For a number of different formulations of robust portfolio optimization, quadratic and absolute, we show that a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs; and b) in the limit...

This article investigates the optimal design and management of portfolio insurance for target date funds. Capital protection is often set at 100% at inception for simplicity's sake, but without any clearer rationale. We propose a framework for estimating the optimal level of protection, or...

Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in order to target a constant level of risk over time. When applied to equities and compared to a buy and hold strategy it is known to improve the Sharpe ratio and reduce drawdowns. We used Monte Carlo...

Investment portfolios that include private assets can gain a number of potential advantages, including diversification, enhanced returns and less risk. Moreover, there is evidence of a growing number of private asset investment opportunities that can have a positive sustainable impact. However,...