5/07/2016 Portfolio Allocation The Reactive Covariance Model and its implications The Reactive Covariance Model and its implications
23/06/2016 Portfolio Allocation On the stationarity of dynamic conditional correlation model... On the stationarity of dynamic conditional correlation models
16/12/2014 Asset Pricing & Behavioural Finance Modelling Tail Risk in a Continuous Space Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.
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.
15/04/2008 Portfolio Allocation Do Inflation-Linked Bonds Still Diversify? The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly.
