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Relevant bibliographies by topics / Asset Allocation

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Academic literature on the topic 'Asset Allocation'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 August 2024

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Journal articles on the topic "Asset Allocation"

1

Phan, Hieu V., and Shantaram P. Hegde. "Corporate Governance and Risk Taking in Pension Plans: Evidence from Defined Benefit Asset Allocations." Journal of Financial and Quantitative Analysis 48, no. 3 (May 3, 2013): 919–46. http://dx.doi.org/10.1017/s0022109013000227.

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AbstractBased on theoretical advice and empirical evidence suggesting that risk taking in asset allocation enhances pension returns, we evaluate empirically whether good corporate governance leads to a larger allocation of pension assets to risky securities as compared to safe investments. Our findings suggest that firms with good external and internal corporate governance take more risk by investing heavily in equities and allocating a smaller share of the plan assets to cash, government debt, and insurance company accounts. The main underlying mechanisms appear to be higher investment returns and better pension funding status associated with higher equity and lower safe asset allocations.

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Heroux, Marcel. "Asset Allocation with Shadow Assets." CFA Digest 43, no. 1 (February 2013): 87–88. http://dx.doi.org/10.2469/dig.v43.n1.33.

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Scherer, Bernd. "Asset Allocation with Shadow Assets." Journal of Wealth Management 15, no. 3 (October 31, 2012): 30–35. http://dx.doi.org/10.3905/jwm.2012.15.3.030.

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Idzorek, Thomas M., and Maciej Kowara. "Factor-Based Asset Allocation vs. Asset-Class-Based Asset Allocation." Financial Analysts Journal 69, no. 3 (May 2013): 19–29. http://dx.doi.org/10.2469/faj.v69.n3.7.

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Cao, Dan, and Jérôme Teïletche. "Reconsidering asset allocation involving illiquid assets." Journal of Asset Management 8, no. 4 (October 15, 2007): 267–82. http://dx.doi.org/10.1057/palgrave.jam.2250077.

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Sharpe, William F. "Asset allocation." Journal of Portfolio Management 18, no. 2 (January 31, 1992): 7–19. http://dx.doi.org/10.3905/jpm.1992.409394.

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Jones, Charles P., and Jack W. Wilson. "Asset Allocation." Journal of Wealth Management 6, no. 3 (October 31, 2003): 26–34. http://dx.doi.org/10.3905/jwm.2003.320487.

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Hin/David Ho, Kim, Seow Eng Ong, and Tien Foo Sing. "Asset allocation." Journal of Property Investment & Finance 24, no. 4 (July 2006): 324–42. http://dx.doi.org/10.1108/14635780610674516.

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Wachter, Jessica A. "Asset Allocation." Annual Review of Financial Economics 2, no. 1 (December 2010): 175–206. http://dx.doi.org/10.1146/annurev-financial-073009-104026.

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Black, Fischer, and Robert B. Litterman. "Asset Allocation." Journal of Fixed Income 1, no. 2 (September 30, 1991): 7–18. http://dx.doi.org/10.3905/jfi.1991.408013.

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Dissertations / Theses on the topic "Asset Allocation"

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Ibrahim, Boulis Maher Boulis. "Asset allocation." Thesis, University of Strathclyde, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287041.

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Brinkmann, Ulf. "Robuste Asset-Allocation /." Bad Soden/Ts. : Uhlenbruch, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016280816&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Flavin, Thomas J. "Tactical asset allocation." Thesis, University of York, 1999. http://etheses.whiterose.ac.uk/2493/.

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Hoevenaars, Roy Peter Maria Mathieu. "Strategic asset allocation & asset liability management." [Maastricht] : Maastricht : Universiteit Maastricht ; University Library, Universiteit Maastricht [host], 2008. http://arno.unimaas.nl/show.cgi?fid=9679.

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Simon, Sarah. "Asset Allocation und Zeithorizonteffekte." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01654235001/$FILE/01654235001.pdf.

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Zhang, Huacheng. "Essays in Asset Allocation." Diss., The University of Arizona, 2013. http://hdl.handle.net/10150/293404.

