8 votes
Accepted

What are the quantitative requirements to distinguish between asset classes?

Defining asset classes from a quantitative perspective is an interesting question that is not really addressed "officially" as far as I know. Let's try to write some requirements you want ...
lehalle's user avatar
  • 12.1k
6 votes

What is smart beta, alternative index, factor investing?

In recent years there has been much attention given to defining indexes other than market-cap based indices. While market-cap based indices approximate the theoretical Market Portfolio enshrined in ...
nbbo2's user avatar
  • 11.2k
2 votes

What are the quantitative requirements to distinguish between asset classes?

A quant technique that could be used to (partially) address this problem is the Mean Variance Spanning Test of Huberman and Kandel (1987). Abstract This is a statistical test of whether adding K new ...
nbbo2's user avatar
  • 11.2k
2 votes

What is smart beta, alternative index, factor investing?

As @piRSquared has pointed out, smart beta can be an ambiguous term which is fairly loosely defined. Cliff Asness wrote a paper defining smart beta as To be considered Smart Beta, we believe that ...
mgilbert's user avatar
  • 235
2 votes

What is smart beta, alternative index, factor investing?

The term "smart beta" is loaded and ambiguous. It means different things to different people. Some people manage products that they would argue are not smart beta while the rest of the industry ...
piRSquared's user avatar
2 votes

Fama French regression with dummy variable

I worked on volatility control funds for a few years a while back. Frequently, we would simply use the average as the threshold between high and low vol. That is because volatility is below average in ...
Mild_Thornberry's user avatar
1 vote
Accepted

Trading Ranges for Tactical Asset Allocation

An approach which satisfies the requirements I listed above is the one laid out in Tracking Error and the Setting of Tactical Ranges, David E. Kuenzi, The Journal of Investing Spring 2004, 13 (1) 35-...
Hans-Peter Schrei's user avatar
1 vote

Country allocation -optimization 3 countries

Here's a thought. In 2-dim your score $(x, y) \in [-4,4]^2$ is best characterised as the minimal distance from the line $y=x$, along which your portfolio is balanced. I.e. wherever $y=x$ either at $(...
Attack68's user avatar
  • 10.2k
1 vote

Optimal portfolio construction for tactical asset allocation

This a Quadratically Constrained Quadratic Program (QCQP) (try searching for that) albeit the usual inequality constraint has been replaced by your equality constraint. maximise over $x_i$ $$x_i'S_i ...
Attack68's user avatar
  • 10.2k

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