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- Victor DeMiguel, Lorenzo Garlappi, +16 authors Zhenyu Wang
- 2007

We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of the 14 models we evaluate across seven empirical datasets, none is consistently better than the 1/N rule in terms of Sharpe ratio, certainty-equivalent return, or turnover, which… (More)

- Bernard Dumas, Jeff Fleming, Robert Whaley
- CIFEr
- 1996

Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of… (More)

- Ravi Jagannathan, Tongshu Ma, +10 authors Jay Shanken
- 2002

Green and Hollifield (1992) argue that the presence of a dominant factor is why we observe extreme negative weights in mean-variance-efficient portfolios constructed using sample moments. In that case imposing no-shortsale constraints should hurt whereas empirical evidence is often to the contrary. We reconcile this apparent contradiction. We explain why… (More)

- Geert Bekaert, Campbell R. Harvey, Warren Bailey, Bernard Dumas, Wayne Ferson, Steve Grenadier
- 1999

We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration.… (More)

- Torben G. Andersen, Tim Bollerslev, +13 authors Ingrid Werner
- 2001

Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises… (More)

- Mark Schroder, Costis Skiadas, +5 authors Ravi Jagannathan
- 1999

We develop the utility gradient (or martingale) approach for computing portfolio and consumption plans that maximize stochastic differential utility (SDU), a continuous-time version of recursive utility due to D. Duffie and L. Epstein (1992, Econometrica 60, 3533394). We characterize the first-order conditions of optimality as a system of forwarddbackward… (More)

- FRANÇOIS LONGIN, Michael Brandt, Bernard Dumas, Paul Embrechts, Claudia Klüppelberg, Jérôme Legras
- 2000

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. Using " extreme value theory " to model the multivariate distribution tails, we derive the distribution of… (More)

- Michael W. Brandt, John H. Cochrane, +6 authors Paul Willen
- 2001

Exchange rates depreciate by the difference between domestic and foreign marginal utility growth. Exchange rates vary a lot, as much as 15% per year. However, equity premia imply that marginal utility growth varies much more, by at least 50% per year. Therefore, marginal utility growth must be highly correlated across countries: International risk sharing… (More)

- Suleyman Basak, Georgy Chabakauri, +4 authors Bernard Dumas
- 2007

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple structure that also inherits several conventional properties of… (More)

- Luca Benzoni, Pierre Collin-Dufresne, +13 authors Ravi Jagannathan
- 2007