High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This article provides a comprehensive overview of this low-risk effect, from the earliest asset …

Portfolio managements in financial markets involve risk management strategies and
opportunistic responses to individual trading behaviours. Optimal portfolios constructed aim …

The aim of this study is to adapt a well-known interactive and multi-criteria decision-making
method, TODIM, to the portfolio allocation process. The proposed method is applied to …

The objective of this work is to ascertain sectoral characteristics of stock market indices of
India through time series decomposition. It is postulated that different sectors in an economy …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

The authors considered liquidity and transaction costs in the practical implementation of
betting against beta (BAB) strategies. Using the 30 highly liquid stocks of the Dow Jones …

Traditionally, passive portfolios are structured using an easy to implement market
capitalization method albeit highly skewed towards large cap stocks. The introduction of …

This study proposes the Markov Regime Driven Style allocation (MRDS) strategy for Shariah-
compliant portfolio construction, a forward-looking methodology that merges economic …

The choice of weighting method in constructing an equity portfolio affects not only the
financial performance, but also its Shariah-compliance. We show how the implicit bets in …

The purpose of this paper is to appraise recent ESG trends in global equity markets. It
contributes to a broader research project started at Amundi in 2014 on the relevance of ESG …