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Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...
The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...
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 introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population dis ...
In engineering education, laboratories represent an important academic resource as they provide practical training in addition to the fundamental theories. However, the acquisition of new machinery and the maintenance of the equipment imply a large investm ...
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 ...
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...
The industrial sector has a large presence in world energy consumption and CO2 emissions, which has made it one of the focal points for energy and resource efficiency studies. However, large investments are required to retrofit existing industrial plants, ...
This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...
Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...
