Marco Salerno

University of Toronto - Rotman School of Management

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

8

DOWNLOADS

892

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Ideas:
“  Personal Website: https://sites.google.com/view/marco-salerno  ”

Scholarly Papers (8)

1.

Measuring State-level Economic Policy Uncertainty

Number of pages: 50 Posted: 07 Nov 2020 Last Revised: 09 Jan 2021
Redouane Elkamhi, Chanik Jo and Marco Salerno
University of Toronto - Rotman School of Management, CUHK Business School and University of Toronto - Rotman School of Management
Downloads 204 (190,445)

Abstract:

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

2.

The Jury is Still Out On the Performance of Naive Diversification (1/N rule)

Rotman School of Management Working Paper No. 3638713
Number of pages: 67 Posted: 22 Jul 2020 Last Revised: 05 Oct 2021
University of Toronto - Rotman School of Management, CUHK Business School, Healthcare of Ontario Pension Plan Trust Fund and University of Toronto - Rotman School of Management
Downloads 188 (205,034)

Abstract:

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Portfolio Choice, Asset Allocation, Machine Learning, Clustering

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 University of Toronto - Rotman School of Management
Downloads 178 (215,105)
Citation 1

Abstract:

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Corporate Loans; Covenants; Covenant strictness; Cov-lite

4.

Factor-targeted Asset Allocation: a Reverse Optimization Approach

Number of pages: 33 Posted: 21 Aug 2021
Jacky S.H. Lee and Marco Salerno
Healthcare of Ontario Pension Plan Trust Fund and University of Toronto - Rotman School of Management
Downloads 139 (264,009)

Abstract:

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Portfolio Allocation, Factors, Factor Investing, Reverse Optimization

5.

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

Number of pages: 75 Posted: 06 Apr 2020 Last Revised: 04 Jan 2021
Redouane Elkamhi and Marco Salerno
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 114 (305,784)
Citation 1

Abstract:

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Dynamic Capital Structure, Financial Distress, Structural Estimation

6.

Agency Conflicts and Investment: Evidence from a Structural Estimation

Number of pages: 51 Posted: 13 Oct 2020 Last Revised: 05 Oct 2021
Redouane Elkamhi, Chanik Jo and Marco Salerno
University of Toronto - Rotman School of Management, CUHK Business School and University of Toronto - Rotman School of Management
Downloads 69 (416,726)

Abstract:

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7.

Portfolio Tilts using Views on Macroeconomic Regimes

Rotman School of Management Working Paper No. 3810877
Posted: 24 Mar 2021 Last Revised: 09 Nov 2021
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and University of Toronto - Rotman School of Management

Abstract:

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

8.

Factor Investing using Capital Market Assumptions

The Journal of Portfolio Management (Accepted)
Posted: 02 Mar 2021 Last Revised: 10 May 2021
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and University of Toronto - Rotman School of Management

Abstract:

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