Redouane Elkamhi

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

48

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18,122

SSRN CITATIONS
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Top 4,512

in Total Papers Citations

317

CROSSREF CITATIONS

77

Scholarly Papers (48)

1.

Managerial Activeness and Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming
Number of pages: 44 Posted: 20 Apr 2014 Last Revised: 09 May 2015
Hitesh Doshi, Redouane Elkamhi and Mikhail Simutin
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,560 (22,287)
Citation 17

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Mutual fund performance, Portfolio management, closet indexing

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 901 (48,471)
Citation 3

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 52 Posted: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 471 (111,835)
Citation 7

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

3.

The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2633557
Number of pages: 87 Posted: 22 Jul 2015 Last Revised: 23 Aug 2018
Joon Woo Bae, Redouane Elkamhi and Mikhail Simutin
Case Western Reserve University - Weatherhead School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,101 (37,148)
Citation 5

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International diversification, emerging markets, developed markets, diversification benefits, performance, export links, market integration

Time-Varying Asset Volatility and the Credit Spread Puzzle

Journal of Finance, Forthcoming
Number of pages: 50 Posted: 29 Nov 2016 Last Revised: 21 Mar 2018
Du Du, Redouane Elkamhi and Jan Ericsson
Hong Kong University of Science & Technology (HKUST), University of Toronto - Rotman School of Management and McGill University
Downloads 525 (98,033)
Citation 12

Abstract:

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Asset Volatility, Credit Spread Puzzle, Structural Models

Time-Varying Asset Volatility and the Credit Spread Puzzle

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 14 Oct 2011
Redouane Elkamhi, Jan Ericsson and Min Jiang
University of Toronto - Rotman School of Management, McGill University and University of Iowa - Henry B. Tippie College of Business
Downloads 334 (165,748)
Citation 4

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Variance risk premia, default swaps, structural credit models

Time-Varying Asset Volatility and the Credit Spread Puzzle

Number of pages: 41 Posted: 22 Mar 2011
Redouane Elkamhi, Jan Ericsson and Min Jiang
University of Toronto - Rotman School of Management, McGill University and University of Iowa - Henry B. Tippie College of Business
Downloads 53 (703,911)
Citation 5

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5.

The Cost of Financial Distress and the Timing of Default

EFA 2009 Bergen Meetings Paper
Number of pages: 50 Posted: 04 Feb 2009 Last Revised: 26 May 2009
Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson
University of Toronto - Rotman School of Management, Marshall School of Business, University of Southern California and McGill University
Downloads 866 (51,996)
Citation 10

Abstract:

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financial distress costs, default probabilities

6.

A One-Factor Model of Corporate Bond Premia

Management Science, forthcoming
Number of pages: 113 Posted: 22 Sep 2020 Last Revised: 05 Apr 2023
Redouane Elkamhi, Chanik Jo and Yoshio Nozawa
University of Toronto - Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto
Downloads 704 (68,453)
Citation 2

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Corporate Bond, Long-Run Consumption Risk, Cross-Section Test

7.

Fire-Sale Risk in the Leveraged Loan Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 73 Posted: 17 Jul 2020 Last Revised: 26 May 2022
Redouane Elkamhi and Yoshio Nozawa
University of Toronto - Rotman School of Management and University of Toronto
Downloads 626 (79,491)
Citation 8

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Collateralized Loan Obligation, Fire sales, Leveraged loan, Shadow banking, Stress test, Systemic risk

8.

Global Equity Correlation in International Markets

Number of pages: 79 Posted: 11 Nov 2014 Last Revised: 16 Dec 2021
Joon Woo Bae and Redouane Elkamhi
Case Western Reserve University - Weatherhead School of Management and University of Toronto - Rotman School of Management
Downloads 602 (83,447)
Citation 4

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Exchange Rates, Dynamic Conditional Correlation, Carry Trades, Momentum Trades, Predictability, Consumption Risk

9.

The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

Number of pages: 45 Posted: 17 Dec 2010 Last Revised: 12 Mar 2011
Redouane Elkamhi, Kris Jacobs and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Oklahoma
Downloads 590 (85,651)
Citation 16

Abstract:

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CDS, recovery rate, quadratic model, credit risk, default, tangible assets

10.

