• Filter By
  • Topic (${ Topics.length })
  • Type (${ ContentTypes.length })
  • Contributor (${ Contributors.length })
Filter By







Close Clear Filters Apply

Showing 1 - 3 of 3 results

Sort By
  • Relevance
  • Newest
  • Oldest

Journal Article

Enhanced Portfolio Optimization

March 2, 2020 - Lasse H. Pedersen Abhilash Babu Ari Levine

We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative to standard benchmarks.

Journal Article

Trends Everywhere

May 15, 2019 - Abhilash Babu Ari Levine Yao Hua Ooi Lasse H. Pedersen Erik Stamelos

We provide new out-of-sample evidence on trend-following investing by studying its performance for 82 securities not previously examined and 16 long-short equity factors.

Journal Article

You Can't Always Trend When You Want

April 23, 2019 - Abhilash Babu Ari Levine Yao Hua Ooi Sarah Schroeder Erik Stamelos

We present a framework for understanding the drivers of trend-following returns and show that recent performance challenges are primarily due to muted moves across global markets rather than a change in trend following’s ability to translate market trends into profits.