Abstract We study the economic value of market timing in foreign exchange (FX) markets, that is, using information about conditional Sharpe ratio to adjust notional a conditionally mean–variance efficient currency portfolio. Our strategy trades more (less) aggressively when risk-return trade-off is favorable. This leads significant improvement out-of-sample unconditional ratio, skewness, and ma...

This study analyzes the behavior and performance of 353 investment newsletters that make asset allocation recommendations during a period covering more than 21 years (June 1980 — November 2001). Newsletters change their asset mix between equity and cash using relatively simple rules that are strongly influenced by past market returns while macro-economic variables have only a very weak influenc...

We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, constant maturity S&P 500 implied distributions are extracted and subsequently transformed to the corresponding risk-adjusted ones. Then, we form optimal portfolios consisting of a risky and a risk-free asset and ev...