アセット‐アロケーション【asset allocation】
アセット・アロケーション
アセットアロケーション
アセットアロケーション
アセットアロケーション
出典: フリー百科事典『ウィキペディア（Wikipedia）』 (2021/06/11 14:32 UTC 版)
アセットアロケーション(資産配分) とは、投資家のリスク許容度、目標、時間軸に応じて、ポートフォリオ内の各資産の割合を調整することにより、リスクとリターンのバランスを取ろうとする投資戦略である。[1]
- ^ a b “Asset Allocation Definition”. Investopedia. 2011年6月閲覧。
- ^ a b Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern portfolio theory and investment analysis. John Wiley & Sons, chapter 26.
- ^ “Is there really no such thing as a free lunch?”. FundAdvice.com. 2011年7月11日時点のオリジナル[リンク切れ]よりアーカイブ。2011年8月2日閲覧。
- ^ Arshanapalli, B. G., & Nelson, W. B. (2010). Yes Virginia, diversification is still a free lunch. The Journal of Wealth Management, 13(2), 34.
- ^ Best, M. J., & Grauer, R. R. (1991). On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. Review of Financial Studies, 4(2), 315-342.
- ^ Green, R. C., & Hollifield, B. (1992). When Will Mean‐Variance Efficient Portfolios Be Well Diversified?. The Journal of Finance, 47(5), 1785-1809.
- ^ Avramov, D., & Zhou, G. (2010). Bayesian portfolio analysis. Annu. Rev. Financ. Econ., 2(1), 25-47. Brandt, M. (2009). Portfolio choice problems. Handbook of financial econometrics, 1, 269-336. Guidolin, M., & Ria, F. (2011). Regime shifts in mean-variance efficient frontiers: Some international evidence. Journal of Asset Management, 12(5), 322-349. Scherer, B. (2002). Portfolio resampling: Review and critique. Financial Analysts Journal, 58(6), 98-109.
- ^ Idzorek, Thomas M., “Strategic Asset Allocation and Commodities”, Ibbotson Associates, March 27, 2006
- ^ Brennan, M. J., Schwartz, E. S., & Lagnado, R. (1997). Strategic asset allocation. Journal of Economic dynamics and Control, 21(8), 1377-1403.
- ^ Campbell, J. Y., & Viceira, L. M. (2002). Strategic asset allocation: portfolio choice for long-term investors. Oxford University Press, USA.
- ^ Blitz, David and Van Vliet, Pim, “Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes”, Journal of Portfolio Management, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1079975
- ^ Faber, Mebane T., “A Quantitative Approach to Tactical Asset Allocation”, The Journal of Wealth Management, Spring 2007, February 2009 update available at: http://ssrn.com/abstract=962461
- ^ Singleton, J. Clay, “Core-Satellite Portfolio Management: A Modern Approach for Professionally Managed Funds“, McGraw-Hill 2004
- ^ “Asset Allocation Fund Definition | Investopedia”. 2016年8月2日閲覧。
- ^ Gary P. Brinson, L. Randolph Hood, and Gilbert L. Beebower, Determinants of Portfolio Performance, The Financial Analysts Journal, July/August 1986.
- ^ Gary P. Brinson, Brian D. Singer, and Gilbert L. Beebower, Determinants of Portfolio Performance II: An Update, The Financial Analysts Journal, 47, 3 (1991).
- ^ William Jahnke, The Asset Allocation Hoax, Journal of Financial Planning, February 1997
- ^ L. Randolph Hood, Response to Letter to the Editor, The Financial Analysts Journal 62/1, January/February 2006
- ^ L. Randolph Hood, Determinants of Portfolio Performance - 20 Years Later, The Financial Analysts Journal 61/5 September/October 2005.
- ^ Roger G. Ibbotson and Paul D. Kaplan, Does Asset Allocation Policy Explain 40%, 90%, or 100% of Performance?, The Financial Analysts Journal, January/February 2000
- ^ Meir Statman, The 93.6% Question of Financial Advisors, The Journal of Investing, Spring 2000, Vol. 9, No. 1: pp. 16-20
- ^ Bekkers Niels, Doeswijk Ronald Q. and Lam Trevin W., Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes , Journal of Wealth Management, Vol 12, No 3, pp 61-77, 2009.
- ^ Doeswijk Ronald Q., Lam Trevin W. and Laurens A.P. Swinkels, Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011, Working Paper
- ^ Doeswijk Ronald Q., Lam Trevin W. and Laurens A.P. Swinkels, Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2012, Financial Analysts Journal, Forthcoming
- ^ Doeswijk Ronald Q., Lam Trevin and Laurens A.P. Swinkels, Historical Returns of the Market Portfolio, Working Paper
- ^ The Implications of Style Analysis on Mutual Fund Performance Evaluation
- ^ Stock return from a Wilshire 5000 Index fund; bond return from a Barclays Capital Aggregate Bond Index fund; inflation data from US Treasury Department.
- ^ Rabin, M., & Thaler, R. H. (2001). Anomalies: risk aversion. The Journal of Economic Perspectives, 15(1), 219-232.
[続きの解説]
「アセットアロケーション」の続きの解説一覧
- 1 アセットアロケーションとは
- 2 アセットアロケーションの概要
- 3 配分戦略
- 4 アセットアロケーションの問題
「アセットアロケーション」の例文・使い方・用例・文例
- アセットアロケーションのページへのリンク
