k**k
发帖数: 61 | 1 I'm doing some research these days on asset allocation. The common framework
seems to be starting with a set of scenarios on macro variables such as GDP
, unemployment then forecast yields, equity premium, fx via either some
simply regression based model or vector auto-regressive (VAR). The
forecasted yields, premium, etc. then serve as the inputs for an optimizer
that will spit out the presumably optimal weights for each asset class.
The info I'm getting is pretty sketchy (maybe I was not on th |
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