Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with market uncertainty. During calm periods, the underlying risk forecast models...

Constructing a multi-asset portfolio with a constraint of tail risk aversion is challenging because (1) the individual asset classes have poor tail risk characteristics and (2) diversification between asset classes is minimal. A better portfolio can be achieved using a multi-strategy framework...

An investment portfolio's return variance is the sum of variance generated by passive systematic risk factor exposure, active security selection and active systematic risk factor timing. We show that the components of active risk can be estimated without knowledge of portfolio holdings. In a...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

This paper examines the optimal use of investment constraints in delegated portfolio management. We show that investment constraints, which limit managers' uses of margin purchase and short-sales, can benefit investors by enhancing managers' incentives to acquire long-term investment information...

Active management plays a critical, positive role in the efficiency of capital markets. In the first study of its kind to use data on institutionally-focused products, we find that, while a large percentage of active equity managers earn enough alpha on average to cover their costs, less than 2%...