资产配置
文件夹
协调
债务
对偶(语法数字)
资产(计算机安全)
时间范围
经济
期限(时间)
地平线
衡平法
微观经济学
业务
财务
计算机科学
艺术
文学类
物理
量子力学
法学
计算机安全
声学
政治学
天文
作者
Alexander Rudin,Daniel Farley
标识
DOI:10.3905/jpm.2022.1.331
摘要
In this article, the authors propose a new dual-horizon asset allocation framework that balances desire for long-term portfolio optimality with the requirement for short-term risk control. The framework leverages evidence that for many core asset classes, price patterns can be effectively decomposed into a long-term, persistent component and a transient, cyclical one. This decomposition is particularly helpful when applied to private and public sister-asset classes (e.g., private and public equity or debt) because it allows harmonization of private and public risk-adjusted returns without resorting to artificial adjustments.
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