Striving for maximum diversification we follow Meucci (2009) in measuring and managing a
multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is …

Identifying economic regimes is useful in a world of time-varying risk premia. We apply regime
switching models to common factors proxying for the macroeconomic regime and show …

Aiming to optimally harvest global equity factor premiums, we investigated the benefits of
parametric portfolio policies for timing factors conditioned on time-series predictors and tilting …

We investigate a new way of equity portfolio selection that provides maximum diversification
along the uncorrelated risk sources inherent in the S&P 500 constituents. This diversified …

This chapter examines the use and merits of hierarchical clustering techniques in the context
of multi‐asset multi‐factor investing. In particular, it contrasts these techniques with several …

Naïvely testing for accruals mispricing in 26 equity markets – one market at a time – we find
statistical evidence of anomalous returns in some countries. However, some of these …

… We have a prediction horizon of six months, h = 6. Suppose also that we have already …
a distance of h between the training and validation sets. This explains the second h in the …

Equal-weighted (EW) portfolios have outperformed their value-weighted (VW) counterparts
over multiple decades in various investment universes. This article investigates the long-term …

… H time-steps. Let t = 1, 2, …, T be the time index of portfolio rebalancing and I(t) = t − (⌈t ∕
H⌉ − 1) H a subindex for each investment period ⌈t ∕ H⌉, so that the latter runs from 1 to H …

The emerging literature suggests that machine learning (ML) is beneficial in many asset
pricing applications because of its ability to detect and exploit nonlinearities and interaction …