Showing papers on "Asset allocation published in 1985"
TL;DR: In this article, the authors proposed a synthetic option asset allocation approach, which takes positions in each risky asset and financing the positions by borrowing in the riskless asset, taking larger positions in the risky assets as the assets perform well, along with a larger borrowing position, and smaller positions in riskless assets as they perform poorly.
Abstract: What if investors could buy a call option that would grant them the right to purchase, at the end of a performance measurement period, a full position in the better performing of either stocks or bonds? The appropriate investment strategy in that case wotuld be to invest in a riskless asset that portion of total funds sufficient to achieve a desired mninimum return over the period, and to use the remaining funds to purchase the "multiple risky asset"' call options. Although such options are not available in the marketplace, their return pattern can be replicated by a trading strategy utilizing stocks, bonds and cash. This involves taking positions in each risky asset and financing the positions by borrowing in the riskless asset. The investor takes larger positions in the risky assets as the assets perform well, along with a larger borrowing position, and smaller positions in the risky assets as they perform poorly, along with smaller borrowing positions. Historical simulations of the synthetic option asset allocation approach achieved good results in both bull and bear markets over the 1973-83 period. The compound perfornmance over the most recent three, five and 10-year holding periods ending in 1983 was not only first quartile, but first decile for the 10-year period and close to first decile for the other periods.
15 citations
TL;DR: In this paper, the Pension Sponsor's View of Asset Allocation is discussed, and the authors propose a solution to the problem of asset allocation in the context of a pension fund.
Abstract: (1985). The Pension Sponsor’s View of Asset Allocation. Financial Analysts Journal: Vol. 41, No. 5, pp. 17-23.
10 citations
TL;DR: In this article, the authors consider how to report the effects of changing prices in their financial statements and whether accounts should be adjusted for changes in the general level of prices or changes in specific prices (i.e., replacement costs).
Abstract: One unresolved issue concerning how firms should report the effects of changing prices in their financial statements is whether accounts should be adjusted for changes in the general level of prices or changes in specific prices (i.e., replacement costs). In 1976, reacting to a perceived need of investors, the Securities and Exchange Commission imposed a requirement on large publicly held companies to disclose certain replacement cost data (SEC [1976]). Later, the Financial Accounting Standards Board issued a standard which requires certain large publicly held companies to disclose limited supplementary data on both a general pricelevel-adjusted basis (constant dollar) as well as a current cost basis (FASB [1979]). For current cost disclosures, the Board encouraged firms to experiment with alternative estimation techniques including the use of specific price indices. If specific indices are to be used to estimate current values, a second issue which arises is how many indices should be used? One possibility, which should yield a high degree of accuracy, would be to use a specific price index for each industry asset class.1 Another possibility, which has been explored in some fashion by several authors, would be to use varying numbers of broader indices (e.g., see Tritschler [1969], Hohl [1977],
3 citations
TL;DR: The Improving the Investment Decision Process: Applying Economic Analysis to Portfolio Management conference held in Chicago, Illinois, on September 27, 1984 as discussed by the authors was the first conference devoted to applying economic analysis to portfolio management.
Abstract: This presentation comes from the Improving the Investment Decision Process: Applying Economic Analysis to Portfolio Management conference held in Chicago, Illinois, on September 27, 1984.
2 citations