The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...

For investors subject to Solvency II regulations, the capital charges and risk associated with holding equities are high. This reduces the appeal of this asset class as an investment of choice for realizing long-term growth objectives. Here we propose a simple risk mitigation technique that...

Sustainable investing is growing fast and investors are increasingly integrating environmental, social, and governance (ESG) criteria. However, ESG ratings are derived using heterogeneous methodologies and can be quite divergent across providers, which suggests the need for a formal statistical...