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Book
Optimization Methods in Finance
January 1, 2007
Modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice.
Perspective
Resisting the Siren Song of Factor Timing
April 15, 2016
It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.
Perspective
Resisting the Siren Song of Factor Timing
April 15, 2016
It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
Perspective
Risk Parity Derangement Syndrome
February 7, 2018
Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.
Perspective
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
Perspective
You Can Have Your Momentum Factor and Eat it Too
December 5, 2017
Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.
Working Paper
Asset Tangibility, Macroeconomic Risks and the Diversification Discount
April 3, 2014
Some research says that conglomerates trade at a discount relative to a comparable group of companies focused on single lines of business, because investors want to diversify. But we find the "diversification discount" varies, and delve into why here.
Journal Article
Predatory Trading
August 1, 2005
Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.
Journal Article
On the Distribution of Financial Futures Price Changes
September 1, 2004
Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.