Reverse Mean-Variance Optimization for Real Estate Asset Allocation Parameters

1995 ◽  
Vol 1995 (3) ◽  
pp. 61-64, 70 ◽  
Author(s):  
Paul D. Kaplan
Keyword(s):  
Real Estate ◽  
Asset Allocation ◽  
Mean Variance

Dynamic Mean–Variance Asset Allocation

CFA Digest ◽  
2010 ◽  
Vol 40 (4) ◽  
pp. 47-49
Author(s):  
Johann U. de Villiers
Keyword(s):  
Asset Allocation ◽  
Mean Variance

Scaling and Adaptive Asset Allocation

2019 ◽  
Keyword(s):  
Asset Allocation ◽  
Investment Decision ◽  
Investment Risk ◽  
Speculative Bubbles ◽  
Time Horizons ◽  
Investment Decision Making ◽  
Time Diversification ◽  
Mean And Variance ◽  
Time Specific ◽  
Mean Variance

In this article, the author reminds us again that return mean and variance are not enough. Appropriate investment risk-bearing scales with surplus over future withdrawal commitments, as well as with investment return characteristics. This framework provides for the integration of financial planning and investment decision-making. Its time-varying risk aversion with the ratio of investments to surplus also provides an opportunity for use of dynamic strategies, though speculative bubbles require compensating inputs to avoid excessive allocation extremes. Appropriate risk-bearing can also scale with functions of shortfall probability to deal with time-specific funding requirements. The probability of avoiding shortfall from an initial surplus over longer time horizons may scale close to the square root of time, creating an illusion of time diversification. In contrast, from an initial surplus deficit, minimizing shortfall probability is akin to playing Russian roulette. Allocations based on minimized shortfall probability can be usefully blended with mean–variance allocations, especially for 5- to 15-year time horizons.

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

2019 ◽  
Author(s):  
Emmanouil Platanakis ◽  
Charles M. Sutcliffe ◽  
Xiaoxia Ye
Keyword(s):  
Asset Allocation ◽  
Stock Selection ◽  
Mean Variance
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