We employ the generalized forecast error variance decomposition based on the vector
autoregression model to investigate factors' volatility spillovers. Furthermore, we investigate …

The literature on cross-sectional stock return predictability has documented over 450 factors.
We take the perspective of an institutional investor and navigate this zoo of factors by …

The role of factors in macro investing has come into question after mediocre performance
during the past decade. In this article, the authors confirm this decline in profitability and …

In this article, the authors investigate the ability of currency carry strategies to mitigate the US-
dollar risk of US and global bond benchmark indices. Using the Fama-French and currency …

Without considering the underlying risk dynamics and jumps, Wu and Zhu (2016) recently
proposed an ingenious approach of hedging options statically with an option portfolio. We …

We propose a framework for optimal currency allocations taken relative to a strategic
benchmark, which may build in existing hedging positions. We determine optimal currency …