Adaptive Asset Allocation

20 Pages Posted: 24 Jan 2021

Date Written: November 15, 2020

Abstract

Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management to traditional static allocation models. By adjusting risk exposures within the portfolio in response to the macroeconomic environment, investors can reduce exposure to crisis market conditions and significantly improve long-run performance.

Keywords: Modern Portfolio Theory, Harry Markowitz, Adaptive Asset Allocation, Asset Allocation, Portfolio Design, Risk Management, Diversification, Efficient Market, Efficient Market Hypothesis, Warren Buffett, Hedge Fund Strategy, Macroeconomics

JEL Classification: E31, C51, B41, G11, G12, G00, G01

Suggested Citation

Rowles, Shaun, Adaptive Asset Allocation (November 15, 2020). Available at SSRN: https://ssrn.com/abstract=3740102 or http://dx.doi.org/10.2139/ssrn.3740102

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