Please enable JavaScript.
Coggle requires JavaScript to display documents.
19 principles of asset allocation (asset-only (addressing the criticisms…
19 principles of asset allocation
asset-only
mean-variance optimization MVO
Monte Carlo simulation
criticisms of MVO
addressing the criticisms
reverse optimization
Black-Litterman model
adding constraints beyond budget constrains
resampled MVO
others
allocating to less liquid asset classes
risk budgeting
factor-based asset allocation
liability-relative
characterizing the liabilities
approachs
surplus optimization
hedging / return-seeking portfolio approach
integrated asset-liability approach
comparing
examining the robustness
factor modeling
goals-based
process
describing client goals
constructing sub-portfolio
overall portfolio
revisiting the module process
periodically revisiting overall allocation
related issues
heuristics and other approach
120 minus age
60/40 stock/bond heuristic
the endowment model
risk parity
1/N
conclusions
portfolio rebalancing in practice