This paper presents an analytically tractable and practically-oriented model of non-linear dynamics of a multi-asset market in the limit of a large number of assets. The asset price dynamics are driven by money flows into the market from external investors, and their price impact. This leads to...

Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose a numerical framework that uses only simulations of returns for estimating risk budgeting portfolios. Specifically, we provide a Sample...

This paper presents a methodology which blends sensitivity analysis and fuzzy arithmetic for managing uncertainty in project financing transactions. Specifically, we adopt the perspective of the equityholders and use the average Return On Equity (ROE) to measure shareholder value creation and,...

The informativeness of financial analysts’ stock recommendations to investors has become the subject of much scrutiny and debate. This article investigates the investment value of target price (TP) forecasts under the specific angle of factor investing. It provides directions to quantitative...

Smart beta is a disruptive financial innovation that we believe will be disrupted by the ESG transition. How should smart beta managers position their products within the large ESG spectrum and how should they align their investment objectives and adapt their frameworks in order to achieve those...

By modeling asset returns via Brownian processes, we construct dynamic portfolios whose weights, relative to the market portfolio, are inflated (respectively, deflated) depending on high (respectively, low) levels of ex-ante beta for the corresponding assets. We establish under mild conditions...

Over the last few decades, a growing attention to the Social Responsibility topic has affected financial markets and institutional authorities. Indeed, recent environmental, social and financial crises have inevitably led regulators and investors to take into account the sustainable investing...

This paper studies market selection in an Arrow-Debreu economy with complete markets where agents learn over misspecified models. Under model misspecification, standard Bayesian learning loses its formal justification and biased learning processes may provide a selection advantage. However,...

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...