5/07/2016 Portfolio Allocation The Reactive Covariance Model and its implications The Reactive Covariance Model and its implications
23/06/2016 Portfolio Allocation On the stationarity of dynamic conditional correlation model... On the stationarity of dynamic conditional correlation models
14/06/2016 Portfolio Allocation Asset Allocation under (one's own) Sovereign Default Risk The Greek drama of the late 2000s has returned sovereign risk awareness to centre stage.
6/06/2016 Portfolio Allocation Designing a corporate bond index on solvency criteria Doubts are rising whether bond indices, in the way they are constructed, are effective in their role of representing the markets they are designed for.
25/06/2015 Portfolio Allocation The asset- and mortgage-backed securities market in Europe How do European asset- and mortgage-backed securities fare today five years after the 2008 crisis they have been incriminated in?
1/12/2014 Portfolio Allocation Portfolio Capital Flows: A Simple Coincident Indicator for E... The scarcity of up-to-date data is a meaningful constraint in the analysis of capital flows, especially for Emerging Markets.
3/11/2014 Portfolio Allocation The art of tracking corporate bond portfolios The corporate bond indices, built by market index providers to serve as investment benchmarks, contain a great many securities, and are for that reason...
28/11/2013 Portfolio Allocation Optimal Asset Allocation for Sovereign Wealth Funds: Theory ... This paper addresses management of sovereign wealth from the perspective of the theory of contingent claims.
15/06/2013 Portfolio Allocation Sovereign Wealth and Risk Management - A New Framework for O... This paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied...
15/03/2013 Portfolio Allocation Low risk equity investments: Empirical evidence, theories, a... Financial theory assumes that higher risk is compensated on average by higher returns.
15/12/2012 Portfolio Allocation Swapping Headline for Core Inflation: An Asset Liability Man... Headline Inflation in the US has been shown to be mean reverting to Core Inflation at medium term, whilst at the same time the pass-through of commodity...
15/11/2012 Portfolio Allocation Alternative Inflation Hedging Portfolio Strategies: Going Fo... Gone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics.