The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic...

While existing studies have not detected a significant standard momentum in the A-share market, recent literature has documented several modified momentum factors. Echoing the findings of Ehsani and Linnainmaa (2022), our study identifies strong factor momentum in the A-share market. Factor...

This paper assesses the explanatory power of the liquidity-risk-based pricing models relative to the Fama-French three-factor model (FF3) and the extensions to the FF3. We find that the liquidity-augmented capital asset pricing model (LCAPM) performs no worse but generally better than other...