We develop a normative theory for constructing mean-variance portfolios robust to model misspecification. We identify … and a "beta'' portfolio that depends on factor risk premia, which when combined give mean-variance efficient portfolios …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …

"Liability-Driven Investment with Downside Risk" in the Journal of Portfolio Management Fall 2013, Vol. 40, No. 1: pp. 71-87 …

estimation and interpretation of standard risk and return measures. These complications have led to substantial disparity in …