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Annual Review of Financial Economics, 2010 This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond-stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various prior beliefs and specifications of the likelihood are ...
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Using an inflation-augmented price-earnings ratio to guide tactical asset allocation
South African Journal of Economic and Management Sciences, 2011 Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity ...
Adrian Saville
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Frontiers in Energy Research, 2023 This paper addresses the innovation management problem of financial trading strategies for power system planning through the utilization of the BO-BERT-GRNN model.
Mengzhu Zhang, Ling Shen, Jiaqi Guo
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PLoS ONE, 2023 China's stimulus policies have caused overleveraging and overcapacity for the sustainable development of most industries (particularly high-pollution and energy-intensive industries). Thus, deleveraging and decapacity have become the two best options for
Songbo Jia +3 more
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Application of Machine Learning in Financial Asset Pricing:A Review [PDF]
Jisuanji kexue, 2022 The key problem of financial asset allocation is asset price.Asset pricing is the core content of modern finance,which indicates that asset pricing law has always been one of the hot topics of financial research.This paper reviews the methods used by ...
XU Jie, ZHU Yu-kun, XING Chun-xiao
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Credit and Capital Markets – Kredit und Kapital, 1991 Asset Allocation Besides the original Markowitz model, derived index-based concepts, different in complexity (Part II), may be employed in the interest of (optimal) asset allocation. Comprehensive problem solutions, especially international and/or global asset allocation, are still requiring a step-by-step approach and/or the formation of asset classes
Fischer Black, Robert B Litterman
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Prospect theory, constant relative risk aversion, and the investment horizon.
PLoS ONE, 2021 Prospect Theory (PT) and Constant-Relative-Risk-Aversion (CRRA) preferences have clear-cut and very different implications for the optimal asset allocation between a riskless asset and a risky stock as a function of the investment horizon.
Haim Levy, Moshe Levy
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Regulating private pension funds’ structure, performance and investments: cross-country evidence [PDF]
, 2000 A number of countries have introduced individual, privately managed defined-contribution accounts, where the value of the pension benefit will depend on accumulated contributions and investment returns.
Srinivas, P.S. +2 more
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Multi-Asset Multi-Agent Reinforcement Learning for Portfolio Management
IEEE AccessPortfolio management reduces the risks and improves the profits of a portfolio comprising various asset classes (including stocks, bonds, commodities, and cash) that exhibit low correlations and distinct risk-return characteristics.
Sang-Ho Kim, Ki-Hoon Lee
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Dynamic Asset Allocation Under Inflation [PDF]
SSRN Electronic Journal, 2000 ABSTRACTWe develop a simple framework for analyzing a finite‐horizon investor's asset allocation problem under inflation when only nominal assets are available. The investor's optimal investment strategy and indirect utility are given in simple closed form.
Brennan, Michael J., Xia, Yihong
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