Investors have long debated what fraction, if any, of their portfolio's currency exposure they should hedge. Although the answers cover a broad range, often with dubious rationale, most informed investors agree that the solution should be based on mean-variance optimization, deployed either to...

In a low-rate environment, government bonds may not mitigate equity risk as well as they have in the past. This structural shift has profound implications for asset allocation. Historically, the expected return of government bonds has been positive, and they have mitigated downside risk. In...

A vast literature, spanning back more than four decades, explores the relationship between inflation and asset prices. Most studies focus on the inflation hedging properties of stocks, bonds, or commodities assuming they are held in a static, buy-and-hold portfolio. Few have examined the...