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Factor based commodity investing

Author(s) :
Athanasios Sakkas, NikolaosTessaromatis
Journal of Banking & Finance, Volume 115, June 2020  

Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods

Author(s) :
Marie Lambert, Boris Fays, Georges Hübner
Journal of Banking & Finance, Volume 114, May 2020  

Securing Replacement Income with Goal-Based Retirement Investing Strategies

Author(s) :
Lionel Martellini, Vincent Milhau, John Mulvey
The Journal of Retirement, Vol. 7, Issue 4, Spring 2020  

Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective

Author(s) :
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management, Multi-Asset Special Issue, Vol. 46, Issue 6, June 2020   

Harvesting Macroeconomic Risk Premia

Author(s) :
Kyriakos Chousakos and Daniel Giamouridis
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020  

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

Author(s) :
Riccardo Rebonato, Ivan Saroka, Vlad Putiatyn
International Journal of Theoretical and Applied Finance, Vol. 24 N° 7 pp. 1 - 36, March 2020  

Measuring Portfolio Rebalancing Benefits in Equity Markets

Author(s) :
Jean-Michel Maeso, Lionel Martellini
The Journal of Portfolio Management, Vol. 46, Issue 4, March 2020  

Value by Design?

Author(s) :
Stephan Kessler, Bernd Scherer and Jan Philipp Harries
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Author(s) :
Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato
The Journal of Portfolio Management, Vol. 46, Issue 2, Quantitative Special Issue 2020    

Rich Pickings? Risk, Return, and Skill in Household Wealth

Author(s) :
Laurent Calvet
American Economic Review, December 2019  

What Does Today’s Smile Imply About Future Volatilities?

Author(s) :
Riccardo Rebonato
The Journal of Derivatives, Vol. 27, Issue 2, Winter 2019    

Defining and Exploiting Value in US Treasury Bonds

Author(s) :
Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato
The Journal of Fixed Income, Vol. 29, Issue 2, Fall 2019    

Adaptive Portfolios and the Power of Diversification

Author(s) :
Jürgen Vandenbroucke
The Journal of Investing, Vol. 28, Issue 5, August 2019

"Flexicure" Retirement Solutions: A Part of the Answer to the Pensions Crisis?"

Author(s) :
Lionel Martellini, Vincent Milhau, John Mulvey
The Journal of Portfolio Management, Volume 45, Number 5, July 2019   

Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees

Author(s) :
Georges Hübner, Marie Lambert
The Journal of Portfolio Management, Vol. 45, Issue 4, April 2019    

Quanto Option Pricing with Lévy Models

Author(s) :
Hasan A. Fallahgoul, Young S. Kim, Frank J. Fabozzi, Jiho Park
Computational Economics, March 2019, Volume 53, Issue 3, pp 1279–1308

A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits

Author(s) :
John M. Mulvey, Lionel Martellini, Han Hao and Nongchao Li
The Journal of Portfolio Management, Vol. 45, Issue 3 Quantitative Special Issue 2019

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Author(s) :
Nick Baltas, Bernd Scherer
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104 In this article, the authors attempt to get...

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Author(s) :
Harjoat Bhamra, Raman Uppal
American Economic Review

The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence

Author(s) :
Emory E. Ruscus, Frank J. Fabozzi, Glenn Schultz
The Journal of Fixed Income, Winter 2019, Vol. 28 N° 3 pp. 55 - 67  

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