Minimum variance and equally-weighted portfolios have recently prompted great interest both
from academic researchers and market practitioners, as their construction does not rely on …

Although portfolio management didn’t change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

Portfolio construction and risk budgeting are the focus of many studies by academics and
practitioners. In particular, diversification has spawned much interest and has been defined …

This research is an update of the study that we published last year (Bennani et al., 2018)
and that explored the impact of ESG investing on asset pricing in the stock market. It extends …

In the last five years, the financial industry has been impacted by the emergence of digitalization
and machine learning. In this article, we explore two methods that have undergone …

Copulas are a general tool to construct multivariate distributions and to investigate dependence
structure between random variables. However, the concept of copula is not popular in …

The ongoing economic crisis has profoundly changed the industry of the asset management,
by putting risk management at the heart of most investment processes. This new risk-based …

This chapter shows how portfolio allocation can benefit from the development of large‐scale
portfolio optimization algorithms such as the coordinate descent, the alternating direction …

ESG investing has gained considerable traction over the past few years and, alongside
smart beta, factor investing and alternative risk premia, is one of the current hot topics for the …

In this paper, we explore the Loss Distribution Approach (LDA) for computing the capital
charge of a bank for operational risk where LDA refers to statistical/actuarial methods for …