Macro Based Parametric Asset Allocation
Series: . 3 ; 16Publication details: 2018-07-25Description: 32Subject(s): In: JOURNAL OF INVESTMENT MANAGEMENTSummary: "Without doubt the financial returns of asset classes are interlinked with the economy. However, a direct link between financial returns and return-driving forces has not been discovered yet. Moreover, there exist many robust approaches for within asset class allocation but few advances have been made for between asset class allocation. To address these topics I propose a direct modeling of the weights with macroeconomic risk factors. This allows to implicitly identify capital market dynamics and thus provides a framework which can help in the tactical asset allocation decision."| Item type | Current library | Status | Barcode | |
|---|---|---|---|---|
| Article | St. Francis Institute of Management and Research | Available | AR0748 |
"Without doubt the financial returns of asset classes are interlinked with the economy. However, a direct link between financial returns and return-driving forces has not been discovered yet. Moreover, there exist many robust approaches for within asset class allocation but few advances have been made for between asset class allocation. To address these topics I propose a direct modeling of the weights with macroeconomic risk factors. This allows to implicitly identify capital market dynamics and thus provides a framework which can help in the tactical asset allocation decision."
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