Flexible Indeterminate Factor-Based Asset Allocation

Stephen Blyth; Mark C. Szigety; Jake Xia

doi:10.3905/jpm.2016.42.5.079

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.

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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.

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For correspondence: mcs@3edgeam.com

Jake Xia

is the chief risk officer at Harvard Management Company in Boston, MA.

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For correspondence: xiaj@hmc.harvard.edu

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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

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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

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