Asset allocation represents a fundamental strategic decision for every institutional investor. Though many asset allocation approaches have been recommended and implemented in various forms, each has its own strengths and weakness. A careful review of current asset allocation frameworks provided...

Symmetrized kernel estimators of the regression function developed by Yang (1981) and Stute (1984) possess attractive properties, including consistency and asymptotic normality. We propose and develop a class of kernel estimators of the regression slope, which extend symmetrized kernel...