Achieving desired exposures to information sources is critical to successful active investing. A portfolio manager, for example, wants to increase her portfolio's exposure to a signal — how long will it take? By how much should she change the signal's weight? How will exposures to other...

Scenario stress testing is a useful and increasingly popular approach to assess portfolio performance under different market conditions. In this paper we focus on how to incorporate stress scenario information directly in portfolio construction as additional constraints to control for potential...

We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology does not rely on any exogenous switching criteria but instead explicitly includes trading acceleration and deceleration...

In the wake of the financial crisis, investors are increasingly concerned with ways to mitigate extreme losses. We analyze various approaches to enhancing traditional portfolio construction with tail-risk control. Interestingly, we find investors have better managed tail-risk using a...