We provide a framework to help evaluate the cross-sectional importance of asset allocation. Not only can the framework be used to evaluate - ex-post - the importance of asset allocation, but it can also be used to develop expectations - ex-ante - about the importance of asset allocation

This paper explains the differences and connections between business cycles and market cycles. We use a ranking technique to illustrate which asset classes do better in different parts of the business cycle

This paper serves as a general guide to asset allocation. It answers the following questions: (1) What is asset allocation? (2) What are asset classes? (3) What is a normal allocation? (4) When should an allocation deviate from the norm?

Assuming a client’s goals, resources, and constraints have been clearly identified, when constructing an asset allocation instead of using a generic efficient frontier a client should have his or her own efficient frontier. What is efficient for one person may not be efficient for another. In...

Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH...