Asset Allocation: Putting Economics (Back) in the Mix
Posted: 30 Oct 2008
Date Written: October 29, 2008
I review the essentials of asset allocation from the perspective of economics driven factor models. By focusing on the key elements of risk factor selection, return forecasting, and management of tail risks and leverage, this article addresses important issues faced by asset allocators which have traditionally been obscured by too much focus on optimization.
Keywords: Asset Allocation, Factor Models, Tail Risk, ISM
JEL Classification: G1
Suggested Citation: Suggested Citation