The dynamic Black-Litterman approach to asset allocation

We generalise the Black-Litterman (BL) portfolio management framework to incorporate time-variation in the conditional distribution of returns in the asset allocation process. We evaluate the performance of the dynamic BL model using both standard performance ratios as well as other measures that are designed to capture tail risk in the presence of non-normally distributed asset returns. We find that the dynamic BL model outperforms a range of different benchmarks. Moreover, we show that the choice of volatility model has a considerable impact on the performance of the dynamic BL model

Tail Risk Connectedness Between US Industries

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression technique to construct and analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk drivers, tail-risk receivers, and tail-risk distributors among industries and confirm that the actual trade flow between industries is a major driver of their tail risk connectedness

Single-Step-Lithography Micro-Stepper Based on Frictional Contact and Chiral Metamaterial

International audienceStepper motors and actuators are among the mainconstituents of control motion devices. They are complex multibodysystems with rather large overall volume due to theirmultifunctional parts and elaborate technological assemblyprocesses. Miniaturization of individual parts is still posingassembly problems. In this paper, a single-step lithography processto fabricate a micro-stepper engine with an accurate micrometricrotation axis and an overall sub-millimeter size is demonstrated.The device is based on the frictional contacts and chiralmetamaterials to get rid of the dependence on the accuracy ofparts. The functional aspects of fabricated samples are discussedfor many rotation cycles and for different frictionalsurfaces

Single-Step-Lithography Micro-Stepper Based on Frictional Contact and Chiral Metamaterial

International audienceStepper motors and actuators are among the main constituents of control motion devices. They are complex multibody systems with rather large overall volume due to their multifunctional parts and elaborate technological assembly processes. Miniaturization of individual parts is still posing assembly problems. In this paper, a single-step lithography process to fabricate a micro-stepper engine with an accurate micrometric rotation axis and an overall sub-millimeter size is demonstrated. The device is based on the frictional contacts and chiral metamaterials to get rid of the dependence on the accuracy of parts. The functional aspects of fabricated samples are discussed for many rotation cycles and for different frictional surfaces