We present a stock selection methodology that maximizes the expected returns of equity portfolios by efficiently managing their exposures to a given ensemble of risk premia, also known as factors. Our approach is mathematically grounded, robust in its design, and applicable in practice. It...

Portfolio managers are rarely able to express views on expected returns in a quantitative way. This paper tackles this issue by proposing a simple framework which allows these views to be part of an efficient portfolio construction process. This approach accommodates both a wide range of...

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity framework. Optimal allocations with views are characterized by two key properties. First, assets that are not subject to views remain at risk parity. Second, agnostic (cautious)...

Protecting portfolio against extreme losses is a fundamentally difficult task since past experience provides a poor guidance for the future. This paper focuses on a robust approach to the portfolio insurance, which does not require historical calibration, and therefore avoids the hazards of data...

Option-based portfolio insurance is a unique solution that combines a downside protection with guaranteed minimum upside participation. Its implementation, however, is challenging for public funds, whose investors have different entry points and uncertain holding periods. In this paper we extend...