The risk parity investment model for asset allocation offers an alternative to the mean–variance
framework. The fundamental idea is that the allocation to different asset classes should …

Factor models are by now ubiquitous in finance and form an integral part of investment practice.
The most common models in the investment industry are linear, a development that is no …

The Black–Litterman model is one of the most popular models in quantitative finance, with
numerous theoretical and practical achievements. From the standpoint of investment theory, …

[...] decision tree–based forms of data analysis provide a hierarchical approach to analyzing
data, whereas neural network algorithms use an inherent parallel processing of data to …

In this article, the authors investigate the performance of the Sharpe parity asset allocation
strategy relative to the more well-known 60/40, mean–variance, risk parity, and min-variance …

The authors situate financial data science within the broader history of econometrics and
argue that its ascendance marks a reorientation of the field toward a more empirical and …

Game-theoretic methods are not widespread in finance. One reason is that practitioners do
not see straightforward applications of game theory to core investment problems. To that end, …

This article investigates investment decision making under conditions of almost complete
causal ignorance. Using two basic notions of causal dependence, probabilistic and …

Systematic macro investors’ use of the regime-switching models that have been developed
in academia over the last several decades is infrequent at best and, when used, generally …

We present a methodology for obtaining a valid correlation matrix from an invalid one for
financial applications. In contrast to other approaches, the methodology described only …