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.
20/02/2019 Portfolio Allocation Constrained Risk Budgeting Portfolios This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints.
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...