This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

A feasible asset allocation framework for the post 2008 financial world Asset allocation has
long been a cornerstone of prudent investment management; however, traditional allocation …

The process that led the world economy to the global financial crisis, as well as its explosion,
was accompanied by an unprecedented increase of prices in the commodity markets. The …

Following large positive returns in 2008, CTAs received increased attention and allocations
from institutional investors. Subsequent performance has been below its long term average …

Using a state-of-the-art Markov switching framework augmented by popular proxies of
arbitrage activity and investor sentiment, we reexamine the dynamics of stock momentum …

The aim of this paper is to propose an innovative score measuring the relative performance–
in terms of return–of an asset allocation with respect to the alternative allocations offered to …

This paper presents a novel theoretical framework to model the evolution of a dynamic
portfolio (ie, a portfolio whose weights vary over time), considering a given investment …

The credit crisis and the associated decline in equity markets has rekindled new interest in
option based equity collars and in protective strategies in general. In this paper we consider …

We provide a signal modality analysis to characterize and detect nonlinearity schemes in the
US Industrial Production Index time series. The analysis is achieved by using the recently …

In this article we present theoretical considerations and empirical evidence that the short-run
autoregressive behavior of commodity markets is not only driven by market fundamentals …