There are lingering questions in the financial industry regarding the concepts of risk
contribution and risk budgeting. The questions stem from both the simple belief that risks are …

We use university endowment funds to study the relationship between asset allocation
decisions and performance in multiple asset class portfolios. Although endowments differ …

Quantitative equity portfolio management combines theories and advanced techniques from
several disciplines, including financial economics, accounting, mathematics, and …

Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-
case optimization approach is based on the Markowitz model and form portfolios that are …

A framework is described for the optimal allocation of active risk among broad asset classes
or external asset managers. Unlike most risk allocation models used by practitioners, this …

In this paper we investigate the role of asset allocation in the performance of college and
university endowment funds. Our analysis is based on a comprehensive dataset detailing …

The information ratio is a very controversial topic in the business world. Some portfolio
managers put a lot of weight behind this risk-analysis measurement while others believe that …

The investment decision confronting managers of multi-asset class portfolios can be
characterized in terms of the passive (ie, benchmark, or policy) and active (ie, market timing …

Once a fairly esoteric subject, risk analysis and measurement has become a critical function
for both portfolio managers and traders. Yet, accurate measurement and analysis of risk …

The crisis of 2008 diverted research energy towards exploring alternative asset allocation
methods with the main focus on risk diversification of portfolio due to failure of traditional …