Option-based portfolio insurance is a unique solution that combines a downside protection with guaranteed minimum upside participation. Its implementation, however, is challenging for public funds, whose investors have different entry points and uncertain holding periods. In this paper we extend...

Protecting portfolio against extreme losses is a fundamentally difficult task since past experience provides a poor guidance for the future. This paper focuses on a robust approach to the portfolio insurance, which does not require historical calibration, and therefore avoids the hazards of data...

We present a stock selection methodology that maximizes the expected returns of equity portfolios by efficiently managing their exposures to a given ensemble of risk premia, also known as factors. Our approach is mathematically grounded, robust in its design, and applicable in practice. It...

This paper studies the prior-free allocation framework of Chassang (2016) in continuous time, and proposes a simple analytical approximation of the optimal solution. Numerical analysis based on actual and simulated data demonstrates the robustness of the proxy strategy. The result of the paper...

Portfolio managers are rarely able to express views on expected returns in a quantitative way. This paper tackles this issue by proposing a simple framework which allows these views to be part of an efficient portfolio construction process. This approach accommodates both a wide range of...

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity framework. Optimal allocations with views are characterized by two key properties. First, assets that are not subject to views remain at risk parity. Second, agnostic (cautious)...

The recent surge of interest in so-called smart beta strategies originates from the apparent shortcomings of both traditional benchmarks and active management. Yet not all investors want to follow passive indexing, no matter how smart. Recent literature has tried to reconcile the need for...

We show that Risk parity and risk-based models in general can be rationalized as an optimal decision under ambiguity. Risk-based framework represents an extension of Maximum diversification approach of Choueifaty and Coignard (2008) in the presence of ambiguity in risk-adjusted expected returns

In this paper we develop approximating formulas for European options prices based on short term asymptotics, i.e. when time-to-maturity tends to zero. The analysis is performed in a general setting where stochastic volatility and jumps drive the dynamics of stock returns. In a numerical study we...

The main result of the paper is a formula for zero time-to-maturity limit ofimplied volatilities of European options under a broad class of stochastic volatilitymodels. Based on this formula, we propose a closed-form approximation of theimplied volatility smile.[...]