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Expected Utility Asset Allocation

Expected Utility Asset Allocation

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Published by InvestmentMAGE
Expected Utility Asset Allocation
William F. Sharpe1
September, 2006, Revised June 2007
Asset Allocation
Many institutional investors periodically adopt an asset allocation policy that specifies
target percentages of value for each of several asset classes. Typically a policy is set by a
fund’s board after evaluating the implications of a set of alternative policies. The staff is
then instructed to implement the policy, usually by maintaining the actual allocation to
each asset class within a specified range around the policy target level. Such asset
allocation (or asset/liability) studies are usually conducted every one to three years or
sooner when market conditions change radically.
Most asset allocation studies include at least some analyses
Expected Utility Asset Allocation
William F. Sharpe1
September, 2006, Revised June 2007
Asset Allocation
Many institutional investors periodically adopt an asset allocation policy that specifies
target percentages of value for each of several asset classes. Typically a policy is set by a
fund’s board after evaluating the implications of a set of alternative policies. The staff is
then instructed to implement the policy, usually by maintaining the actual allocation to
each asset class within a specified range around the policy target level. Such asset
allocation (or asset/liability) studies are usually conducted every one to three years or
sooner when market conditions change radically.
Most asset allocation studies include at least some analyses

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Published by: InvestmentMAGE on Feb 05, 2009
Copyright:Attribution Non-commercial

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