标题: Global Allocation [打印本页] 作者: hardwork24 时间: 2011-10-5 10:31 标题: Global Allocation
So we are doing our equity allocation to get world-wide diversification. How do you come up with an appropriate model? The software I have can't put all of the securities on the efficient frontier, so would an appropriate way be to find global market cap, and allocate portfolio weight by country capitalization?作者: anish 时间: 2011-10-5 10:33
I'm not sure what you mean by "the software I have can't put all of the securities on the efficient frontier".
If you want portfolio weights by country capitalization, download the data from MSCI.作者: jcole21 时间: 2011-10-5 10:35
Link? So would the way to go about it be to allocate portfolio weight by country market capitalization?作者: busterbluth 时间: 2011-10-5 10:37
You probably need a subscription. I get mine through Factset.作者: Iginla2010 时间: 2011-10-5 10:39
Here's an alternative that will can approximate the solution (if you have the returns data): perform an optimization to minimize tracking error where the benchmark portfolio is 100% invested in MSCI (All-country) world and the target portfolio is constrained to have a 0% weight in the All-country world.作者: SFoyil 时间: 2011-10-5 10:41
good idea, but using which software package for the optimization?作者: Andreas42 时间: 2011-10-5 10:43
I wouldn't do it that way if I had a choice, just something if you're in a bind and want an approximation to start with until I got my hands on the real data.
Single-period you could do in excel and I suppose you could do more than one period if you wrote a VBA script.
R or Matlab is another alternative (R is free).
