DYNAMIC ASSET ALLOCATION - INSIGHTS FROM THEORY
UNSPECIFIED (1994) DYNAMIC ASSET ALLOCATION - INSIGHTS FROM THEORY. PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, 347 (1684). pp. 587-598. ISSN 0962-8428Full text not available from this repository.
This paper provides a survey of the now considerable academic theory relating to the practice of dynamic asset allocation. This work is scattered through the literature and many of the key ideas are not as accessible or well known as they deserve to be. The paper begins by providing a definition of what is meant by dynamic asset allocation and a description of its most significant features. Next it develops the concept of path independence and its relationship to efficient diversification through time. It is shown that this principle also applies to funds whose performance is appraised relative to an index benchmark. The final sections of the paper describe the implications of recent work on market equilibrium and on performance measurement.
|Item Type:||Journal Article|
|Journal or Publication Title:||PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES|
|Publisher:||ROYAL SOC LONDON|
|Date:||15 June 1994|
|Number of Pages:||12|
|Page Range:||pp. 587-598|
Actions (login required)