world, constructing index funds is a simple task. The set of assets underlying
the index is identified. A portfolio is constructed with exactly the same weights as the index. …