There are three fundamental ways of testing the validity of an investment algorithm against historical evidence: a) the … investment algorithm should be deployed throughout all market regimes. We denote such assumption the “all-weather” hypothesis …, and the algorithms based on that hypothesis “strategic investment algorithms” (or “investment strategies”).The all …

firm into two parts: (1) the risk due to the investment strategy of the pension plan (“Mismatch Risk”); and (2) the risk …We develop an analytical framework that divides the contribution of pension risk to the total systematic risk of the … due to the funded status of the pension plan (“Deficit Risk”). We then use this framework to show that the financial …

respect to their investment decisions and whether this behavior impacts fund performance. Based on a sample of over 4 …

investees that need liquidity to invest and grow, they still seek to avoid acerbating the default risk of their investees …

been using risk-return, CAPM, Fama-French three factors, Fama-French-Carhart four factors, Fama-French five factors and …