Bank Skin in the Game and Loan Contract Design: Evidence from Covenant-Lite Loans

Number of pages: 70 Posted: 03 Nov 2012 Last Revised: 12 May 2014
Indiana University - Kelley School of Business - Department of Finance, University of Toronto - Rotman School of Management, University of Virginia and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 588 (86,010)
Citation 7

Abstract:

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Covenants, Debt contracting, Syndicated Loans, Bank loans, Agency Costs

11.

Market Jump Risk and the Price Structure of Individual Equity Options

WFA 2010 Victoria meetings
Number of pages: 55 Posted: 19 Jul 2009 Last Revised: 01 Jun 2010
Redouane Elkamhi and Chayawat Ornthanalai
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 529 (98,213)

Abstract:

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market jump risk, equity option, filtering, crash risk, skewness premium

12.
Downloads 528 (98,437)
Citation 8

Time Varying Risk Premia in Corporate Bond Markets

Number of pages: 50 Posted: 26 Mar 2008
Redouane Elkamhi and Jan Ericsson
University of Toronto - Rotman School of Management and McGill University
Downloads 454 (116,804)
Citation 11

Abstract:

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corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk.

Time Varying Risk Premia in Corporate Bond Markets

Number of pages: 54 Posted: 17 Feb 2009 Last Revised: 14 Nov 2022
Redouane Elkamhi and Jan Ericsson
University of Toronto - Rotman School of Management and McGill University
Downloads 57 (679,628)

Abstract:

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corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk

Time Varying Risk Premia in Corporate Bond Markets

Number of pages: 46 Posted: 05 Mar 2007
Jan Ericsson and Redouane Elkamhi
McGill University and University of Toronto - Rotman School of Management
Downloads 17 (1,007,487)

Abstract:

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risk premia, corporate bonds, structural models

13.

A Benchmark for Collateralized Loan Obligations

HKUST Business School Research Paper No. 2020-012
Number of pages: 77 Posted: 09 Jan 2021 Last Revised: 18 Dec 2023
Redouane Elkamhi, Ruicong Li and Yoshio Nozawa
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) - Department of Finance and University of Toronto
Downloads 504 (104,281)
Citation 1

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Corporate credit spreads, Structural credit risk models, the Merton model, Fixed income asset pricing

14.

Informed Option Trading and Stock Market Mispricing

Number of pages: 49 Posted: 07 Aug 2010 Last Revised: 28 Jun 2011
Redouane Elkamhi, Yong Lee and Tong Yao
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management and University of Iowa - Henry B. Tippie College of Business
Downloads 455 (117,802)

Abstract:

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informed option trading, idiosyncratic volatility anomaly

15.

Reputation and Loan Contract Terms: The Role of Principal Customers

Review of Finance, Forthcoming
Number of pages: 54 Posted: 27 Mar 2014 Last Revised: 10 May 2015
The Chinese University of Hong Kong, Chinese University of Hong Kong, ABFER, CEPR, and ECGI, University of Toronto - Rotman School of Management and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 445 (121,233)
Citation 39

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Principal customers, loan contracts, reputation-building, cross-monitoring

16.

Business Cycles and the Bankruptcy Code: A Structural Approach

AFA 2012 Chicago Meetings Paper
Number of pages: 62 Posted: 13 Apr 2010 Last Revised: 02 Jun 2011
Redouane Elkamhi and Min Jiang
University of Toronto - Rotman School of Management and University of Iowa - Henry B. Tippie College of Business
Downloads 438 (123,216)

Abstract:

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credit risk, macroeconomic conditions, bankruptcy, Chapter 11

17.

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 433 (124,894)
Citation 4

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

18.

Accounting Information Releases and CDS Spreads

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 48 Posted: 29 Jun 2011 Last Revised: 17 Mar 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Paris - Finance Department and University of Toronto - Rotman School of Management
Downloads 416 (130,840)
Citation 6

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Accounting information; CDS; jumps; market integration

19.

Rare Disasters, Credit and Option Market Puzzles

Rotman School of Management Working Paper No. 2270517
Number of pages: 56 Posted: 22 Aug 2013 Last Revised: 22 Feb 2016
Peter Christoffersen, Du Du and Redouane Elkamhi
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 392 (140,372)
Citation 5

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Credit spreads, volatility, term structure, option skewness, stochastic recovery, consumption risk

20.

