The chapter concludes giving attention to the potential evolutions of the risk parity strategy. In particular, we look at points of attractiveness and shortcomings of a potential new version of risk parity strategy that considers "risk factors" rather than asset classes as the building blocks of a...
“In this environment, diversifying across and within asset classes may not be sufficient; it may be time to adjust existing positions and add new approaches,” said Gregor Hirt, global chief investment officer, multi-asset, at AllianzGI. He is exploring three specific opportunities. Firstly, at...
而asset-only方法的目标是assets optimization, 它不需要考虑对冲 liability的风险敞口,只要将资产组合的风险和收益最优化就可以,所以它的保守资产就是无风险资产的代表—现金。AO的方法就是马科维茨投资组合,最优的风险资产组合,就是从无风险资产收益率出发,资本配置线与马科维茨有效前沿的切点。所以完整的最优投资组...
资产配置其它方法(Other Asset Allocation Approaches) 在之前的文章中详细介绍了基于资产端和负债端配置的方法,由于基于目标的方法(Goals-based)相对简单就没有具体讲解了,有需要的话以后单独再写一篇。除了以上提到的方法外,还有一些非传统的方法,这些方法基本是基于经验,启发式(Heuristic)而来,而不是基于某种基础理论...
cfa institute the impact of skewness and fat tails on the asset allocation decision To arrive at efficient asset allocationweights that are different from the weights obtained from the traditional mean-variance optimization framework, the M-CVaR estimate must go beyond the first two moments, the mea...
Australian superannuation funds have increased their allocations to the alternative assets in recent years; this includes private equity, infrastructure, h... G Newell,CL Lee - 《Pacific Rim Property Research Journal》 被引量: 3发表: 2015年 Superannuation fees, asset allocation and fund performance:...
A Quantitative Approach to Tactical Asset Allocation Journal of Wealth Management, Spring 2007 and further refined in his book offers a simple method for achieving what most would deem as a good result—respectable cumulative returns with significantly less risk regardless of risk measure. Let’s pla...
Matheuristics are problem independent frameworks that use mathematical programming tools to obtain high quality heuristic solutions. They are structurally general enough to be applied to different problems with little adaptation to their abstract structure, so they can be considered as new or hybrid metah...
The dissertation is dedicated to development and application of analytical and discrete optimization approaches in Risk Management and Financial Engineering. Through techniques of convex analysis, the dissertation rigorously generalizes the axiomatic properties of standard deviation to a new class of deviation...
Multi-asset portfolio optimization and out-of-sample performance: ann evaluation of Black-Litterman, mean-variance, and naive diversificationn approaches The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sa...