15/09/2020 Sustainable Finance Retirement Savings: The Tax Issue Providing for retirement is a prominent motivation for saving.
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...
14/06/2016 Portfolio Allocation Asset Allocation under (one's own) Sovereign Default Risk The Greek drama of the late 2000s has returned sovereign risk awareness to centre stage.
14/01/2015 Asset Pricing & Behavioural Finance Option Pricing under Skewness and Kurtosis using a Cornish F... This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.
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.
