While static factor-based investing is nowadays a common way of allocating portfolios, the next step, a dynamic progression towards time-varying components and factor cyclicity, is still far less established. This study offers a survey on the state of the art of factor timing in asset management...

Investors live in a multi-period, volatile world and base their decisions on theories of asset pricing, and asset allocation, often derived from a single period model. They make assumptions about asset returns and volatilities and use optimizers to set their long term allocations, and often...

Chapter 1 : The Birth of Modern Finance -- Chapter 2 : The Birth of Capital Market Theory -- Chapter 3 : Rise of Institutional Quantitative Management -- Chapter 4 : Finance Theory in Crisis -- Chapter 5: The Crisis at the Workbench or Markowitz’s revenge -- Chapter 6: The Michaud Efficient...