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This dissertation consists of two essays in asset allocation. In the first essay, I measure the value of active money management. I explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for portfolio selection among 3516 stocks in CRSP and comparing this rule to the mean-variance (MV) rule and the naïve 1/N rule recently advocated by DeMiguel, Garlappi and Uppal (2009). The BSV rule outperforms both the MV and 1/N rules and the outperformance is robust to investment horizons and stock market states. The BSV rule is effective for investors with different preferences or investment opportunities. The effectiveness of the BSV rule is robust to data screening criteria, estimation periods, portfolio performance evaluation models, the business cycle, and stock market states. In the second essay, I explore the question of whether macroeconomic state variables are able to predict cross-sectional stock returns from the perspective of asset allocation. I find that conditioning on macroeconomic state variables leads to optimal portfolios with a Carhart alpha that is 125 basis points per month higher than unconditional optimal portfolios out-of-sample. Unfortunately, conditioning on macroeconomic states is subject to an "overfitting" problem and can lead investors to experience unexpected huge losses. My results suggest that macroeconomic state variables mare able to predict cross-sectional stock returns but risk-averse investors need to combine other funds (e.g. market portfolio) to take advantage of this predictability.

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UBERTI, PIERPAOLO. "Higher moments asset allocation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/11955.

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In this dissertation a four moment asset allocation model is proposed. Some assumptions are made in order to simplify the optimization model and to obtain a closed form solution for the optimal portfolio. In particular, the key assumption concerns the representation of skewness and kurtosis. The obtained optimal portfolio is a generalization of the classical two moments optimal portfolio, see Markowitz (1952). This generalization permits to write the optimal portfolio as the sum of three portfolios: the first one is the meanvariance optimal portfolio, the second one depends on the skewness only and the third one on the kurtosis only. Moreover, the efficient frontier and a four funds separation theorem has been derived in the four moments framework.

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Burri, Silvan. "Asset Allocation including Currency Managers." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01649268002/$FILE/01649268002.pdf.

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Russo, Agostino. "Asset allocation under liquidity constraints." Thesis, Imperial College London, 2003. http://hdl.handle.net/10044/1/8477.

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Kearns, Michael. "Learning and strategic asset allocation." Thesis, University of Southampton, 2016. https://eprints.soton.ac.uk/408016/.

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This thesis investigates whether or not models that portray the relationship between what an investor learns and how he allocates his portfolio can explain phenomena related to household behaviour in the stock market. Endogenous modelling of household learning is utilised, which builds on a growing literature called bounded rationality with increasing explanatory power, offering an alternative to the classical rational expectations theory. Such phenomena include firstly why households often hold portfolios that are little diversified, secondly why household beliefs about the stock market exhibit widespread heterogeneity despite past data being publicly available and lastly whether or not they employ strategic motives in the stock market and whether they complement others’ actions or substitute them for their own. In particular, Paper 1 addresses the observation that a significant number of investors hold concentrated portfolios, apparently forgoing the benefits of diversification. In a static portfolio choice model with limited capacity constraints, Van Nieuwerburgh & Veldkamp (2010) show that the observed lack of diversification is rational amongst investors with a strong preference for an early resolution of uncertainty. This paper studies whether or not endogenous information acquisition can also rationalise the observed peculiarity within a dynamic portfolio choice model. It is found that in the steady state, a hedging demand component appears in the optimal portfolio, which attempts to spread risk across the investor’s investment horizon: The investor chooses additional information precision the smaller is the compensation for bearing risk. A numerical approximation to the agent’s decision rule suggests that the research question can be answered in the affirmative. This is for an investor who is indifferent to the time of uncertainty resolution and is risk averse over wealth. Paper 2 tackles the question “Is demand for information positively correlated with returns?” Results from this study indicate “no” in any permanent sense. Using a dynamic model of endogenous information acquisition and portfolio choice, simulations reveal that once an agent learns the underlying process behind returns, his demand for information is constant and hence acyclical. This is surprising given survey results found by Coibion et al (2015), which, along with the PATeR survey 2014 wave, document widespread heterogeneity in agent beliefs. Hence it appears that economic agents in reality do not treat returns as though they are driven by an underlying, learnable process. This paper contributes to literature on bounded rationality and limited processing of information. It also finds a rationale for belief heterogeneity: ignoring realised returns and observing signals that support prior beliefs allows degenerate distributions to emerge. This result can be produced under the assumption that the investor does not access public information. Lastly, the third paper addresses whether or not households behave strategically regarding each other when making stock market participation decisions. The study examines the contribution of strategic considerations in stock market return expectations on the demand for risky assets empirically, exploiting novel data from the 2014 PATeR survey wave, representative of the population by age and wealth. The strategy is to identify whether individual stockholding decisions are consistent with strategic substitutes or complements prevailing in the stock market, under the null hypothesis of efficiency. The study finds evidence for strategic complementarity and additional information variables can explain this effect. Given the substantial heterogeneity in expectations and perceptions of returns, and the relatively low degree of sophistication of the median investor identified in the empirical literature, the project concludes that as strategic substitutes prevail even amongst them, a portion of the excess volatility observed in stock markets may be driven by expectational motives in coordination.

