The Alpha Bias in Asset Allocation Performance Measurement

2011 ◽  
Author(s):  
Don M. Chance
Keyword(s):  
Performance Measurement ◽  
Asset Allocation

Dynamic asset allocation: insights from theory

1994 ◽  
Vol 347 (1684) ◽  
pp. 587-598
Keyword(s):  
Performance Measurement ◽  
Recent Work ◽  
Asset Allocation ◽  
Market Equilibrium ◽  
Dynamic Asset Allocation ◽  
Path Independence ◽  
Definition Of

This paper provides a survey of the now considerable academic theory relating to the practice of dynamic asset allocation. This work is scattered through the literature and many of the key ideas are not as accessible or well known as they deserve to be. The paper begins by providing a definition of what is meant by dynamic asset allocation and a description of its most significant features. Next it develops the concept of path independence and its relationship to efficient diversification through time. It is shown that this principle also applies to funds whose performance is appraised relative to an index benchmark. The final sections of the paper describe the implications of recent work on market equilibrium and on performance measurement.

Performance Measurement Requirements for Tactical Aircrew Training

1987 ◽  
Author(s):  
Wayne L. Waag ◽  
Byron J. Pierce ◽  
Steve Fessler
Keyword(s):  
Performance Measurement
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