We develop a framework for equity factor timing in a high-dimensional setting when the number of…
Tag: Optimal
Optimal Design of Life-Cycle Funds in Emerging Markets
To address this issue, DC pension plans often provide default investment options, which are automatically selected…
A Low-Risk, Optimal Strategy For Monthly Income
A Low-Risk, Optimal Strategy For Monthly Income #LowRisk #Optimal #Strategy #Monthly #Income
Regret and Optimal Portfolio Allocations
How is risk defined in portfolio optimization objective functions? Usually with a volatility metric, and often…
What’s Your Client’s Optimal Equity Allocation?
Investment advisors may be overestimating the risk of equities for longer-term investors. We analyzed stock market…