Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 34

 Scenario analysis requires investors to define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and identify the most suitable portfolio given all these inputs.

 The greatest challenge to scenario analysis is determining each scenario's probability.

 We can estimate a scenario's probability by measuring its statistical similarity to current economic conditions or normal economic conditions using a statistic called the Mahalanobis distance.

 This framework also allows us to identify the smallest changes in the scenario descriptions that would be required to equate the empirical probabilities with our subjective views.

 We can further enhance scenario analysis by describing scenarios as paths rather than as single-period average outcomes.