Factor models are now widely used to support asset selection decisions. Global asset allocation, the allocation between stocks versus bonds and among nations, usually relies instead on correlation analysis of international equity and bond indexes. It would be preferable to have a single integrated framework for both asset selection and asset allocation. This framework would require a factor model applicable at an asset or country level, as well as at a global level, that covers both stocks and bonds
This thesis addresses the issue of developing optimal "ex~ante" global asset allocation strategies f...
This paper characterizes the forces that determine time-variation in expected international asset re...
This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and...
Factor models are now widely used to support asset selection decisions. Global asset allocation, t...
In this paper we estimate and interpret the factors that jointly determine bond returns of different...
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade pe-riod, we show ...
We estimate a latent factor model that decomposes international stock returns into global, country-,...
Thesis (Ph.D.)--University of Washington, 2016-06My dissertation studies financial asset allocation ...
A large proportion of international portfolio managers and pension fund trustees allocate their fu...
We study the co-movement in international zero-coupon government bond yields using a recently propos...
The aim of this theoretical paper is to discuss the researches implemented in government bond and ot...
The paper investigates whether US, Japanese and European stock and government bond return indices ar...
We show, in a broad class of affine general equilibrium models with long-run risk, that the covarian...
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among ...
This paper presents a model of international portfolios with real exchange rate and non financial ri...
This thesis addresses the issue of developing optimal "ex~ante" global asset allocation strategies f...
This paper characterizes the forces that determine time-variation in expected international asset re...
This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and...
Factor models are now widely used to support asset selection decisions. Global asset allocation, t...
In this paper we estimate and interpret the factors that jointly determine bond returns of different...
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade pe-riod, we show ...
We estimate a latent factor model that decomposes international stock returns into global, country-,...
Thesis (Ph.D.)--University of Washington, 2016-06My dissertation studies financial asset allocation ...
A large proportion of international portfolio managers and pension fund trustees allocate their fu...
We study the co-movement in international zero-coupon government bond yields using a recently propos...
The aim of this theoretical paper is to discuss the researches implemented in government bond and ot...
The paper investigates whether US, Japanese and European stock and government bond return indices ar...
We show, in a broad class of affine general equilibrium models with long-run risk, that the covarian...
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among ...
This paper presents a model of international portfolios with real exchange rate and non financial ri...
This thesis addresses the issue of developing optimal "ex~ante" global asset allocation strategies f...
This paper characterizes the forces that determine time-variation in expected international asset re...
This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and...