PT  - JOURNAL ARTICLE
AU  - Alexander Rudin
AU  - Daniel Farley
TI  - Dual-Horizon Strategic Asset Allocation
AID  - 10.3905/jpm.2022.1.331
DP  - 2022 Jan 12
TA  - The Journal of Portfolio Management
PG  - jpm.2022.1.331
4099  - https://pm-research.com/content/early/2022/01/12/jpm.2022.1.331.short
4100  - https://pm-research.com/content/early/2022/01/12/jpm.2022.1.331.full
AB  - In this article, the authors propose a new dual-horizon asset allocation framework that balances desire for long-term portfolio optimality with the requirement for short-term risk control. The framework leverages evidence that for many core asset classes, price patterns can be effectively decomposed into a long-term, persistent component and a transient, cyclical one. This decomposition is particularly helpful when applied to private and public sister-asset classes (e.g., private and public equity or debt) because it allows harmonization of private and public risk-adjusted returns without resorting to artificial adjustments.