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
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.
