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...
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.
6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of...
3/01/2022 Portfolio Allocation Portfolio Construction with Climate Risk Measures Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most...
12/11/2021 Portfolio Allocation ESG Improvers in Credit Investing The objective of this article is to explore the impact of ESG Improvers on the corporate bond market.
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...