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.
3/06/2021 Portfolio Allocation Measuring and Pricing Cyclone-Related Physical Risk under Changing Climate We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change.
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...
13/01/2021 Portfolio Allocation Responsible Investing and Stock Allocation We analyze the portfolio choices of approximately 913,000 active participants in employee saving plans in France.
13/05/2020 Portfolio Allocation Did Globalization Kill Contagion? Does financial globalization lead to contagion? We scrutinize linkages between international stock markets in a long historical perspective (1880-2014)....
19/12/2019 Portfolio Allocation A Note on Portfolio Optimization with Quadratic Transaction Costs In this short note, we consider mean-variance optimized portfolios with transaction costs.
24/06/2019 Portfolio Allocation Factor Investing in Currency Markets: Does it Make Sense? The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.