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Abstract
Jacobsen and Biwer provide a framework to help evaluate the cross-sectional importance of asset allocation. They propose a closed-form solution of the models posited by previous authors, for example, the well-known Ibbotson and Kaplan model.Not only can the framework be used to evaluate, on an ex post basis, the importance of asset allocation, but it can also be used to establish the “right” number of managers to use per asset class.
TOPICS: Portfolio construction, portfolio theory, factor-based models
- Copyright © 2011 Wells Fargo Funds Management, LLC. All rights reserved. Not to be reproduced or redistributed without permission.
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