9/11/2017 Portfolio Allocation Analysing the Exposure of Low-volatility Equity Strategies t... 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...
1/11/2017 Retirement Pension Funds Letter 3 - Shifting approaches from yield spec... Shifting approaches from yield spectrum to credit continuum
16/10/2017 Asset Pricing & Behavioural Finance Understanding the Momentum Risk Premium Momentum risk premium is one of the most important alternative risk premia. Since it is considered a market anomaly, it is not always well understood....
20/09/2017 Portfolio Allocation Portfolio optimisation in an uncertain world Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price...
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