Alpha factors are built to perform well over time, on average. There are instances when they do not, and knowing these instances ex ante can be a significant source of added value for investors. We argue that factor failure is a function of its broad risk and propose appropriate variables to...

We develop a hybrid model that relies on the nonlinear classification Decision Tree (DT) approach but also on multivariate predictive regressions to aid implement a size rotation strategy in the U.S. equity markets. Our investment prediction is derived with a two-stage algorithm. In the first...

With 175 family businesses on the Fortune 500 list, from DuPont and Motorola to IBM, there is no doubt that family-run enterprises play an important role in global economic development. Their role is no less significant in China where, in keeping with the country's rapid economic growth, family...

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...