RT Journal Article
SR Electronic
T1 The Determinants of the Importance of Asset<br/>Allocation
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 37
OP 43
DO 10.3905/jpm.2011.37.3.037
VO 37
IS 3
A1 Brian Jacobsen
A1 Thomas Biwer
YR 2011
UL https://pm-research.com/content/37/3/37.abstract
AB Jacobsen and Biwer provide a framework to help evaluate the cross-sectional importance of asset allocation. They propose a closed-form solution of the models posited by previous authors, for example, the well-known Ibbotson and Kaplan model.Not only can the framework be used to evaluate, on an ex post basis, the importance of asset allocation, but it can also be used to establish the “right” number of managers to use per asset class.TOPICS: Portfolio construction, portfolio theory, factor-based models