The Policy Portfolio Problem

Robert D. Arnott

Financial Analysts Journal, 2004, vol. 60, issue 4, 6-8

Abstract: Practitioners need to rethink the long-term, static policy portfolio—for example, a portfolio of 70 percent equities/30 percent bonds—that is so embedded in much of the institutional investing world. The problem is that the policy portfolio is based on a narrow view of asset allocation. The challenge of asset allocation boils down to three problems: (1) asset allocation has many elements, (2) asset allocation requires ongoing management, and (3) liabilities do not always track assets.

Date: 2004
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DOI: 10.2469/faj.v60.n4.2630

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