We investigate the added value of inflation-linked bonds in an investment portfolio. Recently, several studies questioned the added value of inflation-linked bonds based on empirical analyses on developed markets. We extend the cross-section of countries with a set of nine emerging markets and...

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond...

This study documents annual returns of the invested global multi-asset market portfolio, using a newly constructed unique dataset which basically covers the whole invested market. We analyze returns as well as risk over the period from 1960 to 2017. The market realizes a compounded real return...

Collectively organized pension plans must increasingly demonstrate that the risk preferences of their members are adequately reflected in the plans' asset allocations. However, whether funds should elicit individual members' risk preferences to achieve this goal, or whether they can rely on...

This paper investigates how investors can integrate the Sustainable Development Goals (SDG) into government bond portfolios. First, we develop a framework that assesses if countries: (i) have good policies for the SDGs; (ii) need better access to capital in order to finance sustainable...

We compare corporate carbon emissions data of four data providers for investment universes relevant for investors in developed and emerging equity markets, as well as investment grade and high yield corporate bond markets. In contrast to Environmental, Social, and Governance sustainability...

We investigate the construction of well-diversified high-conviction equity portfolios, building on Rudin and Morgan (2006) who introduced the Portfolio Diversification Index (PDI) as a new measure of portfolio diversification applied to long/short equity hedge funds in an in-sample period. We...

Green bonds are about a decade old financial instrument with cash flows earmarked to improve the environment or combat climate change. We show the spectacular growth of the asset class over time, but note that it is currently still less than 1% of the entire fixed income market. The composition...

We investigate the capital-protection property of inflation-linked bonds in an international context over the period 2012 to 2022. Inflation-linked bonds compensate domestic investors for loss of local purchasing power. Whether the bonds protect foreign investors effectively depends on the...

The portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. We...