In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross-section of realized returns is much better explained when using...

This text explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.