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...

This paper examines the determinants of large comovements in financial markets. More specifically, we analyze the relationship between a dependence indicator drawn from multivariate extreme value theory and a set of bilateral economic and financial factors. Implementation of the idea is realized...

Hedge fund replication is knowing growing interest in the financial industry. Most products make use of factor-based models where one is fitting a model of hedge fund returns in terms of investable market factors (e.g. S&P...). We here investigate whether combination of regression methodologies...

Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of...

It is well known that non-normality plays an important role in asset and risk management.However, handling a large number of assets has long been a challenge.In this paper, we present a statistical technique that extends Principal ComponentAnalysis to higher moments such as skewness and...

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This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...