An investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investors risk tolerance, goals and investment time frame.
Questions tagged [asset-allocation]
135 questions
32
votes
3 answers
How do you mix quantitative asset allocation with qualitative views?
Usually in asset allocation you have a quantitative approach (which can be from example mean-variance), but you (or you and your firm) also have a more qualitative approach given market-conditions, economic outlooks, or tactical indicators.
Hence,…
SRKX
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How do you remove expected returns from asset allocation strategies?
The classic mean-variance optimization problem tries to minimize variance of a portfolio for a given expected return:
$$ \underset{w}{\arg \min} \quad w^T \Sigma w \quad \text{s.t} \quad \mu^Tw \geq \bar{\mu} $$
However the expected returns $\mu$…
SRKX
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Why is Robust Allocation a worthwhile problem?
As opposed to
Robust Bayesian Allocation solves
see https://hudson-and-thames-portfoliolab.readthedocs-hosted.com/en/latest/bayesian/robust_bayesian_allocation.html.
I don't get it. Why is this a worthwhile problem to solve? It seems to just be…
saei
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Target date funds - glide path quantitative foundations?
Are there any introductions that show an academic proof or quantitative process for determining the proper asset allocations for a glide-path in a target date fund?
I've been trying to find something on the topic but it looks like a bunch of…
milkmotel
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