Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability to offer personalized financial advice. We introduce a novel framework, in which a robo-advisor interacts with a...

We propose a normative strategic asset allocation model for long horizon sovereign wealth funds (SWFs) subject to a sustainable spending constraint and background risks. SWFs should have lower stock market exposure as they mature and should use the SWF to smooth business cycle shocks, rather...

This paper introduces DivFolio, a multi-period portfolio selection and analytic software application that incorporates automated and user-determined divestment practices accommodating Environmental Social Governance (ESG) and portfolio carbon footprint considerations. This freely available...

Italian Abstract: L’impiego di sistemi di intelligenza artificiale (IA) nell’intermediazione mobi-liare è oggetto di un intenso dibattito istituzionale volto ad analizzarne opportunità e rischi per investitori e operatori di mercato. Nel presente lavoro, dopo aver delineato le principali...

It is impossible to analyze an asset taken in isolation, without taking into account the wider picture of the market. This fact is behind the extensive use of copulas or vector autoregressive models in finance, which allow to model dependencies between assets. In this paper, we look at the...

The paper is fictional account of how big tech might disrupt the wealth management industry. Wealth management’s existing investment framework was originally developed half a century ago for pension funds.This pension fund “operating system” (PF OS) works well for “agents” but not...

This paper provides a targeted review of machine learning methods that are impacting the field of wealth management. This is an area of great breadth and dynamic growth, and we focus on applications that in our experience are delivering benefits in practice to wealth management businesses by...

The two classic objectives of investment are to reduce variability, and to protect the portfolio from shortfalls. There is a profound contradiction between these two objectives. We have shown that the dynamic efficient frontier (DEF) with minimal standard deviation for a given expected profit...

In this, the fourth article in the economists’ hubris paper series, we look at the contributions of academic thought to the field of asset management. We find that while the theoretical aspects of the modern portfolio theory are valuable, they offer little insight into how the asset management...