This paper focuses on the estimation and implementation of a holistic quantitative yield-curve-based approach to managing multi-currency bond portfolios. The primary task of the presented model is to manage the portfolio risk and return by exploiting inefficiencies in the emergent complexity of...

The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for...

This study documents how China's stock market is able to contribute differently and substantially to the diversification benefits of international investment portfolios. Moreover, allowing exposure to the stock market in China allows international investors to span combinations in the...

The relevance of a fund manager's educational and experience profile to the size of investment portfolio return has been the subject of recurrent research in the last decade. While previous research considered an external reference point of view analysing industry-wide aggregated data, little...

This paper investigates the sources of time-varying risk for the US stock and bond markets. The model captures the change in the risk premium due to each market's own volatility risk and the covariance risk. We test for the effects of macroeconomic news on time-varying volatility as well as...

This paper unifies the classical theory of stochastic dominance and investor preferences with the recent literature on risk measures applied to the choice problem faced by investors. First, we summarize the main stochastic dominance rules used in the finance literature. Then we discuss the...

The departure in modelling terms from the log-normal distribution for option pricing has been largely driven by empirical observations on skewness. In recent years, the Weibull and generalized beta distributions have been used to fit the risk-neutral density from option prices. In this article,...

It is often objected that we cannot use mathematical methods in finance because (1) finance is dominated by unpredictable unique events (the black swans), (2) there are qualitative effects that cannot be quantified, and (3) the laws themselves of finance keep on changing. In this paper we...