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One thing I personally believe is that SAA should minimize forecasting the future. Ideally (though not possible), SAA is the optimal asset allocation when you have no views about the future at all. A weaker version of that statement is that SAA is the portfolio that's mostly likely to meet your risk/return-objectives (subject to constraints), based on ...


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Markowity remains the stonghold, thus you must start reading that in my view. Afterwards, you can have a look at risk parity. Recent developments are based on hierachical clustering and neural Networks. I suggest reading Lopez de Prado on hierarchical clustering asset allocation.


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