An investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investors risk tolerance, goals and investment time frame.
19
votes
3answers
1k views
How do you mix quantitative asset allocation with qualitative views?
Usually in asset allocation you have a quantitative approach (which can be from example mean-variance), but you (or you and your firm) also have a more qualitative approach given market-conditions, ...
5
votes
3answers
426 views
How do you remove expected returns from asset allocation strategies?
The classic mean-variance optimization problem tries to minimize variance of a portfolio for a given expected return:
$$ \underset{w}{\arg \min} \quad w^T \Sigma w \quad \text{s.t} \quad \mu^Tw \geq ...
9
votes
3answers
902 views
Why do expected return models and risk models use different factors?
This is a question responding to weekly topic challenge. I happen to see an interesting question from SYMMYS by Michael Kapler.
I always approached expected return and risk modeling as separate
...
