PT  - JOURNAL ARTICLE
AU  - Brian Jacobsen
AU  - Thomas Biwer
TI  - The Determinants of the Importance of Asset<br/>Allocation
AID  - 10.3905/jpm.2011.37.3.037
DP  - 2011 Apr 30
TA  - The Journal of Portfolio Management
PG  - 37--43
VI  - 37
IP  - 3
4099  - https://pm-research.com/content/37/3/37.short
4100  - https://pm-research.com/content/37/3/37.full
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