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Special Report on

Dynamic asset allocation rules

dynamic asset allocation rules special research report Photo by www.asset-protection.info-hub.info
We study an investor's optimal consumption and portfolio choice problem when he confronts with two possibly misspecified submodels of stock returns: one with IID returns and the other with predictability. We adopt a generalized recursive ambiguity model to accommodate the investor's aversion to model uncertainty. The investor deals with specification doubts by slanting his beliefs about submodels of returns pessimistically, causing his investment strategy to be more conservative than the Bayesian strategy. This effect is large for extreme values of the predictive variable. Unlike in the Bayesian framework, model ...
For example, say an investor has a $100 portfolio, a floor of $90 (price of the bond to guarantee his $100 at maturity) and a multiplier of 5 (ensuring protection against a drop of at most 20% before rebalancing the portfolio). Then on day 1, the writer will allocate (5 * ($100 – $90)) = $50 to the risky asset and the remaining $50 to the riskless asset (the bond). The exposure will be revised as the portfolio value changes, i.e. when the risky asset performs and with leverage multiplies by 5 the performance (or vice versa). Same with the bond. These rules are predefined and agreed once and for all during the life of the product.
REVIEWS AND OPINIONS
Prajna Capital - An Investment Guide: Various types of Asset ...
Prajna Capital is an effort to enhance people's awareness on the range of investment avenues and opportunities available at present modern time. Investment Planning, Retirement Planning, Tax Planning, Financial Planning, Mutual Funds, Life Insurance, Wealth Management, Portfolio Management Services, Equity, Stocks, General Insurance, Medical Insurance, Travel Insurance, Financial Advisory Services, Personal Finance, Real Estate, Gold      IN THE uncertain world of finance, we know that systematic investment and sticking to your asset allocation hold the key to success. But wealth management experts use ... market research, surveys and trends
Dynamic Asset Allocation Trumping Trading Rules/Oops Forgot about ...
I check the yields of money market funds once a week, usually on Saturday, just to see what some of my cash allocation is earning and the answer is not much.  Actually, based on the way that I look at it, it is earnings less than nothing.  Most taxable money funds are yielding less than 1% now and the government funds are hovering at 1/4% or below.  The Vanguard Prime, which has a low expense ratio, is just a smidgen above 1%.  Here are some links to the pages from Barron's that lists some of the current yields. Barrons Free Tables Page 3 - Barrons.com   Barron's Online - Weekly Mutual Funds - ... market research, surveys and trends

SURVEY RESULTS FOR
DYNAMIC ASSET ALLOCATION RULES

Asset Allocation : Pension Risk Matters
is pleased to present a new research service for institutional investors and their attorneys, auditors and advisors. According to CEO Dr. Susan Mangiero, CFA, FRM, "The FiduciaryX Virtual Reference Desk SM is yet another productivity tool we offer to help asset owners such as pensions, endowments, foundations and the legal and financial counselors who assist them. Centered on six mission-critical areas to include Asset Allocation, Due Diligence, Fees, Fiduciary Liability, Risk Management and Valuation, we invite investment professionals to submit their questions online to our team of research librarians and subject ... industry trends, business articles and survey research
A Simple Dynamic Strategy for Portfolios Taking Withdrawals: The ...
This paper examines the long-term effects of using a dynamic investment strategy based on a 12-month simple moving average for portfolios in both the accumulation and withdrawal phases. It compares the results of this dynamic strategy to standard static portfolio allocations based on Modern Portfolio Theory to determine whether such a strategy is optimal. We created six portfolios using historical data (1926–2008) from two asset classes: U.S. large-cap equities and U.S. intermediate-term government bonds. The six portfolios were examined for 3, 4, 5, 6, and 7 percent withdrawal rates over 30- and 40-year annual ... industry trends, business articles and survey research
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INFORMATION RESOURCES

Maximum Likelihood Estimation and Dynamic Asset Allocation with ...
dynamic asset allocation rules with diffusion affine stochastic volatility models. In an empirical. 4 See Brandt (2004) for a comprehensive review of static ... technology research, surveys study and trend statistics
MEMORANDUM To: Files From: Hester Peirce J? e : Proposed Rule ...
e : Proposed Rule: Mandatory Redemption Fees for Redeemable Fund Securities, ... managing assets for clients using dynamic asset allocation, sector rotation ... technology research, surveys study and trend statistics
How inefficient are simple asset-allocation strategies?
pare the simple allocation rules to dynamic models of optimal asset allocation that allow for changes in the investment opportunity set. ...
REAL TIME
DYNAMIC ASSET ALLOCATION RULES
QUESTIONS AND ANSWERS
I always hear Jim Cramer screaming about being diversified; Is he ...
Should Diversification be a primary rule that overrides other rules when a wealth manager plans his next move on his client's portfolio? With so much talk about why you should diversify (to help minimize risk and give yourself a better chance at being in a position during a good run, versus trying to chase a runaway trade), aren't there times when a manager should Not seek to diversify? I actually saw your question on everything-finance.net, also; it inspired me to write this for you and publish it on EzineArticles: http://ezinearticles.com/?expert=Sharath_Sury I hope you find it interesting, thought ...
Writing Business Plans: Economic and Social Environment, computer ...
1.   �The politico-legal environment of business contains a number of critical elements.� Examine this statement with the help of examples. 2.    Explain the factors responsible for industrial sickness and measures to tackle them in Small Scale Industries Sector (SSI)   . 3.   �Rao - Manmohan Model of Growth is different from Gandhian Model of Growth.� Critically evaluate this statement. 4.   �An important factor which influences the Balance of Payments of a country is the exchange rate of its currency vis-a- vis other major currencies.� Briefly explain this statement. 5. ...