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Books on the topic "Asset Allocation"

1

Gibson, Roger C. Asset Allocation. New York: McGraw-Hill, 2008.

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Wachter, Jessica. Asset allocation. Cambridge, MA: National Bureau of Economic Research, 2010.

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Bresnan, Bill. Getting started in asset allocation. New York: Wiley, 1999.

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Shahidi, Alex. Balanced Asset Allocation. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2014. http://dx.doi.org/10.1002/9781118835302.

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Zaremba, Adam, and Jacob Shemer. Country Asset Allocation. New York: Palgrave Macmillan US, 2017. http://dx.doi.org/10.1057/978-1-137-59191-3.

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Canto, Victor A. Understanding Asset Allocation. Upper Saddle River: Pearson Education, 2007.

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Massachusetts. Public Employee Retirement Administration Commission. Fundamentals of asset allocation. Somerville, Mass: PERAC Communications Unit, 2000.

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Meucci, Attilio. Risk and Asset Allocation. Berlin, Heidelberg: Springer Berlin Heidelberg, 2005. http://dx.doi.org/10.1007/978-3-540-27904-4.

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Canner, Niko. An asset allocation puzzle. Cambridge, MA: National Bureau of Economic Research, 1994.

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1949-, Perrucci Dorianne R., ed. Asset allocation for dummies. Hoboken, N.J: Wiley Pub., 2009.

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Book chapters on the topic "Asset Allocation"

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Schlachter, Michael C. "Asset Allocation." In INVEST LIKE AN INSTITUTION, 15–40. Berkeley, CA: Apress, 2013. http://dx.doi.org/10.1007/978-1-4302-5060-9_2.

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Jiang, Bill. "Asset Allocation." In Investment Strategies, 13–27. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-82711-3_2.

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Cowell, Frances. "Asset Allocation." In Risk-Based Investment Management in Practice, 127–58. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137346407_8.

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Taulli, Tom. "Asset Allocation." In The Personal Finance Guide for Tech Professionals, 157–67. Berkeley, CA: Apress, 2022. http://dx.doi.org/10.1007/978-1-4842-8242-7_8.

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Zaremba, Adam, and Jacob Shemer. "Introduction." In Country Asset Allocation, 1–6. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59191-3_1.

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Zaremba, Adam, and Jacob Shemer. "Momentum Effect Across Countries." In Country Asset Allocation, 161–81. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59191-3_10.

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Zaremba, Adam, and Jacob Shemer. "Small-Country Effect." In Country Asset Allocation, 183–91. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59191-3_11.

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Zaremba, Adam, and Jacob Shemer. "Risk-Based Country Asset Allocation." In Country Asset Allocation, 193–206. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59191-3_12.

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Zaremba, Adam, and Jacob Shemer. "Country Selection Based on Quality." In Country Asset Allocation, 207–22. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59191-3_13.

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Zaremba, Adam, and Jacob Shemer. "What Next? Combining and Improving Country Selection Strategies." In Country Asset Allocation, 223–40. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59191-3_14.

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Conference papers on the topic "Asset Allocation"

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Duarte, Flávio Gabriel, and Leandro Nunes Castro. "Asset Allocation based on a Partitional Clustering Algorithm." In Congresso Brasileiro de Inteligência Computacional. SBIC, 2021. http://dx.doi.org/10.21528/cbic2021-49.

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This paper proposes a method for asset allocation based on partitional clustering. This method is different from the approaches already proposed in the literature, which essentially use either an optimization-based approach or a hierarchical clustering algorithm to allocate resources in assets. After finding the clusters, the method uniformly allocates the resources over the clusters and then within the clusters, thus guaranteeing that all assets are allocated. The method was tested using data from the Brazilian Stock Exchange (B3) and the assets eligible to enter the allocation were those that were part of the Ibovespa Index at the time of portfolio rebalancing. The results were compared with the Ibovespa index for different metrics, such as volatility, return, sharpe ratio, turnover and drawdown. The proposed approach illustrates the potential of machine learning techniques in portfolio allocation.

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Xie, Yuxin, and Athanasios A. Pantelous. "Asset Allocation with Disappointment Aversion." In Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA). Reston, VA: American Society of Civil Engineers, 2014. http://dx.doi.org/10.1061/9780784413609.119.

