Linear Regression Of Price And Time, Part 4: Logistic Asset Allocation by Mike B. Siroky, MD
Effective asset allocation design will recognize not only how much is allocated to various assets, but also, which assets are performing the best. Toward this goal, the “logistic portfolio” is introduced here, which is a dynamic allocation model based on near-term estimates of risk-adjusted returns, rather than on long-term expected returns or expected volatilities. Find out how to implement it.
Before putting any capital at risk, an investor is faced with two difficult questions ...