Protected Adaptive Asset Allocation
BELLU, MIRKOFirst
Software
;Conversano Claudio
Second
Methodology
2020-01-01
Abstract
Protected Adaptive Asset Allocation (PAAA) is a tactical asset allocation model that targets an optimal risk/returns ratio using both a momentum index to capture the short-run dynamics and cash protection in negative market periods to reduce drawdowns. Empirical evidence shows that PAAA improves upon the performance of alternative models in terms of the risk/return profile when applied to a well-diversified dataset in the long term, based on the results of in/out-of-sample analyses, and when the analysis is restricted to a financial crisis period. For less diversified portfolios, PAAA is equivalent to an Adaptive Asset Allocation that includes a liquidity component.File | Size | Format | |
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Preprint_FRL.pdf Solo gestori archivio
Type: versione editoriale
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Format Adobe PDF
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