Portfolio Optimization with Active, Passive, and Factors: Removing the Ad Hoc Step

Roger Aliaga-Diaz; Giulio Renzi-Ricci; Ankul Daga; Harshdeep Ahluwalia

doi:10.3905/jpm.2020.1.127

Portfolio Optimization with Active, Passive, and Factors: Removing the Ad Hoc Step

Roger Aliaga-Diaz, Giulio Renzi-Ricci, Ankul Daga and Harshdeep Ahluwalia

The Journal of Portfolio Management March 2020, jpm.2020.1.127; DOI: https://doi.org/10.3905/jpm.2020.1.127

Roger Aliaga-Diaz

is a principal and the global head of Asset Allocation with The Vanguard Group in Malvern, PA

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Giulio Renzi-Ricci

is a senior investment strategist with The Vanguard Group in London, UK

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Ankul Daga

is a senior investment strategist with The Vanguard Group in London, UK

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Harshdeep Ahluwalia

is the head of Asset Allocation, Americas with The Vanguard Group in Malvern, PA

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Portfolio Optimization with Active, Passive, and Factors: Removing the Ad Hoc Step

Roger Aliaga-Diaz, Giulio Renzi-Ricci, Ankul Daga, Harshdeep Ahluwalia

The Journal of Portfolio Management Jan 2020, jpm.2020.1.127; DOI: 10.3905/jpm.2020.1.127

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Portfolio Optimization with Active, Passive, and Factors: Removing the Ad Hoc Step

Roger Aliaga-Diaz, Giulio Renzi-Ricci, Ankul Daga, Harshdeep Ahluwalia

The Journal of Portfolio Management Jan 2020, jpm.2020.1.127; DOI: 10.3905/jpm.2020.1.127

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