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A century of asset allocation crash risk
We extend proxies of several popular asset allocation approaches—U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity, Endowment,...
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Dynamic asset allocation strategy: an economic regime approach
This paper presents a practical investment framework for dynamic asset allocation strategies based on changes in the macro-environment. To identify...
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Asset Allocation
Asset allocation is the process of determining optimal portfolio allocation to different asset classes. This chapter discusses the importance of...
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Endowment asset allocations: insights and strategies
Using monthly data from 1997 to 2023, we construct mean-variance optimized portfolios of common university endowment asset classes, including...
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Benchmarking and Tactical Asset Allocation
A benchmark, usually an index, is often used to analyze the risk, return, and performance of portfolios. We have already distinguished between...
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Equity factors for multi-asset class portfolios: a strategic asset allocation perspective
This paper highlights the long run, strategic benefits of factor premia as a complement (overlay) to an underlying exposure to equities and bonds. We...
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Factor investing and asset allocation strategies: a comparison of factor versus sector optimization
Given the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether factor or sector asset...
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A lifetime allocation with human capital: implications for target date fund
In this paper, we propose a new target date fund that incorporates human capital. The proposed glide path for the target date fund is based on the...
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The Influence of Mental Accounts and Housing Wealth Effect on Household Finance Asset Allocation
With the progress of urbanization in China, the demand for land for urban construction continues to increase. Many households are involved in...
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Rise of Institutional Quantitative Asset Management
MarkowitzMarkowitz, H. and CAPMCapital Asset Pricing Model (CAPM) theory made it possible to conceptualize and build technology to replace...
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Liquidity Connectedness Among Major Financial Asset Classes: Do Uncertainty Factors Matter?
This paper aims to examine the liquidity connectedness between major asset classes, including cryptocurrencies, oil, gold, stocks, and bonds, over...
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Network Risk Parity: graph theory-based portfolio construction
This study presents network risk parity, a graph theory-based portfolio construction methodology that arises from a thoughtful critique of the...
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Strategic Portfolio Allocation
Dynamic portfolio strategies, as opposed to static or “buy and hold” ones, covers a wide variety of short-term and long-term management styles that...
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The Impacts of Policy Uncertainty on Asset Prices: Evidence from China’s Market
We employ the "Two Sessions," comprising the National People’s Congress and the Chinese People’s Political Consultative Conference, as a proxy for...
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Unlocking Value Through Asset Recycling
Raising of financing for infrastructure projects by unlocking the value of existing assets is a new method that has gained momentum world over. For...
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Capital Asset Pricing Model (CAPM)
This chapter covers the now famous Capital Asset Pricing Model (CAPM)Capital Asset Pricing Model (CAPM) as proposed by William SharpeSharpe,...
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Contractual Structure and Risk Allocation Framework
This chapter reviews the contractual structure between different stakeholders under the Hybrid Annuity Model (HAM) along with the consequent risk...
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Capital Asset Pricing Model and Fama−French Model
Investors want to be compensated for taking higher risk by a higher expected return. This raises the question of the level of return compensation. In...
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Certainty Equivalent, Risk Premium and Asset Pricing
This chapter explores the theory and method for determining discount rate. As well known in finance, discount rate can be estimated by a variety of...
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Drawdown risk measures for asset portfolios with high frequency data
In this paper, we analyze Drawdown-based risk measures for an equity portfolio with high-frequency data. The returns of individual stocks are modeled...
