Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable
and promise profitability. This research answers the question whether it is possible to …

The concept of alternative risk premia can be viewed as an extension of the factor investing
approach. Factor investing is a term that is generally dedicated to long-only equity risk …

This article develops a model that takes into account skewness risk in risk parity portfolios. In
this framework, asset returns are viewed as stochastic processes with jumps or random …

After the emergence of risk-based investing, factor investing has been the new hot topic in
the asset management industry since the 2008 global financial crisis. Both concepts are …

Statistical Arbitrage (SA) is a common financial term. However, there is no common
definition in the literature while investors use the expression SA for a variety of different …

Purpose–Nowadays popular algorithmic trading uses many strategies which are
algoritmizable and promise profitability. This research assess if it is possible successfully …

Statistical arbitrage is a trading strategy that employs time series methods to identify relative
mispricing between securities based on the expected values of these assets. The Pairs …

Abstract Alternative Risk Premia (ARP) are rule-based strategies. They should reward
investors exposed to non-traditional systematic risk factors. Yet, allocation to ARP is not …

This article examines the impact of macroeconomic announcements on corporate bond
prices and investor migrations across various types of bonds over time. In addition, the …

This paper explores extensive asset allocation possibilities and asset pricing tests shedding
light into the cross-sectional and time-varying nature of combining multi-asset alternative risk …