About this Lecture

This lecture instructs IMAC candidates on the foundations of asset allocation including:

• the role of strategic asset allocation, tactical asset allocation and dynamic asset allocation;
• the impact of client objectives on asset allocation;
• key issues to resolve before deciding a strategic asset allocation;
• the objective function for optimal weights in a portfolio;
• the impact of errors in forecasting;
• the theory of mean-variance optimisation including risks, and when it does and doesn’t work;
• running an optimisation using a portfolio optimisation tool; and,
• how t...