Marco Salerno

Healthcare of Ontario Pension Plan Trust Fund

1 York

Toronto, Ontario M5S 3G8

Canada

  • Healthcare of Ontario Pension Plan Trust Fund

SCHOLARLY PAPERS

13

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2,754

TOTAL CITATIONS

12

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  • Healthcare of Ontario Pension Plan Trust Fund

Scholarly Papers (13)

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1.

Factor-targeted Asset Allocation: A Reverse Optimization Approach (Working Paper)

Financial Analysts Journal. Published in final form at: https://doi.org/10.1080/0015198X.2023.2214074
Number of pages: 47 Posted: 21 Aug 2021 Last Revised: 20 Jun 2023
Jacky S.H. Lee and Marco Salerno
Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 607 (95,110)

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Portfolio Allocation, Factors, Factor Investing, Reverse Optimization

2.

Measuring State-level Economic Policy Uncertainty

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 90 Posted: 07 Nov 2020 Last Revised: 28 Apr 2023
Redouane Elkamhi, Chanik Jo and Marco Salerno
University of Toronto - Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Healthcare of Ontario Pension Plan Trust Fund
Downloads 485 (125,571)
Citation 7

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State-Level Economic Policy Uncertainty Index, News-Based Uncertainty Measure, State-Level Business Cycles

3.

When Are Financial Covenants Relevant?

Number of pages: 53 Posted: 17 Mar 2020 Last Revised: 06 Jan 2021
Sergei Davydenko, Redouane Elkamhi and Marco Salerno
University of Toronto - Finance Area, University of Toronto - Rotman School of Management and Healthcare of Ontario Pension Plan Trust Fund
Downloads 388 (162,890)
Citation 3

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Corporate Loans; Covenants; Covenant strictness; Cov-lite

4.

Portfolio Tilts Using Views on Macroeconomic Regimes (Presentation Slides)

The Journal of Portfolio Management, February, Forthcoming, https://doi.org/10.3905/jpm.2022.1.438
Number of pages: 15 Posted: 13 Dec 2022
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 374 (169,682)

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

5.

Volatility Timing: Why Risk-Based Rules Outperform Naïve Diversification (Presentation Slides)

Number of pages: 28 Posted: 19 Dec 2022 Last Revised: 01 Mar 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 284 (228,256)

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Portfolio Choice, Asset Allocation, Machine Learning, Clustering

6.

How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model

Number of pages: 52 Posted: 06 Apr 2020 Last Revised: 19 Dec 2022
Redouane Elkamhi, Daniel Kim and Marco Salerno
University of Toronto - Rotman School of Management, University of Waterloo and Healthcare of Ontario Pension Plan Trust Fund
Downloads 244 (266,194)
Citation 2

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Dynamic Capital Structure, Financial Distress, Structural Estimation

7.

Agency Conflicts and Investment: Evidence from a Structural Estimation

Number of pages: 57 Posted: 13 Oct 2020 Last Revised: 03 Jan 2022
Redouane Elkamhi, Daniel Kim, Chanik Jo and Marco Salerno
University of Toronto - Rotman School of Management, University of Waterloo, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Healthcare of Ontario Pension Plan Trust Fund
Downloads 230 (281,994)

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8.

Factor-Targeted Asset Allocation (Presentation Slides)

Number of pages: 24 Posted: 30 Dec 2022
Jacky S.H. Lee and Marco Salerno
Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 142 (433,506)

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Portfolio Allocation, Factors, Factor Investing, Reverse Optimization

9.

Enhancing the Inverse Volatility Portfolio through Clustering

Elkamhi R., Lee J., Salerno M., Enhancing the Inverse Volatility Portfolio through Clustering, The Journal of Data Science, forthcoming.
Posted: 23 Oct 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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10.

Financial Anomalies in Asset Allocation: Risk Mitigation with Cross-Sectional Equity Strategies

The Journal of Portfolio Management, 49(1), 118-145, DOI: 10.3905/jpm.2022.1.422
Posted: 15 Apr 2022 Last Revised: 19 May 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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Portfolio Allocation, financial anomalies, absolute return strategies, alpha strategies

11.

Portfolio Tilts using Views on Macroeconomic Regimes

The Journal of Portfolio Management, 49(3), 7-24, DOI: 10.3905/jpm.2022.1.438
Posted: 24 Mar 2021 Last Revised: 19 May 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

12.

Factor Investing using Capital Market Assumptions

The Journal of Portfolio Management 48.2 (2021): 119-143
Posted: 02 Mar 2021 Last Revised: 12 May 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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Capital market assumptions, factor investing, mean-variance optimization, factor model, portfolio allocation, asset-liability management, portfolio construction, factor exposures

13.

How Optimal are Risk-based Portfolios?

Journal of Portfolio Management, forthcoming
Posted: 22 Jul 2020 Last Revised: 10 Sep 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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Portfolio Choice, Asset Allocation