19/01/2026 Portfolio Strategy Strategic Integration of Private Assets into Multi-Asset Allocations This study presents a practical framework for sizing private asset allocations and planning capital commitments from the perspective of a Multi-Asset...
18/11/2022 Portfolio Allocation Incorporating ESG Risk In Fundamental Market Risk Models This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches.
10/10/2022 Portfolio Allocation Capital Commitment Over ten trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand; most of these...
4/10/2022 Asset Pricing & Behavioural Finance Fast Filtering with Large Option Panels: Implications for As... The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models...
22/09/2022 Machine Learning & Artificial Intelligence Real-Time Macro Information and Bond Return Predictability: ... This paper proposes a weighted group neural network model and reexamines whether treasury bond returns are predictable when real-time, instead of fully-revised,...
19/09/2022 Sustainable Finance Altruism or Self-Interest? ESG and Participation in Employee... We ask how the ESG performance of firms affects the asset allocation of a large sample of French employees between their employer’s stock and alternative...
25/07/2022 Portfolio Allocation Precautionary Liquidity and Retirement Saving There is a large debate on the optimal degree of savings’ liquidity in retirement systems.