Bank Loan Price Reactions to Corporate Events: Evidence from Traded Syndicated Loans

Kelley School of Business Research Paper No. 15-14
Number of pages: 49 Posted: 17 Jan 2015
Indiana University - Kelley School of Business - Department of Finance, University of Toronto - Rotman School of Management, University of North Carolina (UNC) at Charlotte and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 369 (149,836)
Citation 2

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Loan returns, Bank contracts, Wealth transfers, Share repurchases, SEOs

21.

Time Varying Default Risk Premia in Corporate Bond Markets

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 49 Posted: 20 Mar 2007 Last Revised: 14 Nov 2022
Jan Ericsson and Redouane Elkamhi
McGill University and University of Toronto - Rotman School of Management
Downloads 364 (152,100)
Citation 1

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corporate bonds, credit risk, structural model, volatility, default risk premia, idiosyncratic risk

22.

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 353 (157,299)
Citation 2

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Corporate Loans; Covenants; Covenant strictness; Cov-lite

23.

Dynamic Correlation Hedging in Copula Models for Portfolio Selection

Paris December 2009 Finance International Meeting
Number of pages: 64 Posted: 26 Oct 2009
Denitsa Stefanova and Redouane Elkamhi
Universite du Luxembourg and University of Toronto - Rotman School of Management
Downloads 314 (178,877)

Abstract:

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correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence

24.

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

AFA 2012 Chicago Meetings Paper
Number of pages: 51 Posted: 15 Mar 2011
Denitsa Stefanova and Redouane Elkamhi
Universite du Luxembourg and University of Toronto - Rotman School of Management
Downloads 298 (188,440)
Citation 2

Abstract:

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correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence

25.

What Risks Do Corporate Bond Put Features Insure Against?

Number of pages: 43 Posted: 16 Mar 2007 Last Revised: 21 Jan 2020
Jan Ericsson, Redouane Elkamhi and Hao Wang
McGill University, University of Toronto - Rotman School of Management and Tsinghua University
Downloads 292 (192,531)

Abstract:

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Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

26.

Asset holders' Consumption Risk and Tests of Conditional CCAPM

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 92 Posted: 04 Apr 2019 Last Revised: 03 Apr 2023
Redouane Elkamhi and Chanik Jo
University of Toronto - Rotman School of Management and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 284 (198,087)
Citation 3

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Conditional asset pricing test, Consumption CAPM, Conditional amount and price of consumption risk, conditional value premium puzzle

27.

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 275 (205,434)

Abstract:

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

28.

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 270 (208,500)

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Portfolio Choice, Asset Allocation, Machine Learning, Clustering

29.

Dynamic Hedging and Extreme Asset Co-Movements

Number of pages: 57 Posted: 28 Oct 2009 Last Revised: 24 Mar 2014
Denitsa Stefanova and Redouane Elkamhi
Universite du Luxembourg and University of Toronto - Rotman School of Management
Downloads 269 (209,287)
Citation 4

Abstract:

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Asset allocation, intertemporal hedging, tail risk, extreme co-movement

30.

The Cost of Financial Distress and the Timing of Default

AFA 2011 Denver Meetings Paper
Number of pages: 58 Posted: 19 Mar 2010
Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson
University of Toronto - Rotman School of Management, Marshall School of Business, University of Southern California and McGill University
Downloads 241 (233,315)
Citation 19

Abstract:

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financial distress costs, capital structure

31.

The Influence of Investor Identity and Contract Terms on Firm Value: Evidence from PIPEs

Journal of Financial Intermediation, Forthcoming
Number of pages: 46 Posted: 14 Mar 2011 Last Revised: 22 Jan 2015
Matthew T. Billett, Redouane Elkamhi and Ioannis V. Floros
Indiana University - Kelley School of Business - Department of Finance, University of Toronto - Rotman School of Management and University of Wisconsin - Milwaukee - Department of Finance
Downloads 239 (236,167)
Citation 14

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PIPE, private placement, investor identity, contract terms, financial contracting

32.

