Publications

August 2016 (Revised July 2017)
Background Note

Brand Portfolio Strategy and Brand Architecture

By: Jill Avery

While companies choose to brand their products and services in many different ways, there are some central tenets that help define an optimal brand portfolio and associated brand architecture. Brand portfolio strategy involves the design, deployment, and management of... View Details

Keywords: Brand Management; Brand Portfolio; Brand Extension; Brand Portfolio Strategy; Brand Architecture; Consumer Behavior; Marketing; Brands and Branding; Marketing Strategy

Article

Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns

By: Joel Goh, Kian Guan Lim, Melvyn Sim and Weina Zhang

We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using... View Details

Keywords: Robust Optimization; Portfolio Management; Value-at-risk; Mathematical Methods; Finance

November 2007
Background Note

Asset Allocation I

By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page and Paulo Passoni

The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of risk if all investors use this rule with common information sets. Simulation A focuses on five to 10 years of monthly sector returns that are... View Details

Keywords: Asset Pricing; Capital; Investment Return; Risk Management; Mathematical Methods

summer 1995
Article

Hedging Portfolios with Real Assets

By: K. A. Froot

Keywords: Institutional Investing; Market Efficiency; Behavioral Finance; Equities; Stock Market; Indexing; Hedging; Asset Allocation; Commodities; Commodity Investing; Real Estate; Financial Markets; Asset Pricing

May 2024
Case

Shell's Balancing Act: Resource Allocation and the Green Transition

By: David Collis and Haisley Wert

In mid-2023, amid pressure from climate change activists, shareholder activists, and confronting enormous uncertainty about the future demand for and price of fossil fuels, new Shell CEO Wael Sawan (Harvard MBA 2003) announced a change in strategy for the U.K. oil... View Details

Keywords: Portfolio Analysis; Climate; Oil; Oil And Gas; Oil Companies; Renewables; Petroleum; Investor Demand; Investors; Corporate Strategy; Resource Allocation; Climate Change; Corporate Social Responsibility and Impact; Organizational Change and Adaptation; Organizational Culture; Business and Stakeholder Relations; Business and Shareholder Relations; Energy Industry; United Kingdom

April 2025
Article

The Allocation of Socially Responsible Capital

By: Daniel Green and Benjamin N. Roth

Portfolio allocation decisions increasingly incorporate social values. We develop a tractable framework to study how competition between investors to own socially valuable assets affects social welfare. Relative to the most common social-investing strategies, we... View Details

Keywords: Socially Responsible Investing; Investment Portfolio; Welfare; Social Issues; Investment Return

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2017
Working Paper

Optimal Tilts: Combining Persistent Characteristic Portfolios

By: Malcolm Baker, Ryan Taliaferro and Terry Burnham

We examine the optimal weighting of four tilts in US equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size, a very persistent... View Details

Keywords: Risk Anomaly; Beta; Capital Asset Pricing Model; Factor Investing

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August 2017 (Revised January 2020)
Case

PFA Pension: Expansion of Alternatives Portfolio

By: Victoria Ivashina, Federica Gabrieli and Jérôme Lenhardt

PFA Pension was the biggest commercial pension provider in Denmark. At the end of 2015, the company had decided to boost its investments into the alternative asset class, an area where it was lagging behind its competitors. The aim was to privilege direct investments... View Details

Keywords: Asset Management; Private Equity; Investment; Denmark; Europe

Fourth Quarter 2017
Article

Optimal Tilts: Combining Persistent Characteristic Portfolios

By: Malcolm Baker, Ryan Taliaferro and Terry Burnham

We examine the optimal weighting of four tilts in U.S. equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size (a very persistent... View Details

Keywords: Risk Anomaly; Beta; Capital Asset Pricing Model; Factor Investing

September 2014
Article

Accounting Standards and International Portfolio Holdings

By: Gwen Yu and Aida Sijamic Wahid

Do differences in countries' accounting standards affect global investment decisions? We explore this question by examining how accounting distance, the difference in the accounting standards used in the investor's and the investee's countries, affects the asset... View Details

Keywords: IFRS; Home Bias; Cross-cultural/cross-border; Information Asymmetry; Mutual Funds; International Relations

SSRN

07 Sep 2006
Working Paper Summaries

Optimal Value and Growth Tilts in Long-Horizon Portfolios

Keywords: by Jakub W. Jurek & Luis M. Viceira

Article

Optimal Value and Growth Tilts in Long-Horizon Portfolios

By: Jakub W. Jurek and Luis M. Viceira

We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this... View Details

Keywords: Decision Choices and Conditions; Private Equity; Investment; Investment Portfolio; Asset Pricing; Value