RT Journal Article SR Electronic T1 Mass Customization of Asset Allocation JF The Journal of Investing FD Institutional Investor Journals SP 73 OP 97 DO 10.3905/joi.2021.1.217 VO 31 IS 3 A1 Tarek Issaoui A1 Romain Perchet A1 Olivier Retière A1 François Soupé A1 Chenyang Yin A1 Raul Leote de Carvalho YR 2022 UL https://pm-research.com/content/31/3/73.abstract AB The digital transformation is creating a need for mass customization of tactical asset allocation (TAA). Asset managers publish TAA qualitative views regularly. However, the construction of robust portfolios from such views at large scale is often oversimplified. This article proposes a robust framework that enables the industrialization of highly customized TAA portfolios from a single set of investment views. The authors’ framework links the conviction of investment views to the consumption of risk and derives the expected returns accordingly. They show that robust optimization brings the level of consistency required for full automation of portfolio construction. They also show how a factor-based risk model can provide the level of transparency necessary for the interpretability of the framework.