Flexible Indeterminate Factor-Based Asset Allocation

The authors propose a new asset allocation process (i.e., FIFAA) that blends the quantitative aspects of modern portfolio theory with the flexibility to make subjective decisions.  The process goes like this: 1) selecting factors, 2) measuring asset class or investment universe factor exposures, 3) choosing desirable factor exposures, and 4) determining the most appropriate asset class targets and ranges for achieving our long-term investment objectives, while maintaining our preferred factor exposures.

BLYTH, S., SZIGETY, M. C., & XIA, J. (2016). Flexible Indeterminate Factor-Based Asset Allocation. Journal Of Portfolio Management, 42(5), 79-93.