Risk-Based Asset Allocation : A New Answer to an Old Question ?

@inproceedings{Lee2011RiskBasedAA,
  title={Risk-Based Asset Allocation : A New Answer to an Old Question ?},
  author={Wai Kei Peter Lee},
  year={2011}
}
WAI LEE is the director of research and CIO of the Quantitative Investment Group at Neuberger Berman in New York, NY. wai.lee@nb.com The global financial crisis in 2008 caused investors to question what went wrong with many of their portfolios, which were believed to be diversified. Mean-variance optimization (MVO), 60/40, modern portfolio theory (MPT), and others seem to have been put on trial by practitioners and critics alike for their apparent underdiversif ication and accused failure to… CONTINUE READING
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