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How well do classical credit risk pricing models fit swap transaction data?

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Revisiting private equity performance computation for multi-asset investors

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Beyond mean-variance : assessing hedge fund performance in a non-parametric world

Hassouni, Afrae; Pirotte, Hugues - In: Financial markets and portfolio management 36 (2022) 4, pp. 473-488

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Crisis-robust bond portfolios

Brière, Marie; Szafarz, Ariane - In: The journal of fixed income 18 (2008/09) 2, pp. 57-70

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Virtual currency, tangible return : portfolio diversification with bitcoin

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Towards greater diversification in central bank reserves

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Choice Overload? Participation and Asset Allocation in French Employer-Sponsored Saving Plans

Briere, Marie; Poterba, James M.; Szafarz, Ariane - National Bureau of Economic Research - 2021

This paper employs administrative data from one of the largest plan providers in France to investigate the role of plan and default characteristics in affecting whether employees participate in the plan and whether they accept its default investment option. The dataset includes information on...

Persistent link: https://www.econbiz.de/10012794627

Is the market portfolio efficient? : a new test of mean-variance efficiency when all assets are risky

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Towards greater diversification in central bank reserves

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Persistent link: https://www.econbiz.de/10011714511

Factor investing : the rocky road from long-only to long-short

Brière, Marie; Szafarz, Ariane - 2017

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