30/06/2018 Asset Pricing & Behavioural Finance Systematic Longevity Risk: To Bear or to Insure? Systematic Longevity Risk: To Bear or to Insure?
19/05/2017 Portfolio Allocation Factor Investing: The Rocky Road from Long-Only to Long-Shor... This paper examines how restrictions on short positions affect the financial attractiveness of factor investing.
18/10/2016 Portfolio Allocation Factor-Based v. Industry-Based Asset Allocation: The Contest This paper organizes a multi-trial contest opposing factor investing and sector investing.
21/10/2014 Sustainable Finance Do Social Responsibility Screens Really Matter? A Comparison... On average, socially responsible (SR) funds have showed statistically similar performances to traditional funds. Does this mean SR screens make a negligible...
28/11/2013 Portfolio Allocation Optimal Asset Allocation for Sovereign Wealth Funds: Theory ... This paper addresses management of sovereign wealth from the perspective of the theory of contingent claims.
15/06/2013 Portfolio Allocation Sovereign Wealth and Risk Management - A New Framework for O... This paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied...
15/06/2012 Portfolio Allocation Inflation-Hedging Portfolios: Economic Regimes Matter The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility...
15/03/2012 Portfolio Allocation No contagion, only globalisation and flight to quality In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect...
15/01/2012 Portfolio Allocation Is the Market Portfolio Efficient? A New Test of Mean-Varian... The market portfolio efficiency remains controversial.
15/01/2012 Portfolio Allocation Volatility Strategies for Global and Country Specific Europe... Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors.
15/01/2012 Portfolio Allocation Inflation and Individual Equities We study the inflation hedging ability of individual stocks.