Version numérique PDF

Asset allocation can be broken down into three levels : long-term strategic asset allocation, medium-term strategic or fundamental-driven asset allocation and tactical asset allocation, conditioned by the use of different types of information. Within this framework, we illustrate how models, particularly error correction models, can be used for computing expected returns. We present simulations of two actively managed balanced portfolios ? equity and bond ? in the US and Europe, to show the added value of fundamental-driven and tactical allocation on portfolio returns.

Auteurs :Boulier Jean-François , Hartpence Maria-Laura
Extrait de la revue BMI 73