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risk premium, bad times, factor allocation, alternative beta, smart beta, exotic beta, dynamic portfolio choice, fixed income weights, GDP-weights
Diversification, efficient frontier, free lunch, non-participation, risk parity, volatility weighting, estimation risk
Systematic risk, stochastic volatility, idiosyncratic volatility
contrarian, countercyclical investing, agency problem, delegated portfolio management, illiquid investments
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implied volatility, risk premiums, predictability, short-term momentum
implied volatility, risk premiums, return predictability, momentum
asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect
carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity
ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson
Inflation, Commodities, Gold, Real estate, TIPS, real bonds, inflation risk premium, inflation hedge, precious metals, backwardation, normalization, REIT
book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta
Present value model, predictability, international predictability, short rates, dividend yield, earnings yield
illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model
Rebalancing, Long-horizon investing, Diversification return, Kelly rule, Ulysses contract, Short volatility strategy
Asset Allocation, Liquidity, Alternative Assets, Liquidity Crises
Asset allocation, liquidity, alternative assets, liquidity crises
asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments
Chinese local government debt, real estate, political risk, government guarantee
Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia, APT, Efficiency Loss
idiosyncratic volatility, Fama-MacBeth regression
regime-switching term structure model, inflation risk premium, business cycles
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Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution
GDP Forecasting; Short Rate; Term Spread; Arbitrage-Free Term Structure Models; Out-of-Sample Forecast
Hedge funds, private equity, alternative assets, portfolio choice
market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands
municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes
market timing, tactical asset allocation, regime switching, international diversification
regime switching, non-linear equilibrium asset pricing models, mixture distributions rare events, jumps
jumps, mixture distributions, non-linear equilibrium asset pricing models, rare events, regime switching
capital structure, long-short positions, exposure, hedging, systemic risk
legitimacy, performance, management, government, equilibrium, long run
Cost of illiquidity, hedge fund valuation, exercise restriction, redemption notice period, lockup, suspension clause
hedge fund lockup, withdrawal, redemption notice period, suspension clause
risk-return trade-off, risk premium,stochastic volatility, predictability
Equity premium, GARCH, Predictability, Habit, Long-run risk, Disasters, Heterogeneous agents, Spurious regression
present value, discount rates, term structure of expected returns, time-varying beta, time-varying risk premium, capital budgeting
present value, term structure of discount rates, time-varying beta, time-varying risk premium, capital budgeting
Nonparametric estimator, time-varying beta, conditional alpha, book-to-market premium, momentum effect
hedge fund, fund-of-funds, portfolio allocation, certainty equivalent
Hedge funds, survivorship bias, performance evaluation, benchmarking, asset allocation
term structure, yield curve, equity risk premium, Fed model, TIPS, Taylor rule
Yield Curve, Equity Risk Premium, Fed Model, TIPS, Taylor Rule
Population aging, demography, risk premiums, international predictability, social security
Population aging, demography, risk premiums, international predictability
Illiquidity Premium, Limits to Arbitrage, Disclosure, Over-the-counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Return Anomalies
Illiquidity Premium, Limits to Arbitrage, Over-the-Counter Markets, OTC Stocks, Pink Sheets, Bulletin Board, Disclosure, Return Anomalies
Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall
Sovereign Default Risk, CDS, Systemic Risk, Contagion, Euro, Uni Bonds
Principal-agent, Boards, Delegated portfolio management, Benchmark, Optimal Contract
IPO, long-run performance, small sample inference, peso problem
Net Zero, SBTI, Paris Agreement, Multi-Asset Investing, Climate Investing, Climate Change, Stock Returns
Quadratic term structure model, Monetary policy, Interest rate risk, time-varying parameter model
Affine term structure model, monetary policy, interest rate risk
ARIMA, Phillips curve, forecasting, term structure models
municipal bonds, income and capital gains tax, de minimis boundary, public finance
municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate
municipal bonds, advance refunding, public finance
ESG, ESG alpha, Sustainable Alpha, Sovereign Bonds, Corporate Bonds, Paris Alignment, Net Zero, Sustainability, ESG Flows, Carbon Intensity, SBTI Commitments
Short rate, term spread, drift, volatility, regime-switching
FX, Asset allocation
Decoupling, Uninvestable, Asset Allocation, Regime Switching, Hedging Demand, Emerging Markets
Public Pensions, Risk Management, Portfolio Optimization, Alternative Investments
Public Pension Portfolios, Alternative Investments, Leverage, Portable Alpha Strategies
[Andrew Ang, Factor Investing, Portfolio Design
sustainability, ESG, equilibrium, demand-based asset pricing, stock predictability, scenarios
knapsack algorithm, active management, manager selection, information ratio, mean-variance optimization
Transition management, portfolio transitions, transaction costs, capacity, implementation shortfall, expected trading costs, impact function, pre-trade expected costs, trade horizon, count data model
Portfolio allocation, institutional investors, risk decomposition, style factor tilts, sector exposure, ESG, carbon emissions
Municipal debt, tax-exempt bonds, public finance, tax subsidy
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efficient market hypothesis, CAPM, APT, arbitrage
factor investing, factor timing, long-run trends, cycles, Hodrick-Prescott, regime switching models, spectral analysis
cryptocurrency, Bitcoin, crypto trading strategy, asset allocation with crypto, portfolio choice, cumulative prospect theory
Macro factors, style factors, factor timing, US core index, fixed income
Social Security, optimization, lifecycle models
factor investing, style box, active managers, multifactor, factor dispersion, return attribution, style drift
factors, factor investing, sustainable investing, ESG, CSR, socially responsible investing, corporate culture, intangible value, green patents
ETFs, Mutual Funds, Crowding, Factors
portfolio, factors, risk premia, risk
Portfolio Construction/Optimization; Strategic Asset Allocation; Tactical Asset Allocation; Single Factors; ETFs; Factor Investing; Implementation
Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios
Capacity, smart beta, factor risk premium, transaction cost
Real Estate, Direct Real Estate Investments, REITs
Portfolio Management: Asset Allocation, Portfolio Construction, Rebalancing and Implementation
