Diversification

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Working Paper 26.03.2019 Optimal Allocation in the S&P 600 under Size-Driven Illiquidity
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A number of empirical studies have investigated how mutual funds do react to incoming financial resources.

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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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Discussion Paper 4.01.2018 Keep Up The Momentum
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The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium. However, it appears that it is not always well ...

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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 12.04.2017 Alternative Risk Premia: What Do We Know?
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The concept of alternative risk premia is an extension of the factor investing approach.

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Working Paper 17.12.2015 Towards Greater Diversification in Central Bank Reserves
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Working Paper 15.03.2012 No contagion, only globalisation and flight to quality
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In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to ...

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