Using Asset Allocation to Protect Spending
提出一种新的保护策略，将支出与资产配置动态关联，在市场下跌时保护支出能力，上涨时充分参与收益，适用于教育捐赠基金等收入型投资组合的管理。
The management of an educational endowment or other income-producing portfolio involves two strategic decisions at the fund level: asset allocation and choice of a spending rule. Traditionally, these two decisions are linked, for example, to preserve capital on average, but the optimal link would be more dynamic. This article describes a new protective strategy that links spending and asset allocation in a way that preserves spending power in down markets but participates significantly in up markets. The strategy is similar to constant proportions portfolio insurance, in that part of the fund is maintained in safe assets to preserve the value needed for continued expenditures. Like portfolio insurance, the strategy outperforms traditional strategies when markets are persistently up or persistently down but underperforms when portfolios are whipsawed by alternating ups and downs.