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Journal Article
Fact, Fiction, and Factor Investing: Practical Applications
September 1, 2023
This piece distills the central concepts and practical takeaways of our Fact, Fiction, and Factor Investing article, which examined many claims about factor investing, referencing an extensive academic literature and performing simple, yet powerful, analysis to address those claims.
White Paper
Avoiding Unintended Country Bets in Global Equity Portfolios
April 1, 2011
Country risk is a key driver of individual stock returns, especially in emerging markets. We present several approaches to constructing active global stock portfolios as failing to control for country membership in stock returns may lead to significant misallocation of risk.
Journal Article
Solving Asymmetric Variational Inequalities via Convex Optimization
September 1, 2006
Using duality, we reformulate the asymmetric variational inequality (VI) problem over a conic region as an optimization problem.
Journal Article
Robust Game Theory
June 1, 2006
Classical game theory, which is useful in understanding market behavior, relies on what have been described as four “essential elements” — who is playing, how much information they possess, the actions available to them, and the payoffs for each outcome. In this paper, we propose a model of games in which players have incomplete information, and we offer ideas on how to optimize outcomes.
Working Paper
Robust Optimization, Game Theory and Variational Inequalities
January 1, 2005
We propose a robust optimization approach to analyzing three equilibrium problems: the nominal variational inequality (VI) problem over a polyhedron, the finite game under payoff uncertainty, and the network design problem under demand uncertainty.