Assets should serve a purpose: to fund a lifetime of financial goals. If assets serve the purpose
of funding lifetime goals, it naturally follows that optimal lifetime asset allocation should be …

In this article, the authors examine the underlying factors that drove the outsized performance
of the Yale University Endowment over the past two decades. With the aid of the …

The authors introduce a novel approach for jointly testing bond-market factor models and bond
manager performance using the attributes of market efficiency as an ideal, or benchmark. …

In this article the authors present an applied portfolio factor model that illuminates the risk
and return drivers of broad hedge fund strategies, from the opportunity-cost perspective of a …

There has been a proliferation of stock-market factors that have been mined from historical
data, and researchers are now using different methods to address this factor zoo. The authors …

We compare the empirical distributions of equity and fixed-income returns at different time
horizons and find that the risk of equities relative to fixed income is more acute at short time …

Real estate is an important asset class, prevalent in the investment portfolios of both
institutional and private investors. For many institutional investors, real estate is the largest …

The majority of research on port-folio construction ignores the sig-nificant impact of expenses
and taxes. In the real world, taxable investors can only consume their existing wealth plus …

This chapter illustrates ways in which the asset allocation process must be adapted to
accommodate specific asset owner circumstances and constraints. It addresses adaptations to the …

Taxes introduce certain complexities, requiring proper adjustments to return and risk parameters.
The author offers a refined set of after-tax return and risk equations for use in practice …