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Safiudeen, Mohamed, and Mahdi H. Miraz. "Portfolio Optimization by Asset Allocation." In 2022 International Conference on Computing, Networking, Telecommunications & Engineering Sciences Applications (CoNTESA). IEEE, 2022. http://dx.doi.org/10.1109/contesa57046.2022.10011354.

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Wang, Liping, and Xue Meng. "Asset Allocation, Heterogeneity and Consumption." In 2020 International Conference on Social Science, Economics and Education Research (SSEER 2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/assehr.k.200801.047.

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Yuduo Lu and Min Su. "Asset allocation model across business cycle." In 2011 International Conference on Business Management and Electronic Information (BMEI). IEEE, 2011. http://dx.doi.org/10.1109/icbmei.2011.5917913.

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Song, Na, Wai-Ki Ching, Dong-Mei Zhu, and Tak-Kuen Siu. "Asset Allocation under Regime-Switching Models." In 2012 Fifth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2012. http://dx.doi.org/10.1109/bife.2012.38.

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HUI, W. C., H. YANG, and K. C. YUEN. "OPTIMAL ASSET ALLOCATION UNDER GARCH MODEL." In Proceedings of the Hong Kong International Workshop on Statistics in Finance. PUBLISHED BY IMPERIAL COLLEGE PRESS AND DISTRIBUTED BY WORLD SCIENTIFIC PUBLISHING CO., 2000. http://dx.doi.org/10.1142/9781848160156_0019.

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Li, Yaoming, Junfeng Wu, and Yun Chen. "Asset Allocation Based On Reinforcement Learning." In 2020 IEEE 18th International Conference on Industrial Informatics (INDIN). IEEE, 2020. http://dx.doi.org/10.1109/indin45582.2020.9442214.

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Luxenberg, Eric, Stephen Boyd, Misha van Beek, Wen Cao, and Mykel Kochenderfer. "Strategic Asset Allocation with Illiquid Alternatives." In ICAIF '22: 3rd ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2022. http://dx.doi.org/10.1145/3533271.3561769.

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You, Shingchern D., Chien-Hung Liu, and Ching-Cheng Yen. "Dynamic Asset Allocation Using Trading Agent." In 2023 International Conference on Consumer Electronics - Taiwan (ICCE-Taiwan). IEEE, 2023. http://dx.doi.org/10.1109/icce-taiwan58799.2023.10226821.

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Reports on the topic "Asset Allocation"

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Wachter, Jessica. Asset Allocation. Cambridge, MA: National Bureau of Economic Research, August 2010. http://dx.doi.org/10.3386/w16255.

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van Binsbergen, Jules, and Michael Brandt. Optimal Asset Allocation in Asset Liability Management. Cambridge, MA: National Bureau of Economic Research, March 2007. http://dx.doi.org/10.3386/w12970.

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Bernstein, Shai, Emanuele Colonnelli, and Ben Iverson. Asset Allocation in Bankruptcy. Cambridge, MA: National Bureau of Economic Research, March 2017. http://dx.doi.org/10.3386/w23305.

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Canner, Niko, N. Gregory Mankiw, and David Weil. An Asset Allocation Puzzle. Cambridge, MA: National Bureau of Economic Research, September 1994. http://dx.doi.org/10.3386/w4857.

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León-Rincón, Carlos Eduardo, and Daniel Vela. Foreign reserves' strategic asset allocation. Bogotá, Colombia: Banco de la República, March 2011. http://dx.doi.org/10.32468/be.645.

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Guidolin, Massimo, and Allan Timmermann. Asset Allocation under Multivariate Regime Switching. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.002.

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Ang, Andrew, and Geert Bekaert. How do Regimes Affect Asset Allocation? Cambridge, MA: National Bureau of Economic Research, November 2003. http://dx.doi.org/10.3386/w10080.

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Harvey, Campbell. Conditional Asset Allocation in Emerging Markets. Cambridge, MA: National Bureau of Economic Research, January 1994. http://dx.doi.org/10.3386/w4623.

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Hodgson, Thom J., Johnathon L. Dulin, Kristin Arney, Ben J. Lobo, Curtis M. Mears, and Reha Uzsoy. Global Sensor Management: Military Asset Allocation. Fort Belvoir, VA: Defense Technical Information Center, October 2009. http://dx.doi.org/10.21236/ada515353.

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Liu, Jun, Francis Longstaff, and Jun Pan. Dynamic Asset Allocation With Event Risk. Cambridge, MA: National Bureau of Economic Research, August 2002. http://dx.doi.org/10.3386/w9103.

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