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The positive cash-return relation, previously found in the USA, is similarly present in international Europe, Australasia, and the Far East (EAFE) markets over the sample period 1990–2016. Across the 20 developed non-U.S. equity markets, high-cash firms outperform low-cash firms on average by...
Decentralized investment management can be defined as the practice of having multiple managers implement investment strategies across different asset categories. It has been common practice due the presence of alternative investments or other asset classes which require high levels of...
This paper presents new empirical evidence on the role of plan and sponsor characteristics in pension funds’ investment decisions. In this research, we analyzed the portfolio allocation of 182 Belgian pension funds over the period 2001–2015. The results indicate that larger pension funds and...
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into “alpha combos.” Simply put, we have developed a new method for trading alphas which does not involve...
The correlation structure across assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a position. Correlation alone is not informative on the distributional details of the assets. Recently introduced TEDAS—Tail Event Driven...
In this study, we empirically explore the implications of a non-standard mutual fund performance fee structure. This contract deviates from the designs recommended in previous literature, in that, it lacks a benchmark portfolio and fails to apply a high-performance fee component, making a timid...
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