Value-based asset allocation: An integrated framework
نویسنده
چکیده
We develop an asset allocation approach that translates valuation signals into a suggested allocation. At its core, we simulate a mean-reverting value-price evolution to infer important distribution parameters as needed in our allocation rule. The latter relies on a broad range of parameters, thereby diversifying the model risk and making the framework stable. The simulation is calibrated to meet the risk budget over time. And finally, a historical back test looks promising. Journal of Asset Management (2013) 14, 354–375. doi:10.1057/jam.2013.25; published online 28 November 2013
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