In this article, the authors propose a comprehensive framework for simultaneously allocating
assets among active, passive, and factor investments while accounting for the uncertainty in …

Many option pricing models imply that the price of a call option is a monotonically increasing
function of the value of its underlying asset, and the price of a put option is a monotonically …

The recent rapid growth of passive investment instruments in the fixed-income market raises
the question of their relative outperformance compared to corresponding active investment …

Modern portfolio theory commenced the ensuing debate regarding the benefits of active
versus passive management in regards to mutual funds. The two opposing mutual fund …

Abstract Modern Portfolio Theory explores how risk-averse investors construct portfolios to
optimize expected returns against market risk and quantifies the benefits of diversification …

This article investigates the risk-return relationship of managed portfolios when two risk
indicators, the Tracking Error Volatility (TEV) and the Value-at-Risk (VaR), are both …

Employing a database of equity portfolio holdings for active US equity fund managers, this
research provides a simulation analysis of the various portfolio blends as additional active …

Imagine for a moment that you live in a world with only two fund options: a passively
managed fund1 and an actively managed fund2 with similar levels of volatility. You, the …

The institutional investor corporate engagement theory holds that investors may use their
position of ownership to monitor and engage corporations within which they are invested in …

In reviewing “manager structure,” quantitative performance with respect to both past and
expected future returns is highly evaluated as well as qualitative considerations such as …