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Value-based asset allocation: An integrated framework

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  • Renato Staub

    (William Blair & Company)

Abstract

We develop an asset allocation approach that translates valuation signals into a suggested allocation. At its core, we simulate a mean-reverting value-price evolution to infer important distribution parameters as needed in our allocation rule. The latter relies on a broad range of parameters, thereby diversifying the model risk and making the framework stable. The simulation is calibrated to meet the risk budget over time. And finally, a historical back test looks promising.

Suggested Citation

  • Renato Staub, 2013. "Value-based asset allocation: An integrated framework," Journal of Asset Management, Palgrave Macmillan, vol. 14(6), pages 354-375, December.
    • Handle: RePEc:pal:assmgt:v:14:y:2013:i:6:d:10.1057_jam.2013.25
    DOI: 10.1057/jam.2013.25
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    References listed on IDEAS

    as
    1. Renato Staub, 2007. "Are you about to handcuff your information ratio?," Journal of Asset Management, Palgrave Macmillan, vol. 7(5), pages 358-370, January.
    2. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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