In this paper we develop a passive strategy to improve index investing, which we call the correlation diversified portfolio strategy. The proposed method adjusts the weight vector of the original ...

Welcome to the second issue of the tenth volume of The Journal of Investment Strategies. In this issue you will find three papers: “Correlation diversified passive portfolio strategy based on ...

The parity-identification problem fits naturally into this landscape. Parity is a global property, insensitive to most local details. In this respect, it resembles many other quantities studied in ...