We present a stock selection methodology that maximizes the expected returns of equity portfolios by efficiently managing their exposures to a given ensemble of risk premia, also known as factors. Our approach is mathematically grounded, robust in its design, and applicable in practice. It...

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...

Efficient and robust techniques are crucial for hedging a book of variable annuities. For insurers, the profitability of variable annuity contracts heavily depend on the hedging schemes used to mitigate their associated financial liabilities. Beyond financial performance, the inclusion of...

Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financial Economics], as they help in evaluating how far the distress of one institution is disseminated across the whole of the financial...

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...