10/05/2024 Portfolio Allocation Stock-Bond Correlation: Theory & Empirical Results In this study, we provide an overview of stock-bond correlation modeling.
5/12/2023 Portfolio Allocation Optimal Decumulation Strategies for Retirement Solutions This paper focuses on the optimal decumulation strategies for retirement solutions in those countries with a defined-contribution plan.
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 Portf... 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...