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Strategic Asset Allocation and Active Management: Evidence from Moroccan Pension Funds
Финансы: теория и практика, 2022 The subject of the study is to evaluate the contribution of strategic asset allocation to the variability of Moroccan pension funds performance. The aim of the paper is to identify the role of active management factors, namely tactical allocation and ...
M. S. Kabiri, Сh. Elmsiyah, O. Nouisser
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Annals of Operations Research, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Reha H. Tütüncü, Mark Koenig
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Mathematics, 2023 The allocation of pension funds has important theoretical value and practical significance, which improves the level of pension investment income, achieves the maintenance and appreciation of pension funds, and resolves the pension payment risk caused by
Yuqin Sun, Yungao Wu, Gejirifu De
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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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Multicriteria asset allocation in practice [PDF]
OR Spectrum, 2021 AbstractIn this paper, we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization problem considering risk and return as objectives.
Kerstin Dächert +5 more
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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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Pension scheme asset allocation with taxation arbitrage, risk sharing and default insurance [PDF]
, 2004 The asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset ...
Sutcliffe, Charles
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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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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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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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