ASSET ALLOCATION - Factor Neutrality

EQUITY PORTFOLIO MANAGEMENT - Implementing Optimal Risk Budgeting - Risk budgeting has become a buzzword. While there may be no generally accepted definition or approaches for implementation, the underlying concept of risk budgeting remains sound and relevant. Defining risk as "uncertainty of alpha," the authors argue that successful implementation of risk budgeting requires assessment of the ...

Lee, Wai, (2001)

Covariance risk, consumption risk, and international stock market returns

Lee, Wai, (1997)

Risk on/risk off

Lee, Wai, (2012)