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Visión de mercado

Risk Parity versus Mean-Variance: It’s all in the Views
Risk Parity versus Mean-Variance: It’s all in the Views
27-11-2017 | Investigación
Solvency II encourages risk-seeking behavior
Solvency II encourages risk-seeking behavior
Solvency II regulation should prevent insurance companies from going bankrupt.
02-10-2017 | Investigación
Uncovering Trend Rules
Uncovering Trend Rules
This research paper, published in the Fall 2017 issue of the Journal of Alternative Investments, uncovers the return-weighting schemes implied by conventional price-moving averages, which are widely-used indicators in technical analysis.
30-09-2017 | Investigación
Volatility weighting applied to momentum strategies
Volatility weighting applied to momentum strategies
Volatility weighting is a form of risk management for investment strategies.
13-01-2017 | Investigación
Navigating through flexible bond funds
Navigating through flexible bond funds
Flexible bond funds have become increasingly popular.
16-02-2015 | Visión
On the expected performance of market timing strategies
On the expected performance of market timing strategies
We derive expressions for the information ratio (IR) that can be expected from directional market-timing strategies.
14-11-2014 | Investigación
Ibbotson’s default premium: Risky data
Ibbotson’s default premium: Risky data
The default premium calculated in Ibbotson’s dataset is widely used in empirical research.
14-06-2013 | Investigación
Ibbotson's default premium: risky data
Ibbotson's default premium: risky data
Ibbotson’s “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926.
09-12-2011 | Visión