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Portfolio choice, asset allocation, investment management
mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
cross section of stock returns, trading diversification, factor zoo
Anomalies, out of sample performance, Risk, transaction costs
Active asset management; mutual-fund performance; mutual-fund misallocation; machine learning; tradable strategies; nonlinearities and interactions.
Factor timing, transaction costs, estimation error, factor risk-return tradeoff, factor price of risk.
Cross-section of asset returns, portfolio sorts, principal component analysis, shape restrictions, factor identification, latent factors, moment restrictions
Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments
out-of-sample performance, portfolio choice, Serial dependence, vector autoregression
Portfolio choice, minimum-variance portfolios, estimation error, robust statistics.
Portfolio choice, estimation error, shrinkage intensity, bootstrap
capacity of quantitative strategies, crowding, price impact.
capacity of quantitative strategies, Competition, price impact
trading costs, mean-variance utility, statistical test
Portfolio optimization, multiperiod utility, no-trade region, market impact.
estimation error, shrinkage portfolios, trading costs, out-of-sample performance
Portfolio choice, capital gains tax, optimization, nonlinear programming
product recalls, automotive industry, socially responsible operations, public policy
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