PT  - JOURNAL ARTICLE
AU  - Debarshi Basu
AU  - Michael Gates
AU  - Vishal Karir
AU  - Andrew Ang
TI  - Model Portfolios
AID  - 10.3905/jwm.2019.21.4.046
DP  - 2019 Jan 31
TA  - The Journal of Wealth Management
PG  - 46--63
VI  - 21
IP  - 4
4099  - https://pm-research.com/content/21/4/46.short
4100  - https://pm-research.com/content/21/4/46.full
AB  - Model portfolios are constructed using passive and active vehicles to help meet specific investment outcomes. We present a rigorous, repeatable framework for designing optimal model portfolios, which (1) selects a benchmark portfolio that reflects a target level of risk; (2) constructs a strategic model portfolio that reflects long-term capital market assumptions; and (3) potentially, but not necessarily, incorporates tactical views in a final model portfolio, rotating positions around the strategic model holdings to reflect short-term market views. Using the framework, we demonstrate the construction of model portfolios for multi-asset-class and factor-investing applications.TOPICS: Portfolio construction, risk management, analysis of individual factors/risk premia, performance measurement