22 Feb Strategic Asset Allocation
What is Strategic Asset Allocation’s problem? It helps investment managers determine how best to spread their investments. But SAA can’t use standard mean-variance portfolio analysis. Adding a few standalone stress scenarios doesn’t help either. Unless all feasible risks are incorporated into the analysis, you won’t know what your return is – regardless of the strength of your capital market assumptions. For more, check out Alla Gil’s latest column in GARP.