Risk estimation is crucial in investment decisions. Several risk measures have been suggested to take into consideration that risk changes through time. The choice of different risk measures can considerably change asset allocation decisions in the way in which assets are ranked on the basis of their risk-return profile. This paper is concerned with how to construct optimal portfolios that adapt quickly to changes in risk using a time varying asset allocation model based on a modified Sharpe Ratio measure.
Bramante, R., Gabbi, G., An Asset Allocation Model Based on a Semi Variance Adjusted Sharpe Ratio, <<SSRN Electronic Journal>>, N/A; (N/A): 1-11. [doi:10.2139/ssrn.1459634] [http://hdl.handle.net/10807/30093]
An Asset Allocation Model Based on a Semi Variance Adjusted Sharpe Ratio
Bramante, Riccardo;
2009
Abstract
Risk estimation is crucial in investment decisions. Several risk measures have been suggested to take into consideration that risk changes through time. The choice of different risk measures can considerably change asset allocation decisions in the way in which assets are ranked on the basis of their risk-return profile. This paper is concerned with how to construct optimal portfolios that adapt quickly to changes in risk using a time varying asset allocation model based on a modified Sharpe Ratio measure.
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