Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

In this article, the authors present a strategic factor allocation framework across the total
portfolio with the motivation of reframing asset allocation decisions along factor dimensions …

Even though large language models such as ChatGPT are not specifically trained for
analyzing asset returns or recommending stocks, it may still provide additional insight into …

Factor‐based allocation embraces the idea of factors, as opposed to asset classes, as the
ultimate building blocks of investment portfolios. We examine whether there is a superior …

There is increasing interest in the idea of allocating across factors instead of across
traditional asset classes. Allocating across factors has the intuitive appeal of allocating …

It is widely acknowledged that asset returns are driven by common sources of risk,
especially in challenging times when the benefits from traditional portfolio diversification fail …

Portfolio optimization methods have evolved significantly since Markowitz introduced the
mean-variance framework in 1952. While the theoretical appeal of this approach is …

We show how macro factors—economic growth, inflation, real rates, credit, emerging
markets, and liquidity—can be used to model private market returns. The framework helps to …

Discussion Factor investing seeks to identify the drivers of risk and return and to determine
the sensitivity of an asset class or an individual security to those drivers. Across the asset …

In the approximately 10,000 advisor portfolios analyzed at the security level, the authors find
large common patterns and significant exposures to just a few factors. Advisor portfolios are …