Current investment management practice typically assumes that the OE portfolio is defined by the fund manager’s investment “style.” Roughly, style refers to a subset of the investment universe in which a manager is constrained to operate, such as small capitalization stocks versus large stocks, or “value” versus “growth” firms. The style con- straint may be a self-declared specialization, or it may be imposed on the manager by the firm. This leads to the idea of “style expo- sures,” analogous to the risk exposures implied by the multiple-beta asset pricing models. In this approach the OE portfolio has the same style exposures as the portfolio to be evaluated
