Abstract

https://ssrn.com/abstract=2328254
 
 

Citations (1)



 


 



Adaptive Asset Allocation: A Primer


Adam Butler


ReSolve Asset Management

Mike Philbrick


ReSolve Asset Management

Rodrigo Gordillo


ReSolve Asset Management

David Varadi


Independent

May 31, 2012


Abstract:     
The paper addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. Estimates of parameters for portfolio optimization based on long-term observed average values are shown to be inferior to alternative estimates based on observations over much shorter time frames. An Adaptive Asset Allocation portfolio assembly framework is then proposed to coherently integrate portfolio parameters in a way that delivers substantially improved performance relative to SAA over the testing horizon.

Number of Pages in PDF File: 32

Keywords: Adaptive Asset Allocation, Asset Allocation, Risk Parity

JEL Classification: G11, G12, G14


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Date posted: September 21, 2013 ; Last revised: April 5, 2016

Suggested Citation

Butler, Adam and Philbrick, Mike and Gordillo, Rodrigo and Varadi, David, Adaptive Asset Allocation: A Primer (May 31, 2012). Available at SSRN: https://ssrn.com/abstract=2328254 or http://dx.doi.org/10.2139/ssrn.2328254

Contact Information

Adam Butler (Contact Author)
ReSolve Asset Management ( email )
1 Adelaide St. East, Suite 2000
Toronto, Ontario M5C 2V9
Canada
4165725477 (Phone)
HOME PAGE: http://www.investresolve.com
Mike Philbrick
ReSolve Asset Management ( email )
1 Adelaide St. East, Suite 2000
Toronto, Ontario M5C 2V9
Canada
4165725478 (Phone)
HOME PAGE: http://www.investresolve.com
Rodrigo Gordillo
ReSolve Asset Management ( email )
1 Adelaide Street East
Suite 2100
Toronto, Ontario M5C 2V9
Canada
416-864-3597 (Phone)
HOME PAGE: http://www.investresolve.com
David Varadi
Independent
No Address Available
Feedback to SSRN


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