10/05/2024 Portfolio Allocation Stock-Bond Correlation: Theory & Empirical Results In this study, we provide an overview of stock-bond correlation modeling.
18/11/2022 Portfolio Allocation Incorporating ESG Risk In Fundamental Market Risk Models This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches.
4/10/2018 Portfolio Allocation Tail Risk Adjusted Sharpe Ratio The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration...
19/06/2018 Portfolio Allocation Portfolio Allocation with skewness risk: A practical guide In this article, we show how to take into account skewness risk in portfolio allocation.
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.