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Journal Article

Fact, Fiction, and Factor Investing

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

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

Using duality, we reformulate the asymmetric variational inequality (VI) problem over a conic region as an optimization problem.

Journal Article

Robust Game Theory

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

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.