A scenarios approach to asset allocation

2011 Conference - Due Diligence Forum |  MLC |  25 August 2011

Different approaches to asset allocation are available to practitioners. But reliance on selection of parametric return distributions, summary measures of risk and historical data as an indicator of the future remain widespread. This Due Diligence Forum Research Paper, presented at the 2011 PortfolioConstruction Forum Conference, proposes an approach that makes more complete use of information available about the future, forcing consideration of different time frames, alternate outcomes, and ...