This paper presents a practical investment framework for dynamic asset allocation strategies
based on changes in the macro-environment. To identify economic regimes, we use macro …

This article proposes a generalized expected shortfall risk-budgeting investing framework,
which offers a simple and flexible way to deal with various risks beyond volatility—namely …

This study developed an investment framework to implement dynamic factor rotation
strategies according to changes in economic conditions. I constructed a useful macro …

In the last two decades, risk parity has become quite popular with institutional investors and
is often used to construct both traditional and alternative investments portfolios (see Da …

Within the finance literature there is an apparent gap between the inherent risk premium
ignorance of a risk parity approach on the one hand and the assumed risk premium …

Engineering Investment Process: Making Value Creation Repeatable explores the
quantitative steps of a financial investment process. The authors study how these steps are …

These lecture notes cover old and new investment methods, regulatory and legal
developments and the role of technology as a game changer in asset management. The …

The modern portfolio theory in Markowitz (1952) is a cornerstone for investment
management, but its implementations are challenging in that the optimal portfolio weight is …

When validating variance-covariance (VCV) estimators based on the ex-post volatility of the
global minimum variance (GMV) portfolio, we confirm the academic backing for considering …

We diversify an investment portfolio across macroeconomic factors that are mimicked by
investable asset classes and style factors. Using a century of global data we analyze the …