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It is often argued in defense of Risk Parity portfolios that they maximize the Sharpe ratio if their securities have identical Sharpe ratios and identical correlations. However, securities have neither identical Sharpe ratios nor this correlation structure. In realistic markets, Risk Parity...
This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades. Specifically, we study the variations in the extra-financial score of 266 Canadian corporations...
The Black–Litterman method is widely used in the investment management industry to incorporate views in investment portfolios. The method applies when views are expressed as expected returns over the horizon for which allocation decisions are made, i.e., the investment horizon. In practice,...
Idiosyncratic volatility generates a lot of interest in literature, as there are conflicting evidences regarding the relationship between stocks’ idiosyncratic volatility and future returns. In this paper, we re-investigate this relationship. We argue that the impact of idiosyncratic volatility...
We examine the risk and return characteristics of fundamental weighting schemes for developed, emerging, and frontier government bond markets and compare these to market-capitalization-weighted indexes. We document positive excess returns for the investment grade sample only when currency risks...
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