Factor models are now widely used to support asset selection decisions. Global asset allocation, the allocation between stocks versus bonds and among nations, usually relies instead on correlation analysis of international equity and bond indexes. It would be preferable to have a single integrated framework for both asset selection and asset allocation. This framework would require a factor model applicable at an asset or country level, as well as at a global level, that covers both stocks and bonds
This thesis presents the potential opportunities of global asset allocation and the possible enhance...
This paper examines the relationship between equity market valuations (dividendprice ratio) using a ...
Factor portfolios created by dynamically weighting country indices generated significant global mark...
Factor models are now widely used to support asset selection decisions. Global asset allocation, t...
Using the new factor model, 5 indicators are regressed against world index to obtain leading factor....
We estimate a latent factor model that decomposes international stock returns into global, country-,...
Global equity management has historically been structured primarily around country asset allocation....
The benefits of investing internationally depend on three conditions, namely cross-country correlati...
A large proportion of international portfolio managers and pension fund trustees allocate their fu...
Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensi...
We present a model of international portfolio choice based on cross-country differences in relative ...
Asset Allocation Besides the original Markowitz model, derived index-based concepts, different ...
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade pe-riod, we show ...
We gauge the economic value of multivariate covariance estimators by assessing the risk-return perfo...
Thesis (Ph.D.)--University of Washington, 2016-06My dissertation studies financial asset allocation ...
This thesis presents the potential opportunities of global asset allocation and the possible enhance...
This paper examines the relationship between equity market valuations (dividendprice ratio) using a ...
Factor portfolios created by dynamically weighting country indices generated significant global mark...
Factor models are now widely used to support asset selection decisions. Global asset allocation, t...
Using the new factor model, 5 indicators are regressed against world index to obtain leading factor....
We estimate a latent factor model that decomposes international stock returns into global, country-,...
Global equity management has historically been structured primarily around country asset allocation....
The benefits of investing internationally depend on three conditions, namely cross-country correlati...
A large proportion of international portfolio managers and pension fund trustees allocate their fu...
Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensi...
We present a model of international portfolio choice based on cross-country differences in relative ...
Asset Allocation Besides the original Markowitz model, derived index-based concepts, different ...
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade pe-riod, we show ...
We gauge the economic value of multivariate covariance estimators by assessing the risk-return perfo...
Thesis (Ph.D.)--University of Washington, 2016-06My dissertation studies financial asset allocation ...
This thesis presents the potential opportunities of global asset allocation and the possible enhance...
This paper examines the relationship between equity market valuations (dividendprice ratio) using a ...
Factor portfolios created by dynamically weighting country indices generated significant global mark...