We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Dual-Horizon Strategic Asset Allocation.
- Authors
Rudin, Alexander; Farley, Daniel
- Abstract
In this article, the authors propose a new dual-horizon asset allocation framework that balances desire for long-term portfolio optimality with the requirement for short-term risk control. The framework leverages evidence that for many core asset classes, price patterns can be effectively decomposed into a long-term, persistent component and a transient, cyclical one. This decomposition is particularly helpful when applied to private and public sister-asset classes (e.g., private and public equity or debt) because it allows harmonization of private and public risk-adjusted returns without resorting to artificial adjustments.
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 4, p59
- ISSN
0095-4918
- Publication type
Academic Journal
- DOI
10.3905/jpm.2022.1.331