This article presents several active strategies for combining value and momentum strategies
in a tactical asset allocation (TAA) framework. It refines the basic yield approach to valuation …

… To assist in writing an investment policy statement for Georgetown, in 2004, Larry Kochard,
coauthor of this book, surveyed approaches to decision making and asset allocation at 22 …

… Wake Epps, Kristin Fink, Chris Otrok, Larry Kochard, participants at the University of Virginia
finance research seminar, Chris Mitchell, and an anonymous referee for valuable comments …

… Larry Kochard best describes the value of writing and … work in the hedge fund industry—Larry
on the investor side and I … for becoming top performers, until Larry Kochard and I wrote the …

… In addition, I am grateful for the advice and encouragement of Larry Kochard, the CEO/CIO
of UVIMCO. Finally, I thank my family, Susan, Jessica, and Rachel, for their constant support …

… I would also like to thank the other members of my committee, Jinill Kim and Larry Kochard.
Additionally, I have received valuable comments from Bob Chirinko, and seminar participants …

… when I did not add the value I promised; Larry Kochard, for his comment about dis-intermediating
the asset management business; Paul Fahey, for taking the pains to show how this …

Pricing path-dependent American options is difficult since the number of paths through a
binomial tree grow exponentially with the number of binomial periods. In practice even …

The authors build on traditional mean-variance optimization with a quantitative framework
for combining the best of science and judgment in selecting an asset allocation for long-…

… We differ to Wang and Kochard's [2012] approach by using the rolling window instead of
using the historical data available until time t for the mean and standard deviation . By using …