Factor Allocation and Asset Allocation
| Autor: | Gregg S. Fisher, Michael B. McDonald |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
050208 finance Risk premium media_common.quotation_subject 05 social sciences Asset allocation 04 agricultural and veterinary sciences Time based Weighting Market liquidity 0502 economics and business Value (economics) Econometrics Economics 0401 agriculture forestry and fisheries General Earth and Planetary Sciences Portfolio Quality (business) General Environmental Science media_common |
| Zdroj: | The Journal of Wealth Management. 21:10-20 |
| ISSN: | 2374-1368 1534-7524 |
| DOI: | 10.3905/jwm.2018.21.2.010 |
| Popis: | This article examines four different asset-pricing factors and their use in a portfolio that varies over time based on an investor’s risk preferences. Using data for the period 1980–2014, the authors show that the risk premiums of different factors are not constant over time and that investors may improve their risk–return trade-off by weighting or tilting their portfolios differently as liquidity and risk tolerances change, such as when investors age. The results suggest that those investors targeting higher returns should tilt toward the size and value factors, whereas investors favoring lower levels of risk should tilt toward the quality factor. This article raise questions about the current industry approach to asset allocation and the driving forces behind the magnitude of risk premiums over time. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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