About
I bring a unique blend of academic rigor and practical industry know-how, with a focus on strategic asset allocation, tactical portfolio tilts, and asset-liability management.
Profound expertise in both the theoretical and practical aspects of factor-based investing, as well as total fund management including liquidity control, foreign exchange risk mitigation, and tail-hedging strategies.
Proven ability to produce and interpret high-quality research and deliver valuable insights on current investment trends and macroeconomic conditions.
My latest research is available on my personal webpage:
https://sites.google.com/view/marco-salerno
Activity
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Happy to post two updates. I defended my PhD. And that I recently joined the excellent Finance group at the DeGroote School of Business - McMaster…
Happy to post two updates. I defended my PhD. And that I recently joined the excellent Finance group at the DeGroote School of Business - McMaster…
Liked by Marco Salerno
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JUST SOLD Congrats to D & M who sold their stunning 3-bedroom townhouse with a fast closing. Since they were off to a new country, all they needed…
JUST SOLD Congrats to D & M who sold their stunning 3-bedroom townhouse with a fast closing. Since they were off to a new country, all they needed…
Liked by Marco Salerno
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We are pleased to announce Kevin Zhu, CFA as Acting Chief of Investment Strategy at QIA. Bringing nearly 20 years of total portfolio construction…
We are pleased to announce Kevin Zhu, CFA as Acting Chief of Investment Strategy at QIA. Bringing nearly 20 years of total portfolio construction…
Liked by Marco Salerno
Experience
Education
Publications
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How Optimal Are Risk-Based Portfolios?
The Journal of Portfolio Management
This study, with Jacky Lee and Redouane Elkamhi, provides the necessary and sufficient conditions for a class of risk-based rules (e.g., inverse volatility portfolios) to be considered theoretically optimal in a mean–variance framework. It also shows that such conditions are met empirically using many common datasets.
Other authorsSee publication -
Portfolio Tilts using Views on Macroeconomic Regimes
The Journal of Portfolio Management
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Practical Applications of Factor Investing Using Capital Market Assumptions
Practical Applications
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Agency Conflicts and Investment: Evidence from a Structural Estimation
The Review of Corporate Finance Studies
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Financial Anomalies in Asset Allocation: Risk Mitigation with Cross-sectional Equity Strategies
The Journal of Portfolio Management
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Factor Investing using Capital Market Assumptions
The Journal of Portfolio Management
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Enhancing the Inverse Volatility Portfolio through Clustering
The Journal of Financial Data Science, forthcoming
Languages
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English
Professional working proficiency
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Spanish
Elementary proficiency
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Italian
Native or bilingual proficiency
More activity by Marco
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Meet our new Head of M&A for Europe, Francesco Setola, MoF, MBA! We are thrilled to welcome Francesco to the team, who joins us at an exciting time…
Meet our new Head of M&A for Europe, Francesco Setola, MoF, MBA! We are thrilled to welcome Francesco to the team, who joins us at an exciting time…
Liked by Marco Salerno
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Well-governed companies are more profitable and sustainable in the long-term. AIMCo values the work done by the Canadian Coalition for Good…
Well-governed companies are more profitable and sustainable in the long-term. AIMCo values the work done by the Canadian Coalition for Good…
Liked by Marco Salerno
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Professor Elkamhi from the University of Toronto - Rotman School of Management discussed the keys to innovations in asset allocation at…
Professor Elkamhi from the University of Toronto - Rotman School of Management discussed the keys to innovations in asset allocation at…
Liked by Marco Salerno
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JUST LISTED - 3 Bedroom Townhouse Asking: $1,000,000 Dundas and Bloor, Etobicoke Staging by Partina This stunning 3-bedroom townhouse has an…
JUST LISTED - 3 Bedroom Townhouse Asking: $1,000,000 Dundas and Bloor, Etobicoke Staging by Partina This stunning 3-bedroom townhouse has an…
Liked by Marco Salerno
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As an immigrant who moved to Canada from Singapore in the 1970s because Canada was seen as a land of opportunity, this graphic makes me sad. I…
As an immigrant who moved to Canada from Singapore in the 1970s because Canada was seen as a land of opportunity, this graphic makes me sad. I…
Liked by Marco Salerno
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