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A Century of Generalized Momentum From Flexible Asset Allocations (FAA) To Elastic Asset Allocation (EAA) by doncalpe is a document available to read on EtoBox.

What is A Century of Generalized Momentum From Flexible Asset Allocations (FAA) To Elastic Asset Allocation (EAA) about?

The document proposes a new model called Elastic Asset Allocation (EAA) which generalizes the previous Flexible Asset Allocation (FAA) model. EAA uses elasticities rather than rankings to determine portfolio weights based on historical returns, volatilities, and correlations of assets. The paper optimizes EAA parameters during a 50-year in-sample period and tests performance during a subsequent out-of-sample period, finding impressive risk-adjusted results over a variety of global asset universes.

Author

doncalpe

Language

EN