Showing 1 - 10 of 382 results for 'Asset Allocation'

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Journal Article

Liquidity-Driven Dynamic Asset Allocation

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of global asset classes.

Journal Article

Asset Allocation and Bad Habits

This article documents the “bad habits” of investors in asset allocation practices.

Working Paper

Robust Dynamic Asset Allocation With Model Misspecification

This paper derives the optimal dynamic trading strategy when the investor's model of alpha-decay is misspecified. This robust trading strategy can be computed easily by solving a standard linear quadratic Gaussian dynamic programming problem.

Journal Article

Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.

White Paper

Asset Allocation in a Low Yield Environment

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.

White Paper

Portfolio Rebalancing, Part 1: Strategic Asset Allocation

We discuss the main considerations when designing a rebalancing process, and use a simple empirical analysis to demonstrate the drivers of relative performance over four decades.

Alternative Thinking

Strategic Risk Allocation

We believe investors should broadly diversify and risk balance as a starting point to asset allocation, but perhaps then mildly overweight assets with high Sharpe ratios or good diversification benefits if they can identify these.

Journal Article

Using Investment Consumption Value to Select Asset Classes

For investors, selecting the appropriate asset classes to be included in a portfolio is arguably the most important task, but the traditional analytical frameworks use only historical mean- variance analysis to identify asset classes and fail to look into the future.

Journal Article

Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.

Journal Article

Stock-Bond Correlations

The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently.