Factor investing

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Discussion Paper 13.01.2020 ESG Investing in Recent Years: New Insights from Old Challenges
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This research is an update of the study that we published last year (Bennani et al., 2018) and that explored the impact of ESG investing

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Working Paper 19.12.2019 A Note on Portfolio Optimization with Quadratic Transaction Costs
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In this short note, we consider mean-variance optimized portfolios with transaction costs.

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Working Paper 2.10.2019 Machine Learning Optimization Algorithms & Portfolio Allocation
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Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient from a...

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Working Paper 30.09.2019 Forecasting Combination: An Application For Exchange Rates
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This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not.

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Working Paper 24.06.2019 Factor Investing in Currency Markets: Does it Make Sense?
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The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

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Working Paper 17.06.2019 Variance Premium, Downside Risk, and Expected Stock Returns
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We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large ...

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Working Paper 26.03.2019 Persistence and Skill in the Performance of Mutual Fund Families
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Prior research has shown that decisions made at fund family level can account for a substantial portion of the performance of the individual active fund manager...

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Working Paper 11.03.2019 Financial Applications of Gaussian Processes and Bayesian Optimization
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In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two method...

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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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