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...
15/06/2013 Portfolio Allocation Sovereign Wealth and Risk Management - A New Framework for O... This paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied...
14/06/2013 Asset Pricing & Behavioural Finance Cross-Hedging of Inflation Derivatives on Commodities: The I... According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout...
15/04/2013 Asset Pricing & Behavioural Finance Fundamental indexation for bond markets The standard indices available for the bond investment markets, are composed of securities that are weighed by the size of the outstanding debt, and are...
15/03/2013 Portfolio Allocation Low risk equity investments: Empirical evidence, theories, a... Financial theory assumes that higher risk is compensated on average by higher returns.
15/12/2012 Portfolio Allocation Swapping Headline for Core Inflation: An Asset Liability Man... Headline Inflation in the US has been shown to be mean reverting to Core Inflation at medium term, whilst at the same time the pass-through of commodity...
15/11/2012 Portfolio Allocation Alternative Inflation Hedging Portfolio Strategies: Going Fo... Gone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics.
15/10/2012 Asset Pricing & Behavioural Finance Market-implied inflation and growth rates adversely affected... The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions...