Optimizing the Strategic Asset Allocation

  • Henrik Lumholdt


In the previous chapter, we discussed different approaches to forming expectations about future returns of the main asset classes but made only casual reference to the question of risk. In this chapter, we examine the issue of integrating risk and return, that is, optimizing the SAA. The mechanics of standard mean-variance optimization (MVO) are outlined in the Appendix to the book. Here we will focus on some of the challenges when applying MVO, possible remedies and alternative approaches.


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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Henrik Lumholdt
    • 1
  1. 1.Instituto de Empresa Business SchoolMadridSpain

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