Unstable fluctuations in financial markets caused by the 2008 financial crisis and currently by the Covid-19 crisis have generated greater concern among investors regarding their capital protection. In view of this situation, the consideration of alternative investments has taken a relevant...

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios...

In this research, we optimized fixed, glide path and dynamic portfolios, aimed at providing a solid pension adjusted for inflation. We optimized these portfolios for two performance functions that take inflation rates into account. We compared the performance of these portfolios in terms of...

The aim of this paper is to determine whether forward-looking option-implied returns forecasts lead to better out-of-sample portfolio performance than conventional time series models. We consider a simple two-asset setting with a risk-free asset and the S&P 500 index the risky asset with monthly...

In this paper we describe the history of different portfolio construction approaches from a simple Risk Parity approach and its extension Equal Risk Contribution over Markovitz mean-variance to conditional Value-at-Risk and others like minimum Value-at-Risk or Average Drawdown. We implement the...

Beta-sorted portfolios—portfolios comprised of assets with similar covariation to selected risk factors—are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...