Papers, strategy briefs, and essays. Grouped by what the piece is, not when it was filed.
Papers and studies from recent institutional research work.
Market-structure paper testing whether Korea's valuation discount is genuinely narrowing under governance reform or is an AI-semiconductor concentration artifact, with cross-sectional evidence across Korea, Japan, and Taiwan.
Large client-driven study across five equity universes on when and where active management has paid, including benchmark-integrity questions and quant-versus-fundamental splits.
Applied Lo (2002) inference to thousands of institutional manager track records across five universes to identify which information ratios are distinguishable from luck.
Optimizer-based measurement of how much active risk the S&P 500 can support, what a perfect-foresight allocator would use, and how constraint types change the character of active risk.
Roughly 900 core US large-cap managers: post-2020 tracking-error increases look systematic, not stock-specific, and investors were not paid for the extra risk.
Journal articles on portfolio construction, risk, and active management.
Argues that fixed tracking-error mandates can become counterproductive because cap-weighted benchmarks shift between concentrated and diversified regimes over time.
A study of how monetary conditions and index concentration shape the active-versus-passive cycle, showing when cap-weighted benchmarks can overwhelm otherwise skilled stock selection.
Tests the empirical risks behind common low-volatility implementations, especially optimizer sensitivity to small changes in risk-model inputs.
Compares portfolio construction methods after factor exposure is set, showing that the same factor tilt can produce very different concentration and risk outcomes.
Shows why global minimum-volatility portfolios should measure risk in the investor's home currency, because currency assumptions can materially change portfolio construction.
Shows that smart beta should be judged by efficient premium capture, not simply by maximizing visible factor exposure.
Examines diversification-based smart beta approaches and argues that simple, risk-spreading rules can outperform cap weighting because they avoid late-cycle concentration bets.
Applies risk parity to equity-only portfolios and evaluates diversification by compound wealth at a future horizon rather than by one-period Sharpe ratios alone.
Explores how equity-index futures can scale a risk-parity equity portfolio to flexible volatility targets while preserving its diversification properties.
Major portfolio-construction and strategy architectures, separated from the production systems used to operate them.
Research-driven platform for delivering low-volatility efficiency with market-level participation, extending the earlier defensive equity architecture into Defensive Growth.
Architecture for defensive equity strategies across U.S., International, Small Cap, and Emerging Markets, with production infrastructure built to operate the live portfolios.
Development of a scalable multidimensional risk allocation framework for large equity universes.
Portfolio optimization constraint maximizing differentiation from common institutional factor exposures; materially reduced unintended beta during 2008 stress.
Longer-form writing outside day-to-day finance work.
How mathematics grew a new tool each time reality posed a problem the existing math could not solve, from Taylor series to the Fourier transform, stochastic calculus, and fractal geometry, ending with a personal encounter with Benoit Mandelbrot and its bearing on reading markets.
A primer on quantum computing: how physical law replaces brute-force search, and where hybrid classical-quantum architectures fit.
Talks and conference material on asset management, research, and technology.
Presentation on the introduction of artificial intelligence into the asset-management process, with emphasis on compressing mechanical research work while preserving investment judgment.