This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

This paper shows optimal asset allocation during these two phases must be different.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

This paper analyzes the current use of incentive-fee-concepts for mutual funds inGermany. Following an empirical analysis about the relevance of these methods,the different methods of calculation and the influence of different parameters aredescribed. Further on it explains the impacts of...

While the literature on Socially Responsible Investment (SRI) is mainly focused on the stock market, little attention has been paid to SRI in sovereign bonds. This paper investigates the effect of taking into account socially responsible indicators for countries, the Vigeo Sustainability Ratings...

In theory, investors choosing to invest only in socially responsible entities restrict their investment universe and should thus be penalized in a mean-variance framework. When computed, this penalty is usually viewed as valid for all socially responsible investors. This paper shows however that...