A
Andrew Ang
Researcher at BlackRock
Publications - 173
Citations - 26312
Andrew Ang is an academic researcher from BlackRock. The author has contributed to research in topics: Asset allocation & Risk premium. The author has an hindex of 57, co-authored 165 publications receiving 24654 citations. Previous affiliations of Andrew Ang include Columbia University & National Bureau of Economic Research.
Papers
More filters
Posted Content
The Cross-Section of Volatility and Expected Returns
TL;DR: In this article, the authors examine the pricing of aggregate volatility risk in the cross-section of stock returns and find that stocks with high sensitivities to innovations in aggregate volatility have low average returns.
Journal ArticleDOI
The Cross-Section of Volatility and Expected Returns
TL;DR: In this paper, the authors examined the pricing of aggregate volatility risk in the cross-section of stock returns and found that stocks with high sensitivities to innovations in aggregate volatility have low average returns.
Journal ArticleDOI
International Asset Allocation With Regime Shifts
Andrew Ang,Geert Bekaert +1 more
TL;DR: In this article, a dynamic portfolio choice problem of a U.S. investor faced with a time-varying investment opportunity set modeled using a regime-switching process is solved.
Journal ArticleDOI
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
TL;DR: In this paper, the joint dynamics of bond yields and macroeconomic variables in a vector autoregression, where identifying restrictions are based on the absence of arbitrage, are described.
Journal ArticleDOI
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
TL;DR: In this article, the joint dynamics of bond yields and macroeconomic variables in a vector autoregression, where identifying restrictions are based on the absence of arbitrage, are described, and the forecasting performance of a VAR improves when no-arbitrage e restrictions are imposed.