For the past few years, the passive versus active debate has been characterized as a pitched battle between two sides. Upon closer inspection, however, some might recognize that this ongoing argument is far more nuanced than it appears at fi rst blush and actually involves multiple sides with somewhat vague allegiances. Among actively managed funds, for instance, two distinct camps have emerged...

The performance of active portfolio methods critically depends on the forecasting ability of the security analyst. The Treynor-Black model provides an efficient way of implementing active investment strategy. Despite its potential benefits, the Treynor-Black model appears to have had little impact on the financial community, mainly because it has been believed that the precision threshold of al...

Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to portfolio diversification using the information of searched items on Google Trends. The diversification is based on an idea that popularity of a stock measured by s...

This paper deals with a neural network architecture which establishes a portfolio management system similar to the Black / Litterman approach. This allocation scheme distributes funds across various securities or financial markets while simultaneously complying with specific allocation constraints which meet the requirements of an investor. The portfolio optimization algorithm is modeled by a f...

Design of investment portfolios is the most important activity in the management of mutual funds, retirement and pension funds, bank and insurance portfolio management. Such problems involve, first, choosing individual firms, industries, or industry groups that are expected to display strong performance in a competitive market, thus, leading to successful investments in the future; second, it a...

This paper develops a continuous-time model in which a portfolio manager is hired by a management company. Based on past portfolio returns, all agents update their beliefs about the manager’s skills. In response, investors can move capital into or out of the mutual fund, the portfolio manager can alter the risk of the portfolio and the management company can replace the manager. We examine the ...