I am currently trying to form an overall asset allocation strategy which combines base strategic allocation and tactical shifts. My model already incorporates the tactical shifts using various factors like momentum,carry etc. But i am using a base 1/N strategic allocation for all my asset classes (equity, bonds and commodities). I would like to improve this base allocation using some strategic allocation model.
I have already read the following papers regarding this:
Strategic Asset Allocation Karl Eychenne, Stéphane Martinetti, Thierry Roncalli, 2011
To implement strategic asset allocation, we must determine risk and return expectations for the various asset classes. Starting from the paradigm that long-run asset returns are determined by the long-run fundamentals of the economy, a fair value approach to building expectations is crucial. This paper proposes to formalize a quantitative and systematic methodology for optimizing portfolios, from the determination of long-run fundamental pillars through the modeling of asset returns and the assessment of market risks. We apply forecasting models and build in the specific of the main asset classes (equities, bonds and alternative investments) depending on the uncertainties they represent for the risk-averse investor. Our resulting allocations within the equity asset class, and with regard to the place of alternative investments, question the choices of long-term institutional investors such as pension funds that have shifted their long-run allocations in response to the recent financial crisis.
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes David Blitz, Pim Van Vliet, 2011
We propose a practical investment framework for dynamic asset allocation across different economic regimes, which we illustrate using a sample of U.S. data from 1948 to 2007. We identify four regimes in the economic cycle and find that these regimes capture pronounced time-variation in the risk and return properties of asset classes. Time-variation is also observed in the risk of a traditional, static strategic asset allocation portfolio. In order to stabilize risk across the economic cycle we propose a dynamic strategic asset allocation approach, which has the potential to enhance expected return as well. The proposed approach is found to be robust to variations in the variable composition of the regime model and can easily be extended with different economic variables and/or additional assets.
They use forecasting of long run return using key fundamental and economic pillars.
I would appreciate if anyone has any relevant paper links to strategic allocation( recent research is preferred).
A little update on exactly what kind of research I am looking at:
I am not looking for research related to risk parity or MV optimized portfolios but on asset allocation strategies that combine views about the economy of different countries and how that will affect the expected returns across broad asset classes. Which i can use to fix the strategic allocations for a period of next 5-10 years and overlay monthly tactical shifts (models for which I have already developed) Two such kind of paper I have attached.
I am not sure why I am getting downvotes on a reference question, maybe my research objective is not clear. Here is another paper from BlackRock regarding this, ideally I would like to replicate this but again they have disclosed too little, so I need similar "academic research".
Building resilience: a framework for strategic asset allocation
Designing a suite of models that explicitly reflect cross-asset and macroeconomic linkages. These models are the key input to inform our views on returns across asset classes
Link to paper