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.
5/12/2023 Portfolio Allocation Optimal Decumulation Strategies for Retirement Solutions This paper focuses on the optimal decumulation strategies for retirement solutions in those countries with a defined-contribution plan.
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...
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.