Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Flexible Indeterminate Factor-Based Asset Allocation

Stephen Blyth, Mark C. Szigety and Jake Xia
The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 79-93; DOI: https://doi.org/10.3905/jpm.2016.42.5.079
Stephen Blyth
is the president and CEO of Harvard Management Company in Boston, MA, and professor of the practice of statistics at Harvard University in Cambridge, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: blyths@hmc.harvard.edu
Mark C. Szigety
was a senior vice president at Harvard Management Company and is currently managing director of research at 3EDGE Asset Management in Boston, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: mcs@3edgeam.com
Jake Xia
is the chief risk officer at Harvard Management Company in Boston, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: xiaj@hmc.harvard.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 42 (5)
The Journal of Portfolio Management
Vol. 42, Issue 5
Special QES Issue 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Flexible Indeterminate Factor-Based Asset Allocation
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Flexible Indeterminate Factor-Based Asset Allocation
Stephen Blyth, Mark C. Szigety, Jake Xia
The Journal of Portfolio Management Jul 2016, 42 (5) 79-93; DOI: 10.3905/jpm.2016.42.5.079

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Flexible Indeterminate Factor-Based Asset Allocation
Stephen Blyth, Mark C. Szigety, Jake Xia
The Journal of Portfolio Management Jul 2016, 42 (5) 79-93; DOI: 10.3905/jpm.2016.42.5.079
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • ASSET ALLOCATION REVIEW
    • FLEXIBLE INDETERMINATE FACTOR-BASED ASSET ALLOCATION
    • Selecting Appropriate Factors
    • Mapping Asset Classes
    • Choosing Factor Exposures
    • Selecting an Asset Class Portfolio
    • REBALANCING
    • DISCUSSION
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits
  • Asset Allocation vs. Factor Allocation--Can We Build a Unified Method?
  • Factors Timing Factors
  • Total Portfolio Factor, Not Just Asset, Allocation
  • Google Scholar

More in this TOC Section

  • The State of Play for Popular Investment Models: A Practical Assessment
  • Editors’ Introduction to the Special Issue on Investment Models
  • Editor’s Introduction for 2021 Special Issue on Multi-Asset Strategies
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies