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Publications by Yannick Malevergne

Robust Reverse Engineering of Cross Sectional Returns and Improved Portfolio Allocation Performance Using the CAPM

SSRN Electronic Journal

English

Related publications

CAPM, Components of Beta and the Cross Section of Expected Returns

SSRN Electronic Journal

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Cross-Sectional Returns With Volatility Regimes From a Diverse Portfolio of Emerging and Developed Equity Indices

English

Cross-Sectional Factor Dynamics and Momentum Returns

SSRN Electronic Journal

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Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets

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Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

SSRN Electronic Journal

English

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

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Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

Journal of Political Economy

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Identification-Robust Estimation and Testing of the Zero-Beta CAPM

SSRN Electronic Journal

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SAAT: Reverse Engineering for Performance Analysis

English