We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Precision Investing: On the Optimal Design of Personalized Performance Portfolios for Liability-Driven Investors.
- Authors
Nicole, Beevers; Hannes, Du Plessis; Lionel, Martellini; Vincent, Milhau
- Abstract
This article provides an explicit characterization for the optimal performance portfolio when this portfolio is used as part of a multiasset liability-driven investment strategy that may involve rebalancing. In this context, the optimal demand for risky assets can be represented as a combination of several funds, including the maximum Sharpe ratio portfolio, the minimum-variance portfolio, and the portfolio that is most correlated with liabilities. The allocation to the various funds depends on the investor's liability-driven objectives and constraints. This personalized approach to the construction of performance portfolios is somewhat similar to the precision medicine model, widely regarded as a fundamental breakthrough that marks the start of a whole new era for medical practice by proposing the customization of health care instead of a one-drug-fits-all approach.
- Publication
Journal of Portfolio Management, 2023, Vol 50, Issue 1, p82
- ISSN
0095-4918
- Publication type
Academic Journal
- DOI
10.3905/jpm.2023.1.545