Jacky S.H. Lee

Healthcare of Ontario Pension Plan Trust Fund

1 York Street

Toronto, Ontario M5J0B6

Canada

SCHOLARLY PAPERS

11

DOWNLOADS

1,282

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (11)

1.

Factor-targeted Asset Allocation: A Reverse Optimization Approach (Working Paper)

Financial Analysts Journal. Published in final form at: https://doi.org/10.1080/0015198X.2023.2214074
Number of pages: 47 Posted: 21 Aug 2021 Last Revised: 20 Jun 2023
Jacky S.H. Lee and Marco Salerno
Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 503 (102,081)

Abstract:

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Portfolio Allocation, Factors, Factor Investing, Reverse Optimization

2.

Volatility Timing: Why Risk-Based Rules Outperform Naïve Diversification (Presentation Slides)

Number of pages: 28 Posted: 19 Dec 2022 Last Revised: 01 Mar 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 265 (207,197)

Abstract:

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Portfolio Choice, Asset Allocation, Machine Learning, Clustering

3.

Portfolio Tilts Using Views on Macroeconomic Regimes (Presentation Slides)

The Journal of Portfolio Management, February, Forthcoming, https://doi.org/10.3905/jpm.2022.1.438
Number of pages: 15 Posted: 13 Dec 2022
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 261 (210,417)

Abstract:

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

4.

NOTE: An Equilibrium Asset Pricing Model for Stocks and Bonds under Growth and Inflation Risks

Rotman School of Management Working Paper No. 3777332
Number of pages: 19 Posted: 22 Mar 2021
Redouane Elkamhi and Jacky S.H. Lee
University of Toronto - Rotman School of Management and Healthcare of Ontario Pension Plan Trust Fund
Downloads 157 (335,448)

Abstract:

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equilibrium asset pricing, macroeconomic factors

5.

Factor-Targeted Asset Allocation (Presentation Slides)

Number of pages: 24 Posted: 30 Dec 2022
Jacky S.H. Lee and Marco Salerno
Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund
Downloads 96 (486,200)

Abstract:

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Portfolio Allocation, Factors, Factor Investing, Reverse Optimization

6.

Enhancing the Inverse Volatility Portfolio through Clustering

Elkamhi R., Lee J., Salerno M., Enhancing the Inverse Volatility Portfolio through Clustering, The Journal of Data Science, forthcoming.
Posted: 23 Oct 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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7.

Financial Anomalies in Asset Allocation: Risk Mitigation with Cross-Sectional Equity Strategies

The Journal of Portfolio Management, 49(1), 118-145, DOI: 10.3905/jpm.2022.1.422
Posted: 15 Apr 2022 Last Revised: 19 May 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

Abstract:

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Portfolio Allocation, financial anomalies, absolute return strategies, alpha strategies

8.

Portfolio Tilts using Views on Macroeconomic Regimes

The Journal of Portfolio Management, 49(3), 7-24, DOI: 10.3905/jpm.2022.1.438
Posted: 24 Mar 2021 Last Revised: 19 May 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

Abstract:

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Portfolio Allocation, Portfolio Construction, Portfolio Theory, Factors

9.

Factor Investing using Capital Market Assumptions

The Journal of Portfolio Management 48.2 (2021): 119-143
Posted: 02 Mar 2021 Last Revised: 12 May 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

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Capital market assumptions, factor investing, mean-variance optimization, factor model, portfolio allocation, asset-liability management, portfolio construction, factor exposures

10.

How Optimal are Risk-based Portfolios?

Journal of Portfolio Management, forthcoming
Posted: 22 Jul 2020 Last Revised: 10 Sep 2023
Redouane Elkamhi, Jacky S.H. Lee and Marco Salerno
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and Healthcare of Ontario Pension Plan Trust Fund

Abstract:

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Portfolio Choice, Asset Allocation

11.

Bridging the Gap between Strategic Allocation and Investment Risk

The Journal of Portfolio Management 47, no. 6 (2021): 89-100
Posted: 01 Oct 2019 Last Revised: 10 May 2021
Redouane Elkamhi, Jacky S.H. Lee and Sheikh Sadik
University of Toronto - Rotman School of Management, Healthcare of Ontario Pension Plan Trust Fund and University of Toronto - Rotman School of Management

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Financial Markets, Financial Economics, Investment Risk, Asset Allocation, Risk Analysis, Market Simulation, Bayesian Analysis, Change of Measure, Importance Sampling, Institutional Investors, Pension Fund, Sovereign Wealth Funds