An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending
on both the degree of non-linearity of the instruments comprised in the …

For people working in finance, either in academia or in practice or in both, the combination
of ‘finance’ and ‘multiple criteria’ is not obvious. However, we believe that many of the tools …

We provide a proof that volatility weighting over time increases the Sharpe or Information
Ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher …

The use of portfolio rebalancing as a profitable strategy (or ‘volatility harvesting’) is a hot
topic. Indeed, it is interesting to know what the impact of periodic rebalancing is on the growth …

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 …

Trend rules are widely used to infer whether financial markets show an upward or downward
trend. By taking suitable long or short positions, one can profit from a continuation of these …

We consider two forms of volatility weighting (own volatility and underlying asset volatility)
applied to cross-sectional and time-series momentum strategies. We present some simple …

Ibbotson’s “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides
monthly US financial data series going back to as early as 1926. In this data set, the “default …

Within the finance literature there is an apparent gap between the inherent risk premium
ignorance of a risk parity approach on the one hand and the assumed risk premium …

We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to
the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation …