4/07/2024 Asset Pricing & Behavioural Finance Human-Robot Interactions in Investment Decisions This paper highlights the impact of human-robot interactions on investors' behaviour and risk-adjusted returns.
16/12/2014 Asset Pricing & Behavioural Finance Modelling Tail Risk in a Continuous Space Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.
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...
21/10/2014 Sustainable Finance Do Social Responsibility Screens Really Matter? A Comparison... On average, socially responsible (SR) funds have showed statistically similar performances to traditional funds. Does this mean SR screens make a negligible...
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.
15/08/2013 Asset Pricing & Behavioural Finance A Tale of Two Eurozones: Banks's Funding, Sovereign Risk & U... The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign...