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White Paper

Is Your Equity Hedge Fund Portfolio Resilient Enough for Uncertain Times?

February 6, 2024 - Michele L. Aghassi Chris Doheny Charles Fattouche Erik Wong

We analyze the historical macroeconomic sensitivity of traditional asset classes and major hedge fund strategies. We show that the average hedge fund is unlikely to provide meaningful diversification during periods of macro uncertainty, which are also typically difficult for traditional assets. However, long/short low-risk strategies have tended to exhibit low macro sensitivity.

Journal Article

Fact, Fiction, and Factor Investing: Practical Applications

September 1, 2023 - Michele L. Aghassi Cliff Asness Charles Fattouche Tobias J. Moskowitz

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

Re-Emerging Equities

March 28, 2023 - Michele L. Aghassi Daniel Villalon

The expected premium for investing in emerging versus developed equity markets is on the upper end of its past 25-year range. At the same time, many of the risks historically associated with emerging markets have secularly declined. We believe there is a strong case for investors to “re-up” their emerging allocations.

Journal Article

Fact, Fiction, and Factor Investing

December 22, 2022 - Michele L. Aghassi Cliff Asness Charles Fattouche Tobias J. Moskowitz

Factor investing has been around for several decades, backed by an enormous body of literature, and yet it is still surrounded by much confusion and debate. We examine many of the claims about factor investing, referencing the academic literature and performing simple, yet powerful, analysis to address them.

White Paper

Avoiding Unintended Country Bets in Global Equity Portfolios

April 1, 2011 - Michele L. Aghassi Cliff Asness Oktay Kurbanov

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 - Michele L. Aghassi Dimitris Bertsimas Georgia Perakis

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 - Michele L. Aghassi Dimitris Bertsimas

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 - Michele L. Aghassi

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.