Of course, our proposal of an algorithm, or dynamic portfolio, as an index is a significant
departure from the norm. Existing indexes such as the S&P 500 are defined as baskets of …

Portfolio volatility is the only source of risk in mean–variance optimality, but it fails to capture
all the risks faced by leveraged portfolios. These risks include the possibility of margin calls …

Enhanced active equity strategies, including 120–20 and 130–30 long–short portfolios, have
become increasingly popular as managers and investors search for new ways to expand the …

In this article, the authors use KLD Research and Analytics (KLD) rankings from 1991 to
2009 to create three long-only portfolios: high-ranking “Top” stocks,“Shunned” stocks, and …

We discuss risk, preference and valuation in classical economics, which led academics to
develop a theory of market prices, resulting in the general equilibrium theories. However, in …

The impacts on the active management of investment portfolios of a) market concentration,
b) cross-sectional return dispersion and c) restrictions on short sales are explored in this …

Over more than 30 years of research and portfolio management, the authors developed 10
key insights that inform our investment process. These insights all stem from the realization …

This article demonstrates the importance of setting risk budgets and constraints mindful of
the nature of the chosen benchmark and the investment environment. The asymmetrical …

In this paper, we describe some of the areas in which we have been fortunate to work with
Harry Markowitzfields in which he was either the originator or was a major developmental …

One of the principal components of equity investing is the portfolio construction process. In
particular, constraints on portfolio construction, including limits on the investment universe …