Sophisticated institutional investors have a growing interest in factor investing, a disciplined
approach to portfolio management that is broadly meant to allow investors to harvest risk …

The potential source of additional performance because of the simple act of resetting
portfolio weights back to the original weights is referred as the rebalancing premium. It is also …

This thesis consists of three independent parts. The first chapter is based on the stochastic
portfolio theory developed by Robert Fernholz and proposes a theoretical and empirical …

This article provides a detailed analysis of the theoretical, statistical, and implementation
challenges related to factor investing in the US sovereign bond markets, with a focus on the …

It has been claimed that, for dynamic investment strategies, the simple act of rebalancing a
portfolio can be a source of additional performance, sometimes referred to as the volatility …

… Jean-Michel Maeso …

… Jean-Michel Maeso …

In this paper we propose a definition of value in Treasury bonds that, we believe, is more
satisfactory than definitions found in the recent literature, and that allows statistically significant …

Extending the work by Engle et al.(2020), we seek to measure a news-based climate-change
beta. Using five language models of increasing sophistication and five high-quality …

In this article, we undertake a systematic, security-level analysis of momentum and reversal
strategies in US Treasuries covering more than 40 years of data. We distinguish between …