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The Adaptive Asset Allocation (AAA) portfolio combines two different tactical approaches (momentum and minimum variance) into one algorithm. The intention of this portfolio recipe is to optimize ...

Diversification has been called the oldest trick in the investment book. So old that to construct a diversified portfolio, it is still common to apply mean-variance optimisation, a 70-year-old ...

This paper is concerned with multi-period asset–liability mean–variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves ...

An investor can always reduce portfolio variance and increase expected return by selling short individual assets. For example, an investor who is unable to forecast the performance of an industry, but ...

Understand the roles of different asset classes in your portfolio with one chart. Most investors know diversification is an essential piece of planning their portfolio. If you diversify across asset ...