scholarly journals Strategic Asset Allocation and Intertemporal Hedging Demands: With Commodities as an Asset Class

2010 ◽  
Author(s):  
Yongyang Su ◽  
Chi Keung Marco Lau
Keyword(s):  
Asset Allocation ◽  
Strategic Asset Allocation ◽  
Asset Class ◽  
Intertemporal Hedging

scholarly journals Market Timing For active Asset Allocation: A Discrete Regression Model Approach

2011 ◽  
Vol 11 (1) ◽  
pp. 125
Author(s):  
Glen A. Larsen, Jr. ◽  
Gregory D. Wozniak
Keyword(s):  
Regression Model ◽  
Asset Allocation ◽  
Market Timing ◽  
The Other ◽  
Portfolio Performance ◽  
Empirical Results ◽  
Portfolio Strategies ◽  
Fixed Weight ◽  
Asset Class ◽  
Model Approach

A discrete regression model (DRM) approach to timing the asset class markets for stocks, bonds, and cash in active asset allocation is presented. The technique involves investing in the asset class whose return is predicted to exceed the other asset class return after observing a sequential signal of estimated probabilities. The empirical results show that the DRM approach provides enhanced portfolio performance when compared to more passive fixed-weight portfolio strategies.

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