/

Nematrian Reference Library

[this page | back links]

Set out below is information (held by the Nematrian website) on the reference you have selected

Summary "This report provides risk-return estimates for twelve asset classes for use with the fi360 Asset Allocation Optimizer. The risks and returns are computed from long-term historical data overlaid with financial theory and adjusted for current interest rates. The returns represent "equilibrium" market estimates relative to the selected optimization universe adjusted for short-term market rates for contemporary realism. A market equilibrium approach is designed to provide a longer term perspective on capital market rates by limiting period-dependence as well as avoiding ad hoc "building block" methods in current usage. The estimates are useful to illustrate properties of optimized portfolios for Markowitz (1959) mean-variance (MV) and Michaud and Michaud (2008) mean-variance (MV) optimization methodologies. While also useful as a framework for comparative purposes relative to a given set of forecasts, judgment is required for application to an investment program."

See here to choose a new Category/Sub-Category or here for a list of all references held by the Nematrian website. Please contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.

---