Risk-based investment solutions are seen as incorporating no views. In this article, we propose an analytical framework that allows the introduction of explicit active views on expected asset returns in risk-based solutions. Starting from a Black-Litterman approach, we derive closed-form...

Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity, to name the most famous - have become increasingly popular in the investment industry due to their return-agnostic and risk management features. In this paper, we show that...

Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...

We consider the problem of modelling the dependence between financial markets. In financial economics, the classical tool is the Pearson (or linear correlation) coefficient to compare the dependence structure. We show that this coefficient does not give a precise information on the dependence...

This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: i) are FX authorities able to influence market expectations with different instruments? ii) how should interventions be...

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992-2003. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

We propose a specification of the euro/dollar real exchange rate based on the productivity differential, the governments spending differential and the real interest rate differential. This model suitably describes the euro/dollar path over the last two decades and presents satisfactory...

In the last decade, the performances of hedge funds were surprisingly satisfactory and recurrent. However, the bankruptcy of LTCM reminded investors of the risks associated with this asset class. The purpose of this study is to analyse systematically the relationship between the performances of...

We compare the performance of several Value-at-Risk (VaR) models when applied to a high frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily index available since early 2000. We use 1-day-ahead VaR forecasts for various thresholds (10%, 5% and 1%) and apply...

The aim of this text is to analyse the dynamics of European long-rate volatility, as measured at various frequencies (intraday, daily). We identify and quantify the dimension of the diverse components of volatility: long memory and ARCH effects, seasonal effects, news announcements. Among the...