Does financial globalization lead to contagion? We scrutinize linkages between international stock markets in a long historical perspective (1880-2014)....

In this short note, we consider mean-variance optimized portfolios with transaction costs.

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

A number of empirical studies have investigated how mutual funds do react to incoming financial resources.

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...

While the concept of factor investing has gained significant traction since the 2000s with the consequence of altering the landscape of equity investing,...

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints.

How do the European asset- and mortgage-backed securities fare today a decade after the financial crisis they have been incriminated in?

The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration...

In this article, we show how to take into account skewness risk in portfolio allocation.

Investing in illiquid assets has become increasingly popular among individual and institutional investors.

At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of...

Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price...

This paper examines how restrictions on short positions affect the financial attractiveness of factor investing.

This paper organizes a multi-trial contest opposing factor investing and sector investing.