Capital Market Assumptions: Combining Institutions’ Forecasts for Improved Accuracy
Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leadi...
Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leadi...
Among the different members of the family of volatility forecasting models by weighted moving average1 like the simple and the exponentially weighted moving...
Introduction It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly seri...
Bootstrapping is a statistical method which consists in sampling with replacement from an original data set to compute the distribution of a desired statist...
The equal risk contribution (ERC) portfolio, introduced in Maillard et al.1, is a portfolio aiming to equalize the risk contributions from [its] different co...