Strategic Portfolio Allocation

Patrice Poncet () and Roland Portait
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Patrice Poncet: ESSEC Business School
Roland Portait: ESSEC Business School

Chapter 24 in Capital Market Finance, 2022, pp 991-1029 from Springer

Abstract: Abstract Dynamic portfolio strategies, as opposed to static or “buy and hold” ones, covers a wide variety of short-term and long-term management styles that can be classified according to different criteria. Strategic allocation concerns a small number of asset classes (typically stocks, bonds and monetary securities) and depends on the investors’ risk aversion and wealth. Its horizon is long, typically several years. The first approach of strategic allocation is the so-called common sense management rules (allocation according to age, risk profile…). The second approach is portfolio insurance, based on automatic rules and designed to hedge the portfolio against bearish conditions while partially benefiting from bullish conditions. The last one is Merton’s dynamic optimization model which theoretically allows the investor’s portfolio to be adapted at any time to their own objectives.

Date: 2022
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DOI: 10.1007/978-3-030-84600-8_24

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