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 0962-8428

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Abstract

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
Subjects:	Q Science
Journal or Publication Title:	PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
Publisher:	ROYAL SOC LONDON
ISSN:	0962-8428
Date:	15 June 1994
Volume:	347
Number:	1684
Number of Pages:	12
Page Range:	pp. 587-598
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/20576

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