Active portfolio management is typically conducted within constraints that do not allow
managers to fully exploit their ability to forecast returns. Constraints on short positions and …

Full coverage of ETF investments from an expert in the field The initial edition of Gary
Gastineau's The Exchange-Traded Fund Manual was one of the first books to describe and …

Historically, commodity futures have had excess returns similar to those of equities. But what
should we expect in the future? The usual risk factors are unable to explain the time-series …

This paper extends the Treynor performance ratio for a single index to the case of multiple
indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key …

Of course, our proposal of an algorithm, or dynamic portfolio, as an index is a significant
departure from the norm. Existing indexes such as the S&P 500 are defined as baskets of …

Stochastic linear programming is a suitable numerical approach for solving practical asset-
liability management problems. In this paper, we consider a multi-stage setting under time …

Local communities have been identified as crucial actors in the diffusion of renewable
energy, considered one of the most important eco-innovations of our time. Anecdotal …

The study reported here empirically examined whether the alphas of hedge funds and those
of long-only portfolios present different distributions and are derived from different risk …

One of the underlying assumptions of the Fundamental Law of Active Management is that
the active risk of an active investment strategy equates estimated tracking error by a risk …

Smart-beta products have captured the interest of investors. But where do they fit in their
portfolios? The typical investor, who currently owns active and index products, should own …