Portfolio instability and socially responsible investment: experiments with financial professionals and students
O Tatarnikova, S Duchene, P Sentis… - Journal of Economic …, 2023 - Elsevier
Efficiency of SRI portfolios is commonly assessed based on an inconclusive risk-return ratio.
We propose to approach the efficiency of portfolios with the notion of instability. Unstable …
We propose to approach the efficiency of portfolios with the notion of instability. Unstable …
Portfolio optimisation in an uncertain world
M de Jong - Journal of Asset Management, 2018 - Springer
Mean–variance efficient portfolios are optimal as modern portfolio theory alleges, only if risk
were foreseeable, which is under the hypothesis that price (co) variance is known with …
were foreseeable, which is under the hypothesis that price (co) variance is known with …
Multi-Asset Investing: Challenging the Industry Obsession with Alpha
E Basilico, T Johnsen, E Basilico, T Johnsen - Smart (er) Investing: How …, 2019 - Springer
For the asset management industry, the last decade is characterized by a strong focus on
the creation of “alpha” by various approaches (Gupta et al. 2016) and methodologies …
the creation of “alpha” by various approaches (Gupta et al. 2016) and methodologies …
Advances in Factor Replication
M Czasonis, M Kritzman, D Turkington - 2016 - papers.ssrn.com
Factor investing has gained widespread acceptance among institutional investors. Some
investors believe it is preferable to stratify the investment universe into factors to manage …
investors believe it is preferable to stratify the investment universe into factors to manage …