5/12/2023 Portfolio Allocation Optimal Decumulation Strategies for Retirement Solutions This paper focuses on the optimal decumulation strategies for retirement solutions in those countries with a defined-contribution plan.
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.
10/10/2022 Portfolio Allocation Capital Commitment Over ten trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand; most of these...
25/07/2022 Portfolio Allocation Precautionary Liquidity and Retirement Saving There is a large debate on the optimal degree of savings’ liquidity in retirement systems.
6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization 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...
3/01/2022 Portfolio Allocation Portfolio Construction with Climate Risk Measures 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...
12/11/2021 Portfolio Allocation ESG Improvers in Credit Investing The objective of this article is to explore the impact of ESG Improvers on the corporate bond market.
30/06/2021 Portfolio Allocation Revisiting Quality Investing In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define...
3/06/2021 Portfolio Allocation Measuring and Pricing Cyclone-Related Physical Risk under Changing Climate We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change.
26/02/2021 Portfolio Allocation Understanding the Performance of the Equity Value Factor 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...
13/01/2021 Portfolio Allocation Responsible Investing and Stock Allocation We analyze the portfolio choices of approximately 913,000 active participants in employee saving plans in France.
13/05/2020 Portfolio Allocation Did Globalization Kill Contagion? Does financial globalization lead to contagion? We scrutinize linkages between international stock markets in a long historical perspective (1880-2014)....
19/12/2019 Portfolio Allocation A Note on Portfolio Optimization with Quadratic Transaction Costs In this short note, we consider mean-variance optimized portfolios with transaction costs.
24/06/2019 Portfolio Allocation Factor Investing in Currency Markets: Does it Make Sense? The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.
26/03/2019 Portfolio Allocation Optimal Allocation in the S&P 600 under Size-Driven Illiquidity A number of empirical studies have investigated how mutual funds do react to incoming financial resources.