The Implementation of Asset Allocation Approaches: Theory and Evidence
Round 1
Reviewer 1 Report
The paper has improved quite a bit from the previous version. However, the presentation and the organization needs to be updated.
I would suggest, fixing the ambiguous/incorrect (grammatically) sentences such as those in lines 10-11, 61-62, 81-83, 86-89, 808-809. These are only representative issues. The paper needs to be updated thoroughly. My previous comments about irrelevant elaboration digressing the paper away from its focus still apply. Please try to make it "to the point".
Author Response
Response to Reviewer1’s Comments
Comments and Suggestions for Authors
Q1.The paper has improved quite a bit from the previous version. However, the presentation and the organization needs to be updated. I would suggest, fixing the ambiguous/incorrect (grammatically) sentences such as those in lines 10-11, 61-62, 81-83, 86-89, 808-809. These are only representative issues. The paper needs to be updated thoroughly. My previous comments about irrelevant elaboration digressing the paper away from its focus still apply. Please try to make it "to the point".
Response: Thanks for the reviewer’s suggestions. First, in order to promote the quality of this manuscript, I sent this manuscript to a professional editing service to polish the grammar of this manuscript. Please see the attached certificate of a professional editing for more details. Second, according to the editor’s suggestion, I rename the title of this manuscript as ‘The Implement of Asset Allocation Approaches: Theory and Evidence’ to match the content of this manuscript.
Author Response File: 
Author Response.pdf
Reviewer 2 Report
The paper analyses the asset allocation efficiency from the perspective of sustainable return. The paper proposes three capital allocation approaches and a directional weight increment algorithm to identify the efficient frontier. Also,the study proposes an asset selection criterion for two types of risk approaches of investors. A GARCH multivariate model is used to estimate the conditional variance and covariance of several multi-assets portfolios constituted by seven assets dispersed in the oil, stock, and currency markets of United States.
The methodology and data are suitable for the studied topic.
The conclusions are supported by the results.
Author Response
Response to Reviewer2’s Comments
Comments and Suggestions for Authors
Q1.The methodology and data are suitable for the studied topic.
Response: Thanks for the reviewer’s positive comment.
Q2.The conclusions are supported by the results.
Response: Thanks for the reviewer’s positive comment.
Author Response File: 
Author Response.docx
This manuscript is a resubmission of an earlier submission. The following is a list of the peer review reports and author responses from that submission.
Round 1
Reviewer 1 Report
It is a complex work, but the author succeeded to do a great job. I'd recommend a clearer structure of the content in the chapters. For example, the Indroduction part is not what the term really suggested, but a long and unstructured description. I'd suggest you review how the content is structured and presented in the presentation. I hope your model to be used in the real world.
Reviewer 2 Report
The paper analyses the asset allocation efficiency from the perspective of sustainable return. The paper proposes three capital allocation approaches and a directional weight increment algorithm to identify the efficient frontier. Also,the study proposes an asset selection criterion for two types of risk approaches of investors. A GARCH multivariate model is used to estimate the conditional variance and covariance of several multi-assets portfolios constituted by seven assets dispersed in the oil, stock, and currency markets of United States.
The literature review could be improved with newer researches in the field of asset allocation.
The methodology and data are suitable for the studied topic.
The conclusions are supported by the results.
Reviewer 3 Report
How to perform the asset allocation efficiently to get sustainable return? Evidence from three markets in [the?] United States - Comments
Summary:
The study claims to propose several approaches to identify efficient frontier to asset allocation for the investors, and then explore the following two major issues existing in the investment process.
- Select a suitable asset to construct an effective portfolio among numerous assets in the financial market based on the minimum variance portfolios (MVPs) of all possible portfolios.
- Distribute the capital into the selected assets appropriately, or find the appropriate weight combination of the selected assets.
I like the author’s approach to highlight the above two issues of ‘assets selection’ and ‘capital allocation’ or collectively known as the asset allocation, as the two important considerations for the investors before they put their money into the financial market. However, there are several issues in the paper.
Major Issues:
- “Sustainable returns” seems to be the focus of the paper. However, the paper merely discusses the issue and its applications to the financial markets.
- While the paper claims to examine the sustainable return on an individual’s return, it is unclear how it does so. The paper does not go into the details of sustainable returns.
- The statistical methods seem to be appropriate for analyzing the type of data, but the main theme of the paper is not consistent with what is presented in the paper.
- The irrelevant elaboration of the content digresses the paper away from its focus.
- The paper is too long. I would suggest re-writing the paper with a much-streamlined focus on the two questions asked above: what to choose and how much to allocate.
Comments for author File: Comments.pdf
