The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

The practical issues that arise due to the interaction between three principal players in any
quantitative strategy—namely, the alpha model, risk model, and constraints—are collectively …

Recently, coherent risk measure minimization was formulated as robust optimization and the
correspondence between coherent risk measures and uncertainty sets of robust optimization …

Valuable insights on the major methods used in today's asset and risk management arena
Risk management has moved to the forefront of asset management since the credit crisis …

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 …

We propose a new performance attribution framework that decomposes a constrained
portfolio's holdings, expected returns, variance, expected utility, and realized returns into …

In response to the need for transparent factor-based, long-only strategies, investors have
devised distinct residual-free attributions designed to leave little active return unexplained …

Existing implementations of factor attribution only explain part of a quantitatively managed
portfolio's return, even when factor models are all that is behind the investment strategy. We …

Factor attribution based on linear regression often fails to satisfactorily explain the
performance of systematic investment strategies. A volatile or persistent residual suggests …

We customize factor attribution for quantitative equity portfolios to better align the
measurement of factor returns with how factor tilts were taken on. Specifically, we provide a …