There is a myriad of financial anomalies in the cross-section of equity returns. They have been widely studied in the literature, which gives investors a large choice in terms of investment styles. In this paper, the authors show a perhaps unappreciated quality of financial anomalies: they...

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

DeMiguel et. al. (2009b) made a compelling case that estimation error dwarfs diversification benefits resulting in naive diversification (1/N) dominating mean-variance portfolios. We illustrate the necessary and sufficient conditions for risk-based allocation rules to be optimal in a...

This technical note details an equilibrium asset pricing model for stocks and bonds under economic growth and inflation uncertainties using the Epstein and Zin preferences. Specifically, the results show that both equity and bond risk premiums are priced by growth and inflation uncertainties....

Long-term investors rebalance their portfolios given their views on the investment landscape. Portfolio tilting is often implemented using investors' views on point estimates of asset expected returns which are notoriously difficult to estimate and lead to unstable portfolio weights. We avoid...