Style rotation and dynamic asset allocation

Dynamic asset allocation techniques

Investment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems – in order to derive potential dynamic strategies. Along the way, we s...

Dynamic Asset Allocation ∗ Claus

Jumps and Dynamic Asset Allocation

This paper analyzes the optimal dynamic asset allocation problem in economies with infrequent events and where the investment opportunities are stochastic and predictable. Analytical approximations are obtained, with which a thorough comparative study is performed on the impacts of jumps upon the dynamic decision. The model is then calibrated to the U.S. equity market. The comparative analysis ...

Risk Sensitive Dynamic Asset Allocation

This paper develops a continuous time portfolio optimization model where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors such as dividend yields, a firm's ROE, interest rates, and unemployment rates. The factors are Gaussian processes, and the drift coefficients for the securities are aEne hnctions of these factors. We employ ...

Tax-Aware Dynamic Asset Allocation

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