TY - JOUR
T1 - An Asset Allocation Model Based on a Semi Variance Adjusted Sharpe Ratio
AU - Bramante, Riccardo
AU - Gabbi, G.
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
KW - Adjusted Sharpe Ratio
KW - Asset Allocation
KW - Adjusted Sharpe Ratio
KW - Asset Allocation
UR - http://hdl.handle.net/10807/30093
UR - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1459634
U2 - 10.2139/ssrn.1459634
DO - 10.2139/ssrn.1459634
M3 - Article
SP - 1
EP - 11
JO - SSRN Electronic Journal
JF - SSRN Electronic Journal
ER -