The article analyzes the changing correlation between stocks and bonds, highlighting the shift from negative to positive post-COVID-19 and its implications...

This paper proposes an experiment to understand why investors tend to adjust their portfolios insufficiently in response to changes in their own forecasts...

This study introduces an extension of the Black-Litterman model that allows views to be applied to risk factors rather than individual assets.

In this study, we provide an overview of stock-bond correlation modeling.

This paper focuses on the optimal decumulation strategies for retirement solutions in those countries with a defined-contribution plan.

This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches.

Over ten trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand; most of these...

There is a large debate on the optimal degree of savings’ liquidity in retirement systems.

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of...

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most...

The objective of this article is to explore the impact of ESG Improvers on the corporate bond market.

In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define...

We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change.

After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008...

We analyze the portfolio choices of approximately 913,000 active participants in employee saving plans in France.