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Working Paper 11.03.2019 Traditional and Alternative Factors in Investment Grade Corporate Bond...
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While the concept of factor investing has gained significant traction since the 2000s with the consequence of altering the landscape of equity investing, factor...

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Working Paper 14.12.2018 European asset -and mortgage- backed securities ten years on
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How do the European asset- and mortgage-backed securities fare today a decade after the financial crisis they have been incriminated in?

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Working Paper 20.09.2017 Portfolio optimisation in an uncertain world
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Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price (co)va...

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Working Paper 15.11.2015 A fundamental bond index including solvency criteria
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Working Paper 25.06.2015 The asset- and mortgage-backed securities market in Europe

How do European asset- and mortgage-backed securities fare today five years after the 2008 crisis they have been incriminated in?

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Working Paper 3.11.2014 The art of tracking corporate bond portfolios

The corporate bond indices, built by market index providers to serve as investment benchmarks, contain a great many securities, and are for that reason difficul...

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Working Paper 15.04.2013 Fundamental indexation for bond markets
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The standard indices available for the bond investment markets, are composed of securities that are weighed by the size of the outstanding debt, and are for tha...

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Working Paper 15.10.2012 Market-implied inflation and growth rates adversely affected by the Br...

The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions...

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