This paper uses European high capitalization corporate data for the 1991–2019 period to
demonstrate that a systematic active management portfolio based on the identification of …

This study is investigating the predictability of the five Fama–French factors and explores
their optimal portfolio allocation for factor investing during 2000–2017. Firstly, we forecast …

We investigate whether the inclusion of Cat Bonds in portfolios composed of traditional
assets and common factors is beneficial to investors. Various mean‐variance spanning tests …

Factor investing exploits asset pricing anomalies to enhance fund returns. Unlike traditional
market capitalization indexes, factors have onerous replication costs. We consider the …

Although the terms of machine learning and deep learning have been widely used in the
financial press and media, lack of agreement in the scientific and professional community …

We present a model based on trend filtering and regularization for performing factor
analysis. Furthermore, the trend filtering method proposed in our model allows incorporating …

Equity markets are amongst the most researched areas in asset pricing literature. Data
availability and the liquid and transparent nature of equity markets have aided research in …

This thesis proposes a novel approach to strategic asset allocation (SAA) that uses macro-
econometric factors and a regime-switching regression model to capture systemic risk …

We present a data-driven neural network approach to find optimal dynamic (multi-period)
factor investing 6 strategies in the presence of transaction costs. The factor investing …

This paper uses European high capitalization corporate data for the 1991–2019 period to
demonstrate that a systematic active management portfolio based on the identification of …