The Design of Financial Maintenance Covenants

Number of pages: 75 Posted: 13 Oct 2011 Last Revised: 16 Feb 2015
Redouane Elkamhi, Latchezar Popov and Raunaq S. Pungaliya
University of Toronto - Rotman School of Management, University of Virginia and Sungkyunkwan University (SKK) Graduate School of Business
Downloads 237 (237,148)
Citation 1

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Covenants, Moral Hazard, Contract Design

33.

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 213 (262,408)
Citation 2

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Dynamic Capital Structure, Financial Distress, Structural Estimation

34.

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 170 (321,292)

Abstract:

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35.

NOTE: An Equilibrium Asset Pricing Model for Stocks and Bonds under Growth and Inflation Risks

Rotman School of Management Working Paper No. 3777332
Number of pages: 19 Posted: 22 Mar 2021
Redouane Elkamhi and Jacky S.H. Lee
University of Toronto - Rotman School of Management and Healthcare of Ontario Pension Plan Trust Fund
Downloads 163 (334,915)

Abstract:

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equilibrium asset pricing, macroeconomic factors

36.

What Do Credit Markets Tell Us About the Speed of Adjustment?

Number of pages: 47 Posted: 15 Feb 2012 Last Revised: 22 Jan 2013
Redouane Elkamhi, Raunaq S. Pungaliya and Anand M. Vijh
University of Toronto - Rotman School of Management, Sungkyunkwan University (SKK) Graduate School of Business and University of Iowa - Department of Finance
Downloads 155 (347,546)

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Target leverage, tradeoff theory, speed of adjustment, pecking order, market timing, bond pricing

37.

Rare Macro Disasters in Credit and Option Markets

Number of pages: 54 Posted: 16 Mar 2012
Du Du and Redouane Elkamhi
Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 133 (392,645)

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Peso problem, credit spread, volatility, smirk premium, market integration

38.

The Term Structure of Expected Recovery Rates

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 14 Aug 2018
Hitesh Doshi, Redouane Elkamhi and Chayawat Ornthanalai
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 108 (459,127)
Citation 4

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Credit Default Swaps (CDS); Stochastic Recovery; Term Structure Seniority; No-Arbitrage

39.

Where to Hide in Bad Times: Or Should One Still Diversify Internationally?

Rotman School of Management Working Paper No. 2812623, 29th Australasian Finance and Banking Conference 2016
Number of pages: 50 Posted: 25 Jul 2016 Last Revised: 30 Sep 2016
Redouane Elkamhi and Denitsa Stefanova
University of Toronto - Rotman School of Management and Universite du Luxembourg
Downloads 108 (459,127)

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Asset Allocation, Dynamic Correlations, Asymmetric Dependence, Diversification

40.

Does the Long-Run Risk Explain the Cross-Section of Corporate Bond Returns?

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 52 Posted: 14 Oct 2020
Redouane Elkamhi, Chanik Jo and Yoshio Nozawa
University of Toronto - Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Toronto
Downloads 96 (497,965)

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41.

Getting Paranoid When Disasters Strike: A Learning-Based Explanation for Asset Pricing Puzzles

Number of pages: 62 Posted: 16 Mar 2012
Redouane Elkamhi and Du Du
University of Toronto - Rotman School of Management and Hong Kong University of Science & Technology (HKUST)
Downloads 77 (569,725)

Abstract:

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42.

Time-Varying Asset Volatility and the Credit Spread Puzzle

Number of pages: 54 Posted: 16 Mar 2012
Redouane Elkamhi, Jan Ericsson and Min Jiang
University of Toronto - Rotman School of Management, McGill University and University of Iowa - Henry B. Tippie College of Business
Downloads 33 (827,755)
Citation 4

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43.

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

Abstract:

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44.

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

Abstract:

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

45.

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

Abstract:

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

46.

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

47.

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

Abstract:

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Portfolio Choice, Asset Allocation

48.

Bridging the Gap between Strategic Allocation and Investment Risk

The Journal of Portfolio Management 47, no. 6 (2021): 89-100
Posted: 01 Oct 2019 Last Revised: 10 May 2021
Redouane Elkamhi, Jacky S.H. Lee and Sheikh Sadik
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and University of Toronto - Rotman School of Management

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Financial Markets, Financial Economics, Investment Risk, Asset Allocation, Risk Analysis, Market Simulation, Bayesian Analysis, Change of Measure, Importance Sampling, Institutional Investors, Pension Fund, Sovereign Wealth Funds