4/11/2026 Portfolio Allocation Optimal Decumulation: Annuitization, Drawdown, and the Flex-to-Fix Strategy We study the optimal decumulation of retirement wealth under longevity and market risk.
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 ... 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.
26/03/2019 Portfolio Allocation Optimal Allocation in the S&P 600 under Size-Driven Illiquid... A number of empirical studies have investigated how mutual funds do react to incoming financial resources.
26/03/2019 Portfolio Allocation Persistence and Skill in the Performance of Mutual Fund Fami... Prior research has shown that decisions made at fund family level can account for a substantial portion of the performance of the individual active fund...
11/03/2019 Portfolio Allocation Traditional and Alternative Factors in Investment Grade Corp... While the concept of factor investing has gained significant traction since the 2000s with the consequence of altering the landscape of equity investing,...