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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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Asset Allocation Strategies [PDF]
تحقیقات مالی, 1995 A number of theories about the hest method of allocating assets have been developed over the years, Managers are concernd about allocating scarce resources, mainly capital, in most productive way. Managers want to ensure that the return from the invested
ناصر صنوبر
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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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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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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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Risk aversion under preference uncertainty [PDF]
, 2010 We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility ...
Kräussl, Roman +2 more
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