A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking pure country and industry factors are...

Benefits to portfolio diversification depend crucially on correct correlation estimates, hence it is of great importance to both risk management and portfolio optimisation that the exact nature of the correlation structure between international financial assets is understood. Recent discussion...

We propose a unified, fully general methodology to analyze and act on diversification in any environment, including long-short trades in highly correlated markets with complex derivatives. First, we build the diversification distribution, i.e. the distribution of the uncorrelated bets in the...

We propose a unified methodology to input non-linear views from any number of users in fully general non-normal markets, and perform, among others, stress-testing, scenario analysis, and ranking allocation. We walk the reader through the theory and we detail an extremely efficient algorithm to...

We draw on regression analysis to decompose volatility, VaR and expected shortfall into arbitrary combinations or aggregations of risk factors and we present a simple recipe to implement this approach in practice

The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are concerned with describing the joint return...

We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of...

I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be estimated jointly with covariance risk prices in a single-stage GMM, and then inferences from asset pricing...

Using the Bayesian posterior distribution of the market parameters we define self-adjusting uncertainty regions for the robust mean-variance problem. Under a normal-inverse-Wishart conjugate assumption for the market, the ensuing robust Bayesian mean-variance optimal portfolios are shrunk by the...

We review the main processes used to model financial variables. We emphasize the parallel between discrete-time processes, mainly used by econometricians for risk- and portfolio-management, and their continuous-time counterparts, mainly used by mathematicians to price derivatives. We highlight...