Person: Blyth, Stephen
Loading...
Email Address
AA Acceptance Date
Birth Date
Research Projects
Organizational Units
Job Title
Last Name
Blyth
First Name
Stephen
Name
Blyth, Stephen
2 results
Search Results
Now showing 1 - 2 of 2
Publication The Quant Delusion: Financial Engineering in the Post-Lehman Dodd–Frank Landscape(CFA Institute, 2012) Blyth, StephenThe recent financial crisis and its aftershocks have reshaped the world of financial engineering, quantitative analysis, and derivatives trading. Government intervention, regulatory reform, and the refutation of fundamental axioms and model assumptions are three reshaping forces now confronting quantitative practitioners.Publication Flexible Indeterminate Factor-Based Asset Allocation(Institutional Investor Journals, 2016) Blyth, Stephen; Szigety, Mark; Xia, JakeAsset allocation represents a fundamental strategic decision for every institutional investor. Though many asset allocation approaches have been recommended and implemented in various forms, each has its own strengths and weakness. A careful review of current asset allocation frameworks provided motivation to design a hybrid approach that addresses many of these perceived individual shortcomings. Our guiding principle was to use several familiar elements to create a flexible process that incorporates less-quantifiable investment ideas around a rigorous foundation. The result, which we term Flexible Indeterminate Factor-based Asset Allocation (FIFAA), is an adaptive four-step asset allocation synthesis that remains quantitatively and theoretically well grounded. To achieve this goal, FIFAA overlays informed judgment about investment opportunities onto an objectively derived set of core factor exposures.