Asset allocation ≈ Asset allocation
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The Matthew effect in science funding Open
Significance Why do scientists with similar backgrounds and abilities often end up achieving very different degrees of success? A classic explanation is that academic achievement exhibits a “Matthew effect”: Early successes increase future…
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Pension Fund Asset Allocation and Liability Discount Rates Open
The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing publi…
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Efficiently Inefficient Markets for Assets and Asset Management Open
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset mana…
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Reinforcement-Learning Based Portfolio Management with Augmented Asset Movement Prediction States Open
Portfolio management (PM) is a fundamental financial planning task that aims to achieve investment goals such as maximal profits or minimal risks. Its decision process involves continuous derivation of valuable information from various dat…
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Robo Advisors: quantitative methods inside the robots Open
Robo Advisors (RAs) are perhaps the most important disruptive trend in wealth and asset management today. There is an immense amount of information about RA systems, but still little is known about the core portfolio optimization and asset…
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Asset Allocation in Bankruptcy Open
This paper investigates the consequences of liquidation and reorganization on the allocation and subsequent utilization of assets in bankruptcy. Using the random assignment of judges to bankruptcy cases as a natural experiment that forces …
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Macro Asset Allocation with Social Impact Investments Open
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribu…
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Application of Robust Statistics to Asset Allocation Models Open
Many strategies for asset allocation involve the computation of the expected value and the covariance matrix of the returns of financial instruments. How much of each instrument to own is determined by an attempt to minimize risk — the var…
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Commercial Real Estate as an Asset Class Open
We survey the properties of commercial real estate (CRE) as an asset class. We first illustrate its importance relative to the US economy and to other asset classes. We then discuss CRE ownership patterns over time. While the academic lite…
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Non-fungible Tokens as an Alternative Investment – Evidence from CryptoPunks Open
The Non-Fungible Token (NFT) market has experienced extraordinary growth since the beginning of 2021. This has attracted attention from investors who are seeking alternative investments. However, the investment performance of the NFT marke…
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How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature Open
Using extensive and comprehensive databases to select a subset of research papers, we aim to critically analyze previous empirical studies to identify certain patterns in determining the optimal number of stocks in well-diversified portfol…
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Size bias in refinitiv ESG data Open
We reinvestigate the presence of the well-known size bias in ASSET4 ESG data identified by Drempetic et al. (2020) in its successor database, the new Refinitiv ESG database. Following Drempetic et al. (2020) we apply a linear mixed model t…
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Financial integration between sukuk and bond indices of emerging markets: Insights from wavelet coherence and multivariate-GARCH analysis Open
Some investors strive for capital appreciation while others may follow capital preservation strategies in terms of investment. In relation to that, Islamic finance receives a lot of attention from institutional investors and asset managers…
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The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets Open
This study investigates the return spillover between the Islamic gold-backed cryptocurrencies and equity markets of the Gulf Cooperation Council (GCC) countries. The study utilizes the QVAR method to determine the quantile connectedness am…
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Systemic risk from investment similarities Open
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their eventual correlation and overlap impact th…
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Equity Return Expectations and Portfolios: Evidence from Large Asset Managers Open
Collecting large asset managers’ capital market assumptions, we revisit the relationships between subjective equity premium expectations, equity valuations, and financial portfolios. In contrast to the well-documented extrapolative expecta…
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Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis Open
We examine the time-frequency spillovers, contagion, and pairwise interrelations between the BRIC index and its constituents, and between BRIC and G7 economies. The extent of interdependencies between market blocs and their constituents ne…
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An ensemble approach for portfolio selection in a multi-criteria decision making framework Open
Investment in Mutual Funds (MF) has generated increasing interest among the investors over last few decades as it provides an opportunity for flexible and transparent choice of funds to diversify risk while having return potential. MF are …
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Dynamic correlations and volatility linkages between stocks and <i>sukuk</i>: Evidence from international markets Open
An understanding of volatility and co‐movements in financial markets is important for portfolio allocation and risk management practices. The current financial crisis caused a shrinkage in values of most assets, an increased volatility and…
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Enhanced Portfolio Optimization Open
Portfolio optimization should provide large benefits for investors, but standard mean–variance optimization (MVO) works so poorly in practice that optimization is often abandoned. Many of the approaches developed to address this issue are …
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The Matthew Effect in Science Funding Open
A classic thesis is that scientific achievement exhibits a “Matthew effect”: Scientists who have previously been successful are more likely to succeed again, producing increasing distinction. We investigate to what extent the Matthew effec…
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Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach Open
This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted return…
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Impact of digital finance on the asset allocation of small- and medium-sized enterprises in China: Mediating role of financing constraints Open
Digital finance has provided informal financial support to small- and medium-sized enterprises (SMEs) and solved the dilemma of acquiring formal financial support in emerging economies such as China. However, this may lead to structural ch…
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Does green improve portfolio optimisation? Open
International audience
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A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes Open
Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive return premia, a…
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Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds Open
Target date funds (TDFs) are designed to provide unsophisticated or inattentive investors with age‐appropriate exposures to different asset classes like stocks and bonds. The rise of TDFs has moved a significant share of retirement investo…
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Liability-driven investment and pension fund exposure to emerging markets: A Minskyan analysis Open
This paper explores the determinants and implications of the growing allocation of insurance companies and pension funds to emerging markets. The key contention put forward is that liabilities are at the core of the portfolio choice of ins…
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Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses Open
Understanding the co-movement among asset returns is a critical issue in finance, as investors can minimize risk through diversification. International investors seek alternative asset classes to diversify their portfolio. Therefore, it wo…
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Assessment of cryptocurrencies as an asset class by their characteristics Open
The cryptocurrency market has witnessed significant growth in the past few months. The emergence of hundreds of new digital currencies and the huge increase in the prices of their leading representatives have attracted a lot of attention f…
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Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors Open
This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and o…