We introduce a theoretical model of the active fund management industry (AFMI) in which
performance and size depend on the AFMI's competitiveness (concentration). Under plausible …

Portfolio optimization often struggles in realistic out-of-sample contexts. We de-construct this
stylized fact, comparing historical forecasts of portfolio optimization inputs with subsequent …

To price assets with a parsimonious set of factor-mimicking portfolios, one typically identifies
and weights well-diversified basis portfolios. Traditional weightings lead to factor-mimicking …

Portfolio optimization often struggles in realistic out-of-sample contexts. We deconstruct this
stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent …

We introduce political tournament “participation/inclusion” games. Dominant strategies
determine whether players choose to compete by enhancing economic performance. Unique …

We develop an intertemporal asset pricing model where cash-flow news, discount-rate news,
and their second moments are priced by the market. This model generalizes the market-…

Factor-mimicking portfolios typically identify and weight well-diversified basis portfolios.
Improving weightings of the basis portfolios so that they are more closely related to the optimal …

We introduce an international active fund management industry model, in which competing
managers, each having heterogeneous incentives (effort productivities, costs), search for …

We examine seasonality in stock returns for non-US companies listed in the US (foreign
stocks). If the turn-of-the-year effect arises solely from sources related to the trading environment…

The short rate plays a fundamental role in a market economy: It helps firms evaluate projects
against their opportunity cost of capital, and it affects households’ ability to save for the …