Are factor characteristics more informative when compared with the entire investment
universe or a relevant subset of peers? Motivated by a belief that the answer is dependent …

Market capitalization of firms provides valuable information for analyzing stock markets and
the size factor is widely used in factor-based investing. Some markets, such as the Korean …

This article aims to provide information on how networks gauge and visualize complex
interactions and relationships between assets, factors, or other economic variables. The …

Optimizing in local currency or in currency-adjusted expected returns depends on the
portfolio base currency. Currency unhedged portfolios are more suitable for EUR-based …

The standard classification of emerging markets (EMs) does not correspond well to stage of
development, wealth, culture, or industrial mix. The authors propose using unsupervised …

• What do data tell us?• Cluster analysis using data on equities, fixed income, and GDP
(Garvey and Madhavan, 2019)▫ Equity: weekly returns for 36 countries from 2003 to 2019▫ …

In this paper, we first sort out the formula of the premium principle and the algorithm of the
diffusion model and then study the strategy problem about optimal investment consumption …