Asset Allocation.txt

Asset Allocation papers

Cliff Asness (of AQR Fund):  Value and Momentum Everywhere
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2174501

Sharpe:  Adaptive Asset Allocation
http://www.stanford.edu/~wfsharpe/aaap/wfsaaap.pdf

Andrew Clare:  The Trend is our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation http://www.cassknowledge.com/research/article/trend-funds-assets-cass-knowledge
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2275745

David Blitz of Robeco Asset Management:  Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1079975
  
David Blitz of Robeco Asset Management: selected papers
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=113731

Peng Wang:  Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1726443

Wouter J. Keller:  Generalized Momentum and Flexible Asset Allocation
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2193735

Marcos López de Prado
http://www.quantresearch.info

Systematic Edge
http://systematicedge.wordpress.com


Dynamic Asset Allocation
http://www.systematicportfolio.com/rfinance2013

David Varadi
Flexible Plan ETF
http://cssanalytics.wordpress.com


Mebane Faber
http://www.mebanefaber.com
http://www.cambriainvestments.com
http://alphaclone.com


Bridgewater Risk Parity
http://www.bwater.com/Uploads/FileManager/research/All-Weather/All-Weather-Story.pdf

http://markovprocesses.com/blog

http://troyshu.wordpress.com/2013/01/24/adaptive-asset-allocation-momentum-and-risk-parity

http://systematicinvestor.wordpress.com/2012/08/14/adaptive-asset-allocation
http://cssanalytics.wordpress.com/2012/07/17/adaptive-asset-allocation-combining-momentum-with-minimum-variance
http://seekingalpha.com/article/587491-adaptive-asset-allocation-a-true-revolution-in-portfolio-management
http://cssanalytics.wordpress.com/2013/04/04/minimum-variance-algorithm-mva-test-drive

http://www.thinknewfound.com
http://d1ao0hdmmn2izt.cloudfront.net/wp-content/uploads/2012/11/Allocating-Under-Uncertainty.pdf

http://www.systematicportfolio.com/minvar

http://www.adaptiveassetallocation.net


Dynamic Asset Allocation                                        
http://gestaltu.com/2013/05/dynamic-asset-allocation-for-practit
ioners-part-1-the-many-faces-of-momentum-2.html                 
http://gestaltu.com/2013/06/dynamic-asset-allocation-for-practit
ioners-part-2-risk-adjusted-momentum.html                       
http://gestaltu.com/2013/08/dynamic-asset-allocation-for-practit
ioners.html                                                     
http://seekingalpha.com/article/1612302-equity-momentum-august-2
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http://alphahive.wordpress.com