Asset Allocation

We study the introduction of robo-advising on a large representative sample of Employees Saving Plans. The robo-advisor proposes a portfolio allocation and alerts investors if their allocation gets too far from the target, while investors remain free to follow or ignore the advices.

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This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

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With vaccination programs worldwide well underway, the spotlight has shifted now to the nature of the economic recovery.

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We start by considering some of the key reasons behind the academic and industry interest in robo-advisors. We discuss how robo-advice could potentially address some fundamental problems in investors’ decision making as well as in traditional financial advice.

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As the global economy emerges from its worst slump since the 1930s, we envisage plenty of inflation fertilisers at stake, especially in the United States. Inflationary trends could emerge due to a combination of factors, including the cyclical recovery as countries try to get the pandemic under control and gradually lift mitigation measures.

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Bond portfolio optimization is very different from equity portfolio optimization. Indeed, while continuous optimization is efficient when managing a portfolio of stocks, it is not always well-adapted to building a bond portfolio because the transformation of portfolio weights into numbers of shares may lead to significant rounding errors. Indeed, bond investors are often restricted to purchasing bonds in multiples of a minimum transaction unit, which can be expressed as a minimum number of bonds or a minimum amount of dollars.

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Medium to long-term scenarios and return forecasts

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This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

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The book you have in your hands is the 2020 edition of Amundi Research papers.

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