Empirical evidence for the price-dividend ratio to be a predictor of the equity premium is weak. We argue that changes in the economic conditions and market composition lead to a time-varying relationship between prices, dividends and the equity premium. Exploiting the information in the rolling...

In a risk-based portfolio, there is no explicit control for the performance per unit of risk taken. We propose a framework to evaluate the balance between risk and performance at both the portfolio and component level, and to tilt the risk-based portfolio weights towards a state in which the...

In the Web Appendix to the paper by Ardia et al. (2017), we provide additional results regarding the implementation and the performance when the PRCC is computed with downside-risk measures. We further test the sensitivity to the value of the bound on the tracking error constraint and discuss...