1/07/2017 Retirement Pension Funds Letter 2 Investors on both sides of the Atlantic, having been preoccupied for several months, now have clarity on several fronts.
1/06/2017 Machine Learning & Artificial Intelligence Parameter Learning, Sequential Model Selection, and Bond Ret... Parameter Learning, Sequential Model Selection, and Bond Return Predictability
19/05/2017 Portfolio Allocation Factor Investing: The Rocky Road from Long-Only to Long-Shor... This paper examines how restrictions on short positions affect the financial attractiveness of factor investing.
12/04/2017 Asset Pricing & Behavioural Finance Alternative Risk Premia: What Do We Know? The concept of alternative risk premia is an extension of the factor investing approach.
1/01/2017 Retirement Pension Funds Letter 1 We cannot say it is “breaking news”, nor a “tipping point”, but the obvious should still be stated: Pension funds are facing an everlasting challenging...
1/01/2017 Asset Pricing & Behavioural Finance Introducing gender in finance education in a European Busine... Introducing gender in finance education in a European Business School: lessons, recommendations and challenges
18/10/2016 Portfolio Allocation Factor-Based v. Industry-Based Asset Allocation: The Contest This paper organizes a multi-trial contest opposing factor investing and sector investing.
1/10/2016 Asset Pricing & Behavioural Finance Dynamics of Variance Risk Premia, Investors' Sentiment and R... Dynamics of Variance Risk Premia, Investors? Sentiment and Return Predictability
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
