This article investigates the optimal design and management of portfolio insurance for target date funds. Capital protection is often set at 100% at inception for simplicity's sake, but without any clearer rationale. We propose a framework for estimating the optimal level of protection, or...

Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in order to target a constant level of risk over time. When applied to equities and compared to a buy and hold strategy it is known to improve the Sharpe ratio and reduce drawdowns. We used Monte Carlo...

This note presents a novel approach to the performance analysis ofmulti-factor investment strategies. Our main methodological contributions are threefold : first, the use of a cross-sectional projection of assetreturns onto the factors to form approximate portolio returns; second,that of...

We considered a large number of factors from value, quality, low risk and momentum styles and show that these factors can be used to select the corporate bonds with the highest risk-adjusted returns. Our results were confirmed for the three largest corporate bond universes, namely those defined...

We show that factors from value, quality, low risk and momentum styles play an important role in explaining the cross-section of corporate bond expected returns for the U.S. and Euro Investment Grade and U.S. BB-B non-Financial High Yield universes. We demonstrate the importance of purifying...

For a number of different formulations of robust portfolio optimization, quadratic and absolute, we show that a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs; and b) in the limit...