Paul Allen
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COMMENTS STATS

48 Comments

9 Likes

## Modern Portfolio Theory 2.0 - The Most Diversified Portfolio [View article]

http://bit.ly/St2aVV

## The Most Diversified Inflation-Proof Retirement Portfolio [View article]

http://bit.ly/St2aVV if investors are searching for absolute return portfolio.

## The Most Diversified Inflation-Proof Retirement Portfolio [View article]

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]

## Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]

## Low-Volatility Investing Versus CAPM: The Truth About The Low-Volatility Effect! [View article]

## Modern Portfolio Theory 2.0 - The Most Diversified Portfolio [View article]

Well, we have solved the MDP with the constraints of no short-selling, since it does not make sense to short an asset class that has a positive risk premium. To find the right combination, you have to implement a non-linear optimization algo, where you can add the specific constraints. Furthermore, we have used a rolling variance-/covariance matrix, with an exponential weighting factor, in order to react on different correlation regimes. This is one of our major risk management tools within the WSC All Weather Portfolio. If correlations tend to rise, the weighting factor is putting more weight on the last couple of events, able to react on the regime switch. So therefore we cannot exaclty determine the lookback period, as it tends to change over time.

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

I would be happy to read more about it :-).

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

However, the main purpose of this article was an evaluation of different kind of portfolio construction techniques rather than forecasting the price action of any underlying asset class. Moreover, we wanted to highlight the impact of certain tail events on these portfolios, which we have not seen over the last couple of decades. In addition, the risk/volatility of asset classes tend to be pretty stable of time and therefore it was quite simple to make a return assumption, if we consider Sharpe Ratios of 0.2 to 0.3.

Transaction costs are having definitely an impact. The portfolio turnover ratio for the MDP is ranging from 6 to 13 percent a year and therefore transaction costs can be ignored.

## The Most Rewarding Portfolio Construction Techniques: An Unbiased Evaluation [View article]

## Bridgewater's All Weather Portfolio With Risk Parity [View article]