It is well known that investors have asymmetric risk preferences in bearing downside risk or
participating in the upside. Options markets provide a useful and intuitive way to quantify …

Equities are the biggest source of portfolio tail risk for most investors. Our study compares
two approaches for hedging the equity tails of a traditional stock/bond portfolio: (1) the direct …

International diversification has hurt US-based investors for over 30 years, but the long-run
case for it remains relevant. Both financial theory and common sense favor international …

—Warren Buffett, 1994 Berkshire Hathaway Annual Report Many famous investors are out-spoken
about their investment philosophies, and carefully apply them to a select number of …

Investors have a natural urge to protect their portfolios from sudden crashes. The authors
argue that investors should instead focus on bad outcomes that unfold over longer periods …

In this article we consider two essential aspects of risk management for risk parity portfolios:
maintaining balanced risk expo sures through time and managing portfolios through periods …

… Dan Villalon … Other Nobel Laureates who have been published in the JPM include
Harry Markowitz, Robert Shiller, Robert Engle, Merton Miller, Daniel Kahneman, Robert …

Many institutional investors focus primarily on one source of alpha: expected returns, perhaps
relative to a benchmark. There are many drawbacks to this approach, including manager …

… Daniel Ding … Dan Villalon … Other Nobel Laureates who have been published in the
JPM include Harry Markowitz, Robert Shiller, Robert Engle, Merton Miller, Daniel Kahneman …

… Daniel Ding … Dan Villalon … Other Nobel Laureates who have been published in the
JPM include Harry Markowitz, Robert Shiller, Robert Engle, Merton Miller, Daniel Kahneman …