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Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
Macro Factor Mimicking Portfolios
Active Risk-Based Investing
Moment Component Analysis: An Illustration With International Stock Markets
A unified framework for risk-based investing
Generalized Risk-Based Investing
Moment Component Analysis: An Illustration with International Stock Markets
A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*
A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
Multi-moment Kernel Asset Pricing Model (KAPM): Some Basic Results
Multi-moment Approximate Option Pricing Models: A General Comparison (Part 1)
