TY - JOUR T1 - Model Portfolios JF - The Journal of Wealth Management SP - 46 LP - 63 DO - 10.3905/jwm.2019.21.4.046 VL - 21 IS - 4 AU - Debarshi Basu AU - Michael Gates AU - Vishal Karir AU - Andrew Ang Y1 - 2019/01/31 UR - https://pm-research.com/content/21/4/46.abstract N2 - 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 ER -