Value-based asset allocation: An integrated framework

Renato Staub ()
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Renato Staub: William Blair & Company

Journal of Asset Management, 2013, vol. 14, issue 6, No 3, 354-375

Abstract: Abstract We develop an asset allocation approach that translates valuation signals into a suggested allocation. At its core, we simulate a mean-reverting value-price evolution to infer important distribution parameters as needed in our allocation rule. The latter relies on a broad range of parameters, thereby diversifying the model risk and making the framework stable. The simulation is calibrated to meet the risk budget over time. And finally, a historical back test looks promising.

Keywords: asset allocation; mean reversion; signal translation; simulation; risk budget; valuation (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1057/jam.2013.25

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