10/05/2024 Portfolio Allocation Stock-Bond Correlation: Theory & Empirical Results In this study, we provide an overview of stock-bond correlation modeling.
14/12/2018 Portfolio Allocation European asset -and mortgage- backed securities ten years on How do the European asset- and mortgage-backed securities fare today a decade after the financial crisis they have been incriminated in?
4/10/2018 Portfolio Allocation Tail Risk Adjusted Sharpe Ratio The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration...
19/06/2018 Portfolio Allocation Portfolio Allocation with skewness risk: A practical guide In this article, we show how to take into account skewness risk in portfolio allocation.
20/03/2018 Portfolio Allocation Illiquidity and investment decisions: a survey Investing in illiquid assets has become increasingly popular among individual and institutional investors.
9/11/2017 Portfolio Allocation Analysing the Exposure of Low-volatility Equity Strategies t... At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of...
20/09/2017 Portfolio Allocation Portfolio optimisation in an uncertain world Mean-variance efficient portfolios are optimal as Modern Portfolio Theory alleges, only if risk were foreseeable, that is under the hypothesis that price...