Vol. 22, No. 2, 2024 by Andrew Ang, Henry Shen, Jeff Shen and Rui Zhao We develop a model of optimal asset allocation with a market that has the potential to decouple. There are three Markov regimes: a regime where the market remains fully investable, a second regime where the market may become potentially decouple… Read more
Second Quarter (2024)
Extreme Weather and Retirement Savings
Vol. 22, No. 2, 2024 by Ted Daverman, Joshua Kazdin, Michael Pensky and Fiona Sloof In this paper, we discuss the impact of extreme weather on US families with a specific focus on household finances. We first derive a life-cycle model of consumption, then introduce climate change-oriented consumption shocks as an additional expense which is… Read more
Night Moves: Is the Overnight Drift the Grandmother of all Market Anomalies?
Vol. 22, No. 2, 2024 by Victor Haghani, Vladimir Ragulin and Richard Dewey Our research in single name stocks suggests that retail trading likely explains the phenomenon of outsized overnight returns at both the level of the overall stock market, and that of individual stocks. We find that the effect exists at the index level… Read more
Full-Scale Currency Hedging
Vol. 22, No. 2, 2024 by Megan Czasonis, Mark Kritzman and David Turkington After years of spirited debate, most investors agree that to minimize the risk currencies add to a portfolio they should hedge its currency exposures based on its betas relative to the currencies to which it is exposed. However, this notion of hedging… Read more
AI Applications in Mass Customization: From Predictive Analytics to Generative AI.
Vol. 22, No. 2, 2024 by Seoyoung Kim “Case Studies” presents a case pertinent to contemporary issues and events in investment management. Insightful and provocative questions are posed at the end of each case to challenge the reader. Each case is an invitation to the critical thinking and pragmatic problem solving that are so fundamental… Read more
Book Review – The Great Demographic Reversal: Ageing Societies, Waning Inequality, and an Inflation Revival
Vol. 22, No. 2, 2024 by Mark Kritzman (Reviewed by Junming Cui) View PDF… Read more
Practitioner’s Digest
Vol. 22, No. 2, 2024 View PDF… Read more