In this article, the authors propose a comprehensive framework for simultaneously allocating
assets among active, passive, and factor investments while accounting for the uncertainty in …

Some investment strategists advocate concentrated, “best ideas” portfolios as the surest path
to equity market outperformance. The premise is obvious: When a portfolio consists only of …

In this article, the authors define a comprehensive, rigorous and intuitive portfolio
construction framework that accounts for the key aspects of private equity investing in multi-asset …

The explosion of interest in ESG investing has yielded a number of quantitative frameworks
that seek to incorporate non-pecuniary ESG preferences into conventional multi-asset …

Figure 1a shows the three-year rolling correlation from January 2003 to November 2020
between UK equities and three different types of UK bonds split by credit risk: cash, government …

Risk parity methods focused on volatility have gained traction in the last decade. A few
extensions have been proposed, including tail risk parity. The authors show that, at its limits, tail …

■ Mean-variance optimization and other conventional portfolio construction approaches
operate in two dimensions: portfolio risk and portfolio return. However, real-world investor …

Some investors have become concerned about the low-interest-rate environment and its
impact on the role that bonds play in a multi-asset portfolio. In order to analyze the equity …

● An allocation to global bond markets gives investors exposure to a greater number of
securities, markets and economic and inflation environments than they would have with a …

… Giulio Renzi-Ricci … of The Journal of Portfolio Management, Roger Aliaga-Diaz, Giulio
Renzi-Ricci, Ankul Daga, and Harshdeep Ahluwalia, all with The Vanguard … Giulio Renzi-Ricci …