Dynamic allocation strategies using exchange traded funds

- Felix Goltz, Lin Tang, Jean-René Giraud and Elie Charbit
- 03 Oct 2011

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Investors are usually willing to take on risk only if they are compensated for it with greater expected reward. Although such theories as Ross’s (1976) arbitrage pricing theory (APT) suggest there may be multiple sources of risk, including both systematic risk factor exposures and idiosyncratic risk (Merton 1987; Malkiel and Xu 2006) that are rewarded in equity markets, both empirical financial research and practical investment strategies rely mainly on a market-wide risk factor represented by a

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