Flexible Indeterminate Factor-Based Asset Allocation

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Flexible Indeterminate Factor-Based Asset Allocation

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Title: Flexible Indeterminate Factor-Based Asset Allocation
Author: Blyth, Stephen James; Szigety, Mark Charles; Xia, Jake

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Citation: Blyth, Stephen, Mark C Szigety, and Jake Xia. 2016. Flexible Indeterminate Factor-Based Asset Allocation. Portfolio Management 42, no. 5: 79–93. doi:10.3905/jpm.2016.42.5.079.
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Abstract: Asset 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.
Published Version: doi:10.3905/jpm.2016.42.5.079
Terms of Use: This article is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#OAP
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:27716504
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