Portfolio Theory and Management
H. Kent Baker (ed.), Greg Filbeck (ed.)
Published:
2013
Online ISBN:
9780199979790
Print ISBN:
9780199829699
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Portfolio Theory and Management
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J. Clay Singleton
J. Clay Singleton
George D. and Harriet W. Cornell Professor of Finance Crummer Graduate School, Rollins College
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Oxford Academic
Pages
208–230
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Published:
February 2013
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Singleton, J. Clay, 'Asset Allocation Models', in H. Kent Baker, and Greg Filbeck (eds), Portfolio Theory and Management (
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Abstract
Actively managing a portfolio involves three main activities: asset allocation (designing and maintaining the relative asset class weights), asset selection (selecting assets to match the allocation), and market timing (deciding when and how much to invest). This chapter looks at asset allocation models—theoretical and practical templates that active asset managers use to make the asset allocation decision. Asset allocation models examined include the Markowitz model and alternative (skewness, stochastic dominance, and ad hoc) models. The chapter also discusses the models actually used in practice and portfolio rebalancing. Many observers, influenced by a continuum of research, believe that asset allocation is by far the most influential factor explaining the variability in portfolio performance. Only recently does research support the roughly equal importance of asset selection and asset allocation with market timing a distant third. Regardless of the precise influence accorded to any of three activities of active management, asset allocation is sensibly an essential ingredient in portfolio design and performance.
Keywords: asset allocation, asset allocation models, Markowitz portfolios, skewness, stochastic dominance, portfolio rebalancing
Subject
Financial Markets Asset Pricing Investments
Collection: Oxford Scholarship Online
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