Southville International School and Colleges Search for 'su:"Asset allocation"'

Investing for retirement : the moderating effect of fund assortment size on the 1/N heuristic /

By Morrin, Maureen...
2012 .
49 : 4, page 537

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Oxford handbook of quantitative asset management /

Oxford ; | New York : Oxford University Press, 2012 .
xxvii, 501 pages : , Includes bibliographical references and index. 26 cm..
9780199553433 (hbk.) | 0199553432 (hbk.)

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Non-myopic betas / by Semyon Malamud & Grigory Vilkov

Amsterdam Elsevier 2018 .
Pages 357-381 , Abstract An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding constraints, low non-myopic beta stocks deliver higher risk-adjusted returns. Empirically, a betting against non-myopic beta portfolio generates superior performance relative to common factor models and is negatively correlated with the market betting against beta portfolio.

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