12/03/2025 Portfolio Allocation Rethinking the Stock-Bond Correlation The article analyzes the changing correlation between stocks and bonds, highlighting the shift from negative to positive post-COVID-19 and its implications...
4/10/2024 Portfolio Allocation Risk Factor, Risk Premium and Black-Litterman Model This study introduces an extension of the Black-Litterman model that allows views to be applied to risk factors rather than individual assets.
10/05/2024 Portfolio Allocation Stock-Bond Correlation: Theory & Empirical Results In this study, we provide an overview of stock-bond correlation modeling.
6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portf... 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...
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...
19/12/2019 Portfolio Allocation A Note on Portfolio Optimization with Quadratic Transaction ... 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.
20/02/2019 Portfolio Allocation Constrained Risk Budgeting Portfolios This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints.
19/06/2018 Portfolio Allocation Portfolio Allocation with skewness risk: A practical guide In this article, we show how to take into account skewness risk in portfolio allocation.