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 …

Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has
triggered stock market shocks. As a result of this situation, investors prefer to move their …

The authors examine how a factor allocation can be integrated into an asset owner's existing
roster of active managers. Using a risk-budgeting framework, they have several findings.(1) …

Instead of forcing a choice between active and passive portfolios, we create a better-of-two
option to (1) calculate active management's value and (2) find the optimal weights for an …

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 Better-of-Two Strategy for Active Management: Dynamically Combining (and Valuing)
Active and Passive Portfolios Through Time Page 1 The Better-of-Two Strategy for Active …

The active-versus-passive portfolio debate falsely forces investors into an all-or-nothing
decision between the two. Instead, using a well-known option approach, we show (1) how to …