Economic cycles have been a crucial driver for financial markets, making regime-based dynamic asset allocation (DAA) a common practice in supporting optimal...

The most common models to assess asset returns are a linear combination of risk factors.

In this research, we show that variables from the Global Database of Events, Language and Tone (GDELT) convey significant informational content that can...

Understanding how artificial intelligence could help analyse the current state of the international situation in order to provide some projections on...

We study the introduction of robo-advising on a large representative sample of Employee Saving Plans.

These are days to be optimistic if you are an Asset Manager. And this is not just because the industry has been doing well and the fundamentals remain...

"Assessing the environmental, social, and governance (ESG) quality of an issuer is key for investment decisions, not only to take into account the sustainable...

We start by considering some of the key reasons behind the academic and industry interest in robo-advisors. We discuss how robo-advice could potentially...

Bond portfolio optimization is very different from equity portfolio optimization. Indeed, while continuous optimization is efficient when managing a portfolio...

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial...

Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient...

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore...

Robust Asset Allocation for Robo-Advisors

Parameter Learning, Sequential Model Selection, and Bond Return Predictability