This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
We provide a theoretical rationale for dealer objections to ex post transparency in over-the-counter markets. Disclosure of the terms of a transaction conveys information possessed by the dealer about the asset quality and reduces the dealer's rents when s ...
Real-time control systems (RTCSs) tolerate delay and crash faults by replicating the controller. Each replica computes and issues setpoints to actuators over a network that might drop or delay messages. Hence, the actuators might receive an inconsistent se ...
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...
Efficiency and energy consumption reduction are becoming a key issue in elevation applications. Energy Storage Systems (ESS) can play a significant role in this field, together with their associated Energy Management Strategy (EMS) to optimize the overall ...
Institute of Electrical and Electronics Engineers2014
Efficiency and energy consumption reduction are becoming a key issue in elevation applications. Energy Storage Systems (ESS) can play a significant role on this field, together with their associated Energy Management System (EMS) in order to optimize the o ...
Advisors often manage multiple versions of a fund. These "twins" have the same manager and similar performance but are sold to different investors with differing abilities to select and monitor managers. Comparing investor flows in retail and institutional ...
Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel (2010). We characterize the set of equilibria for this portfolio management game and show that there exists a unique Pareto optimal equili ...
We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...
In the computerized generation of human poses, it is important to take into account not only the active component of the torque, but also the ligaments and connective tissues which produce a passive torque at the limits of the joint range of motion. We pre ...
