In this article, we propose a method of computing a smooth curve from observed forward
prices with settlement over a period. We consider the electricity market, where such …

Moreira and Muir question the existence of a strong risk‐return trade‐off by showing that
investors can improve performance by reducing exposure to risk factors when their volatility …

To exploit return predictability via dynamic asset allocation, investors face the important
practical issue of how often to rebalance their portfolios. More frequent rebalancing uses …

Using idiosyncratic volatility as a proxy for arbitrage costs, the authors found that the highly
publicized accrual and asset growth anomalies exist because of high barriers to arbitrage …

Portfolio management is moving toward a more f lexible approach that is capable of
capturing dynamics in risk and return expectations across an array of asset classes (Li and …

This article presents several active strategies for combining value and momentum strategies
in a tactical asset allocation (TAA) framework. It refines the basic yield approach to valuation …

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Alpha factors are built to perform well over time, on average. There are instances when they
do not, and knowing these instances ex ante can be a significant source of added value for …

Research in corporate finance suffers from bounded rationality due to static modeling.
Adopting factor analysis, an unsupervised machine learning approach, and balance sheet …

The authors propose a model of portfolio selection that adjusts an investor's portfolio
allocation in accordance with changing market conditions and liquidity environments. They …