Refining the Qrmcsaa Model

Abstract

In order to further remedy the problem of unstable asset allocations, we can apply several statistical techniques that enhance the investment value of model inputs. Some are crude and others are more advanced, but in a portfolio optimisation and asset allocation context they all share the goal of refining the inputs used in order to reduce the uncertainty of the recommended asset allocation as a result of just small changes in model inputs. In other words, they are designed to adjust model inputs in order to obtain more intuitive and applicable outputs that can better provide investment value for the asset manager.