I present closed-form analytical solutions to the active mean-variance portfolio management problem relative to a pre-specified benchmark subject to a budget constraint and a beta constraint. The imposition of the beta constraint makes the benchmark relevant to the portfolio problem. I provide...

I propose an exact finite sample test of the risk reduction of the global minimum variance (GMV) portfolio. The GMV test statistic has a straightforward geometric and portfolio interpretation and complements the celebrated GRS test in Gibbons, Ross and Shanken (1989). In practical applications,...

I propose a new finite sample mean-variance efficiency test based on the risk reduction of the global minimum variance (GMV) portfolio. The GMV test statistic has a straightforward geometric and portfolio interpretation and complements nicely the celebrated GRS test in Gibbons, Ross and Shanken...

I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark’s components. I consider two approaches: a sequential stepwise regression and another method based on factor models of security returns´ first and second moments. The first...

In this article, I propose an extension of the Treynor-Black model to a case where the investor is not fully invested in the stock market at the outset and there is no need to explicitly specify securities' expected returns. I derive explicit tangent portfolio weights based on a factor model of...

I propose a novel investment objective for portfolios fully invested in risky assets only. The new objective is based on achieving the highest possible excess return per unit of variance. The optimal portfolio is a linear combination of the tangent portfolio and the minimum variance portfolio...

I present evidence that a moving average (MA) trading strategy has a greater average return and skewness as well as a lower variance compared to buying and holding the underlying asset using monthly returns of value-weighted US decile portfolios sorted by market size, book-to-market, and...

A combination of simple moving average (MA) trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared to buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted...

I present evidence that a moving average (MA) trading strategy third order stochastically dominates buying and holding the underlying asset in a mean-variance-skewness sense using monthly returns of value-weighted decile portfolios sorted by market size, book-to-market cash-flow-to-price,...

I present evidence that a moving average (MA) trading strategy third order stochastically dominates buying and holding the underlying asset in a mean-variance-skewness sense using monthly returns of value-weighted decile portfolios sorted by market size, book-to-market cash-flow-to-price,...