Perhaps the most universally accepted precept of prudent investing is to diver-sify, yet this
precept grossly oversimplifies the challenge of portfolio construction. Consider a typical …

One of the most vexing problems in investment management is that diversification seems to
disappear when investors need it the most. We surmise that many investors still do not fully …

Previous research has shown that equally weighted portfolios outperform optimized portfolios,
which suggests that optimization adds no value in the absence of informed inputs. This …

The US government’s failure to provide oversight and prudent regulation of the financial
markets, together with excessive risk taking by some financial institutions, pushed the world …

This monograph draws heavily on the vast body of knowledge that has been built by
financial economists over the last 50 years. Its goal is to show how to solve real‐life portfolio …

Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing
stocks, determining the cost of capital, and gauging the extent to which markets are integrated. …

Regime shifts present significant challenges for investors because they cause performance
to depart significantly from the ranges implied by long-term averages of means and …

Often, the lack of mark-to-market data lures investors into the misconception that alternative
asset classes and strategies represent somewhat of a “free lunch.” This article proposes …

Diversification often disappears when you need it most. Consider this. From January 1970
to February 2008, when both the US and World ex-US stock markets—as represented by …

Which investment choice is most important? Is it allocation among broad asset classes, country
allocation, choice of sector, or selection of individual securities? Many investors have a …