An integrated stock-bond portfolio optim
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Hiroshi Konno; Katsunari Kobayashi
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Article
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1997
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Elsevier Science
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English
โ 868 KB
A new model for constructing an integrated stock-bond portfolio is proposed. This serves as an alternative to the popular asset allocation strategy, in which the fund is first allocated to indexes corresponding to diverse asset classes and then allocated to individual assets using appropriate models