This article proposes a hierarchical clustering-based asset allocation method, which uses
graph theory and machine learning techniques. Hierarchical clustering refers to the …

Purpose This paper aims to review, systematize and integrate existing research on
alternative investments. This study conducts performance analysis comprising production …

Although factor premiums originate in both long and short legs of factor portfolios, we found
that (1) most added value comes from the long legs,(2) the long legs offer more …

Building upon the fundamental notion of hierarchy, the" Hierarchical Risk Parity"(HRP) and
the" Hierarchical Clustering based Asset Allocation"(HCAA), the Hierarchical Equal Risk …

The main idea of this article is to approach and compare factor and asset allocation
portfolios using both traditional and alternative allocation techniques: inverse variance …

We extend the semi-nonparametric (SNP) density of León et al.(2009) to time-varying higher-
order moments for daily asset return innovations of stock indexes and foreign-exchange …

Market investors use financial performance measures to determine, often ex post, fund
managers' investment ability and identify the fund managers who are best suited to …

“It's existential. That's the one-word summary of the scale of the challenges. You can pull
different levers, but the declines in rates is an existential problem for the entire pensions …

This study investigates both conventional and Islamic investors' problems as to whether the
inclusion of Islamic and conventional asset classes may expand the frontier of their …

DeMiguel et al.[DeMiguel V, Garlappi L, Uppal R (2009) Optimal versus naïve diversification:
How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. 22 (5): 1915–1953] showed …