Standard mean-variance analysis is based on the assumption of normal return distributions. However, a growing body of literature suggests that the market oscillates between two different regimes – one with low volatility and the other with high volatility. In such a case, even if the return...

We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...

According to our survey about climate risk perceptions, institutional investors believe climate risks have financial implications for their portfolio firms and that these risks, particularly regulatory risks, already have begun to materialize. Many of the investors, especially the long-term,...

Given ambiguity concerning the effects of disclosure on firm value and markets, we examine the question of whether investors value carbon risk disclosure. Through a survey and empirical tests, we conclude that many institutional investors consider climate risk reporting to be as important as...

The macroprudential regulatory framework of Basel III imposes the same capital and liquidity requirements on all banks around the world to ensure global competitiveness of banks. Using an agent-based model of the financial system, we find that this is not a robust framework to achieve...

Recent academic studies have shown that since the mid-nineties, the pass-through of exogenous oil shocks into headline inflation has been increasing while the pass through into core inflation seems to have ceased. This paper explores the implications in terms of commodity allocation for...

The present study investigates the integration of environmental, social, and gover-nance (ESG) scores constructed from company misconduct and incident data intothe systematic investment process for equities. These ESG scores are used to set upvarious ESG investment strategies: From best-in-class...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights. We show that log-regularization leads to a fund...