14/11/2024 Portfolio Allocation Return Predictability, Expectations, and Investments: Experimental Evidence This paper proposes an experiment to understand why investors tend to adjust their portfolios insufficiently in response to changes in their own forecasts...
30/06/2021 Portfolio Allocation Revisiting Quality Investing In the field of factor investing, quality is undoubtedly the equity factor with the weakest consensus. This research investigates the best way to define...
3/06/2021 Portfolio Allocation Measuring and Pricing Cyclone-Related Physical Risk under Ch... We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change.
18/05/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 2. Model... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first...
26/04/2021 Machine Learning & Artificial Intelligence Robo-Advising: Less AI and More XAI? We start by considering some of the key reasons behind the academic and industry interest in robo-advisors. We discuss how robo-advice could potentially...
24/03/2021 Machine Learning & Artificial Intelligence Bond Index Tracking with Genetic Algorithms Bond portfolio optimization is very different from equity portfolio optimization. Indeed, while continuous optimization is efficient when managing a portfolio...
26/02/2021 Portfolio Allocation Understanding the Performance of the Equity Value Factor After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008...