A transparent, rules based, portfolio construction algorithm is proposed for convertible bond
arbitrage. Feature selection is based on a mark-to-market approach where the volatility from …

The volatility risk premium (VRP), commonly accessed by writing equity index options, can
help investors enhance portfolio returns. Some investors, however, have an aversion to …

Hedge funds should deliver good risk-adjusted returns and provide diversification for
investors' portfolios. However, the performance of hedge funds has deteriorated in recent …

Sequence risk is a subtle risk factor retirement investment managers face that can hinder
their plans for success. This paper illustrates the damaging effects that sequence risk can …

In the liability-driven investing (LDI) framework, an underfunded pension plan may use the
glidepath approach—dividing assets for liability-matching and asset-growth purposes. This …

Rational investors with reasonable utility functions are in general not risk-neutral. Indeed,
there is a broad strand of literature in psychology, decision theory, and economics that …

Derivative positions that aim to earn variance risk premiums are exposed to sharp price
declines during market crises, which calls into question their suitability for the long-term …