@article {Qian39,
author = {Qian, Edward},
title = {Tactical Asset Allocation with Pairwise Strategies},
volume = {30},
number = {1},
pages = {39--48},
year = {2003},
doi = {10.3905/jpm.2003.319918},
publisher = {Institutional Investor Journals Umbrella},
abstract = {An alternative approach to quantitative tactical asset allocation (TAA) is based on time series forecasting models and mean-variance optimization. The central concept is pairwise TAA, and the correct metric for assessing forecast quality is the pairwise information coefficient. TAA using mean-variance optimization is generally equivalent to a linear combination of pairwise TAA, with the relative weights of the pairs in the combination directly connected to the covariance matrix used in the optimization. TAA managers should avoid using a covariance matrix without knowing its implied pairwise weights, but instead should use pairwise information to influence the choice of the pairwise weights. The expected long-term performance of TAA strategies for a given set of pairwise weights as well as optimal sets of pairwise combinations that attain the maximum information ratio is also derived.},
issn = {0095-4918},
URL = {https://jpm.pm-research.com/content/30/1/39},
eprint = {https://jpm.pm-research.com/content/30/1/39.full.pdf},
journal = {The Journal of Portfolio Management}
}