This paper documents nominal wage stickiness using an original quarterly firm-level dataset. We use the ACEMO survey, which reports the base wage for up to 12 employee categories in French firms over the period 1998 to 2005, and obtain the following main results. First, the quarterly frequency...

This paper documents nominal wage stickiness using an orignial quarterly firm-level dataset. We use the ACEMO survey, which reports the base wage for up to 12 employee categories in French firms over the period 1998 to 2005, and obtain the following main results. First, the quarterly frequency...

For a number of different formulations of robust portfolio optimization, quadratic and absolute, we show that a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs; and b) in the limit...

We considered a large number of factors from value, quality, low risk and momentum styles and show that these factors can be used to select the corporate bonds with the highest risk-adjusted returns. Our results were confirmed for the three largest corporate bond universes, namely those defined...

This article investigates the optimal design and management of portfolio insurance for target date funds. Capital protection is often set at 100% at inception for simplicity's sake, but without any clearer rationale. We propose a framework for estimating the optimal level of protection, or...

We investigate the possible sources of the recent underperformance of multi-factor equity strategies reported by many equity quant managers. We considered the value, quality, low risk and momentum factor styles in mid to large-capitalisation World, USA and European stock universes. When looking...