Strategic Asset Allocation: Combining Science and Judgment to Balance Short-Term and Long-Term Goals
Peng Wang and Jon Spinney
The Journal of Portfolio Management Fall 2017, 44 (1) 69-82; DOI: https://doi.org/10.3905/jpm.2017.44.1.069
Peng Wang
is the head of portfolio research at Covariance Capital Management in Houston, TX
Jon Spinney
is the chief investment officer at Vestcor Investment Management in Fredericton, New Brunswick, Canada
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Strategic Asset Allocation: Combining Science and Judgment to Balance Short-Term and Long-Term Goals
Peng Wang, Jon Spinney
The Journal of Portfolio Management Oct 2017, 44 (1) 69-82; DOI: 10.3905/jpm.2017.44.1.069
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- Article
- Abstract
- PORTFOLIO SELECTION THEORY
- AN ASSET ALLOCATION FRAMEWORK THAT BALANCES BOTH SHORT-TERM AND LONG-TERM OBJECTIVES
- DATA AND SIMULATION APPROACH
- DETERMINING THE POLICY PORTFOLIO: PROBABILISTIC RISK FRONTIERS
- EXTENDING THE MODEL TO INCLUDE ALPHA AND SPENDING
- VERY LONG-TERM PROJECTIONS
- CONCLUSION
- APPENDIX A
- ENDNOTES
- REFERENCES
- Info & Metrics
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