Asset allocation
A primer on generalized weighted risk functionals
The authors put forward a class of generalized weighted risk functionals that incorporates the possibility of arbitrary aggregations, introducing the notion of an aggregation function in the context of the aforementioned weighted risk functionals.
Allocators try to stay strategic in a world turned upside down
Investors are revisiting long-held assumptions about how to allocate large pools of assets
Investors find smoother path with smart beta
In the face of evolving volatility, investors are demanding a smarter approach to strategic asset allocation
Why asset owners aren’t turning their backs on America (yet)
Pension and sovereign wealth investors see US exceptionalism outlasting policy-driven turmoil
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Man Group airs climate allocation tool for real-world decarbonisation
Compass is a guide for steering $200 trillion investment toward decarbonising high-emission industries
The (slow) road to capital-backed investing for pensions
Partnerships with hedge funds and private equity firms promise a quicker route to funded status. So why have deals stalled?
Peak-to-valley drawdowns: insights into extreme path-dependent market risk
The authors investigate risk in relation to peak-to-valley market drawdowns and aim to gain insights into the drawdown behaviour of asset classes across time intervals.
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Target-date funds: lessons learned?
The authors return to the topic of their 2011 paper and investigate the maturation of target-date funds and their performance during the Covid-19 pandemic, finding that the funds have largely achieved their designation.
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Podcast: Halperin on reinforcement learning and option pricing
Fidelity quants working on machine learning techniques to optimise investment strategies
Asset allocation with inverse reinforcement learning
Using reinforcement learning to help replicate asset managers' allocation strategy