In this article, we propose a method of computing a smooth curve from observed forward
prices with settlement over a period. We consider the electricity market, where such …

This paper describes the construction of a financial stress index (FSI). Our index
incorporates the level, volatility and comovement of a variety of financial series, rather than a …

Portfolio management is moving toward a more f lexible approach that is capable of
capturing dynamics in risk and return expectations across an array of asset classes (Li and …

We believe that active quantitative portfolio management is on the verge of moving toward a
more flexible approach capable of capturing dynamics in risk and return expectations across …

This article presents several active strategies for combining value and momentum strategies
in a tactical asset allocation (TAA) framework. It refines the basic yield approach to valuation …

The authors propose a model of portfolio selection that adjusts an investor's portfolio
allocation in accordance with changing market conditions and liquidity environments. They …

Исследуются механизмы распространения финансовых шоков между странами.
Показано, что растущая финансовая интеграция, с одной стороны, становится …

This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws,
MPT assumes that returns are normally distributed, that correlations are linear and risks are …

This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws,
MPT assumes that returns are normally distributed; that correlations are linear; and that risks …

Оценка системного риска финансового сектора—относительно новое направление
экономической науки. В монографии представлен систематизированный подход к …