CalPERS Risk-Factor Approach to Asset Returns
Posted on 06/18/2013
Historically, investors have heavily relied on the equity risk premium to reach annual return targets. The confidence of this model has been tested. Mean-variance optimization models did not help out asset owners during times of catastrophe. Like many large institutional investors, the California Public Employees Retirement System (CalPERS) is rethinking its approach to asset allocation […]
