The Implementation of Asset Allocation Approaches: Theory and Evidence

The Implementation of Asset Allocation Approaches: Theory and Evidence

This study develops three capital allocation approaches and a directional weight increment algorithm to identify the efficient frontier of all possible multi-asset portfolios precisely and rapidly. Subsequently, this study proposes an asset selection criterion, based on the coefficient of variance a...

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Bibliographic Details
Main Author: Jung-Bin Su
Format: Article
Language:English
Published: MDPI AG 2020-09-01
Series:Sustainability
Subjects:
asset allocation
relatively most efficient portfolio
asset selection criterion
directional weight increment algorithm
capital allocation approach
generalized autoregressive conditional heteroskedasticity
Online Access:https://www.mdpi.com/2071-1050/12/17/7162

Internet

https://www.mdpi.com/2071-1050/12/17/7162

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