Optimal asset allocation aid system: From "one-size" vs "tailor-made" performance ratio

被引：21

作者：

Farinelli, Simone ^{[2
]}

Ferreira, Manuel ^{[3
]}

Rossello, Damiano ^{[4
]}

Thoeny, Markus ^{[3
]}

Tibiletti, Luisa ^{[1
]}

机构：

[1] Univ Torino, Dept Math & Stat, I-10122 Turin, Italy

[2] UBS, CH-8098 Zurich, Switzerland

[3] Cantonal Bank Zurich, Investment & Quantitat Res, CH-8010 Zurich, Switzerland

[4] Univ Catania, Dept Econ & Quantitat Methods, I-95129 Catania, Italy

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2009年 / 192卷 / 01期

关键词：

Risk management; Decision support system; Asset allocation;

D O I：

10.1016/j.ejor.2007.08.035

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Optimal asset allocation well-fitting investors' goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti performance ratios are suggested for personalizing asset allocation. Tailor-made optimal asset paths for five different investor risk profiles are traced over a rolling 12 month investing horizon. Our simulations show a satisfactorily good match between asset allocation and correspondent risk profile. Specifically, Generalized Rachev ratios outperform in personalized allocation for "extreme" risk profiles, i.e. conservative and aggressive investors, whereas Sortino-Satchell and Farinelli-Tibiletti ratios for those that are more moderate. Sharpe ratio confirms its ability in constructing steady-diversified portfolios, although underperformed. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：209 / 215

页数：7