There is a myriad of financial anomalies in the cross-section of equity returns. They have been widely studied in the literature, which gives investors a large choice in terms of investment styles. In this paper, the authors show a perhaps unappreciated quality of financial anomalies: they...

DeMiguel et. al. (2009b) made a compelling case that estimation error dwarfs diversification benefits resulting in naive diversification (1/N) dominating mean-variance portfolios. We illustrate the necessary and sufficient conditions for risk-based allocation rules to be optimal in a...

Long-term investors rebalance their portfolios given their views on the investment landscape. Portfolio tilting is often implemented using investors' views on point estimates of asset expected returns which are notoriously difficult to estimate and lead to unstable portfolio weights. We avoid...

This material was presented at the Canadian Association of Alternative Strategies & Assets 2021 annual conference. It is based on the publish paper: Portfolio Tilts Using Views on Macroeconomic Regimes.Long-term investors tilt their portfolios given their views on the evolving investment...

This paper studies a novel channel through which climate risks affect households’ portfolio choices: a stringent climate change regulation elevates labor income risk for households employed by high-emission industries which in turn discourages households' financial risk-taking. Using staggered...