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White Paper

Building a Better Commodities Portfolio

Rather than relying on passive indexes like the S&P GSCI and the Dow Jones-UBS Commodity Index, investors can potentially build a better commodities portfolio by balancing risk across sectors and targeting a steady level of volatility through time.

White Paper

Trend Following and Rising Rates

Can trend followers benefit from the impact of rising yields on asset class returns? We explore a simple trend-following strategy during rising rates and find that the strategy may benefit investors when markets experience gradual, persistent changes


Words From the Wise: Robert Engle on Portfolio Management

This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.

Journal Article

Time Series Momentum

We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.

Journal Article

Regulating Systemic Risk

Systemic risk is the risk that the failure and distress of a significant part of the financial sector reduces the availability of credit which in turn may adversely affect the real economy.

Journal Article

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

In this paper, we construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity.

Journal Article

Adverse Selection and the Required Return

Securities are traded by buyers and sellers with different levels of knowledge about those securities.

Journal Article

Market Liquidity and Funding Liquidity

The funding of traders affects — and is affected by — market liquidity in a profound way.

Journal Article

Margin-Based Asset Pricing and Deviations From the Law of One Price

The role of funding constraints becomes particularly obvious in liquidity crises, with the one that started in 2007 being an excellent example.

Journal Article

Liquidity and Asset Prices

Liquidity is a complex concept.