This material was presented at the 3rd Frontiers of Factor Investing Conference at Lancaster, England.When assets' expected returns follow a factor structure subject to pricing errors, we show that the mean-variance portfolio can be used to obtain a set of implied factor risk premia. Contrary to...

This material was presented at the Canadian Association of Alternative Strategies & Assets 2021 annual conference. It is based on the publish paper: Portfolio Tilts Using Views on Macroeconomic Regimes.Long-term investors tilt their portfolios given their views on the evolving investment...

This technical note details an equilibrium asset pricing model for stocks and bonds under economic growth and inflation uncertainties using the Epstein and Zin preferences. Specifically, the results show that both equity and bond risk premiums are priced by growth and inflation uncertainties....

Long-term investors rebalance their portfolios given their views on the investment landscape. Portfolio tilting is often implemented using investors' views on point estimates of asset expected returns which are notoriously difficult to estimate and lead to unstable portfolio weights. We avoid...

Capital market assumptions (CMAs), which are long-term risk and return forecasts for asset classes, are important pillars of the investment industry. However, applying them reliably in portfolio construction has been (and still is) a challenge in the industry. Despite the difficulties, this...

When assets' expected returns follow a factor structure subject to pricing errors, we show that the mean-variance portfolio can be used to obtain a set of implied factor risk premia. Contrary to the instability of the mean-variance asset portfolio, we show that such implied factor risk premia...