Asset Allocation Project

University of Chicago (Financial Markets Program)
        Dynamic Asset Allocation Research - Carlton Chin
  • Research for current practices and ideas; generate additional ideas
  • "Current" Assets - but also easily-obtainable data
    • Barclays is a good data source for historical hedge fund strategy performance; perhaps use only few more popular methods: Long/Short, Emerging Markets.  Many go back to 1997.
    • Managed Futures Index - Barclays CTA BTOP 50 Index performance is available on a timely basis; the Barclays CTA Index goes further back (1980).  
  • Downside Risk Management; conservative Correlations
  • Develop Usable, Ongoing Model, with value-added (fundamental, technicals)


Some articles by Carlton Chin on asset allocation:

REITS and Asset Allocation

Semi-Correlation

Asset Allocation

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wangchin Fam,
Feb 17, 2011, 7:10 AM
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wangchin Fam,
Feb 17, 2011, 6:50 AM
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wangchin Fam,
Feb 23, 2011, 8:58 AM
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