This note looks at how companies engage with stakeholders in areas with high social or political tensions. It argues that most social risk-mitigation strategies often exacerbate tensions and risks to the companies. The note offers a checklist of risk indicators and a set of questions companies...

The Black-Litterman method is widely used in the investment management industry to incorporate views in investment portfolios. The method applies when views are expressed as expected returns over the horizon on which allocation decisions are made, i.e., the investment horizon. In practice,...

In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...

Many investors use optimization to determine their optimal investment portfolio. Unfortunately, optimal portfolios are sensitive to changing input parameters, i.e., they are not robust. Traditional robust optimization approaches aim for an optimal and robust portfolio which, ideally, is the...