Exploring Optimal Mixed Asset Portfolio Allocation

Download Exploring Optimal Mixed Asset Portfolio Allocation full books in PDF, epub, and Kindle. Read online Exploring Optimal Mixed Asset Portfolio Allocation ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Exploring Optimal Mixed-asset Portfolio Allocation

Author : Yoojin Sul
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (986 download)

DOWNLOAD NOW!

Book Synopsis Exploring Optimal Mixed-asset Portfolio Allocation by : Yoojin Sul

Download or read book Exploring Optimal Mixed-asset Portfolio Allocation written by Yoojin Sul and published by . This book was released on 2017 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world economy confronts investors with many challenges, especially investors managing institutional portfolios. Global GDP growth has been slowed, and the performance of traditional assets - equities and bonds - alone are often not able to satisfy the various risk and return objectives that institutional investors seek in their portfolios. Amid this challenging investment environment, investors around the world are seeking new investment strategies to lessen their reliance on those traditional asset classes. Consequently, alternative investments continue to garner greater attention of investors as an effective method to diversify their portfolios and to potentially increase overall returns and mitigate risk. However, the term "alternative investments" encompasses a broad range of investment concepts and there is no generally accepted standard definition. A major focus of this thesis is to compare real estate and real assets with hedge funds and private equity, the four most prevalent sub-classes within alternative investments. Specifically, we address the question of whether, or to what extent, real assets including real estate can improve the performance of institutional investment portfolio, in particular in comparison with the private equity and hedge funds. Additionally, we analyze the effect of diversifying globally compared to domestically. We first develop a common ground regarding alternative investments and their characteristics. Then, we focus primarily on traditional mean-variance optimization but also consider risk parity as the allocation criterion to explore the optimal mixed-asset allocation strategies as a function of the investor's expected return target. Additionally, we compare the resulting allocations with institutional investors current average allocation in their portfolios. The findings clearly indicate that adding alternative asset classes generally offers attractive diversification opportunities to a portfolio consisting of only traditional asset classes - stocks and bonds. We find that real assets and the private equity & hedge fund type of alternative assets both enhance the portfolio, and the aggregated optimal share of these alternative investments is much higher than current industry practice. However, the role of the various different types of alternative investments varies widely in a portfolio, in particular as a function of the investor's risk/return appetite.

Exploring a New Technique to Determine the Optimal Real Estate Portfolio Allocation

Author : Tingting Fu
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (879 download)

DOWNLOAD NOW!

Book Synopsis Exploring a New Technique to Determine the Optimal Real Estate Portfolio Allocation by : Tingting Fu

Download or read book Exploring a New Technique to Determine the Optimal Real Estate Portfolio Allocation written by Tingting Fu and published by . This book was released on 2014 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory has been developed over the last fifty years, and there are several studies linking Modern Portfolio Theory with the allocation of real estate property in multi-asset portfolios. However, in reality, most real estate fund managers don't use MPT as a guideline when they are structuring a portfolio and deploying allocation strategy for a real estate fund. The main reason for this gap between theory and reality is that the traditional mean-variance approach of MPT requires accurate data of variances, covariance and expected return over the long term; and those data are quite difficult to collect on an ad hoc base. This Thesis applies a new technique to examine property asset allocation strategies and improve the performance of a real estate investment sample portfolio in the US. We straight-model the portfolio weight in each property type of asset as a function of the asset's characteristics: either physical attributes such as property size, vacancy rate, property type, location etc.; or financial attributes such as Cap Rate. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over a certain period of years. The aim of this approach is to find a simple and easily modified methodology for real estate portfolio managers when they are deciding on acquisitions and making portfolio policies. In general, this Thesis aims to apply the new technique to help practitioners and other researchers improve the practical implementation of optimal portfolio policies.

A Practitioner's Guide to Asset Allocation

Author : William Kinlaw
Publisher : John Wiley & Sons
ISBN 13 : 111940245X
Total Pages : 271 pages
Book Rating : 4.1/5 (194 download)

DOWNLOAD NOW!

Book Synopsis A Practitioner's Guide to Asset Allocation by : William Kinlaw

Download or read book A Practitioner's Guide to Asset Allocation written by William Kinlaw and published by John Wiley & Sons. This book was released on 2017-05-02 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the formalization of asset allocation in 1952 with the publication of Portfolio Selection by Harry Markowitz, there have been great strides made to enhance the application of this groundbreaking theory. However, progress has been uneven. It has been punctuated with instances of misleading research, which has contributed to the stubborn persistence of certain fallacies about asset allocation. A Practitioner's Guide to Asset Allocation fills a void in the literature by offering a hands-on resource that describes the many important innovations that address key challenges to asset allocation and dispels common fallacies about asset allocation. The authors cover the fundamentals of asset allocation, including a discussion of the attributes that qualify a group of securities as an asset class and a detailed description of the conventional application of mean-variance analysis to asset allocation.. The authors review a number of common fallacies about asset allocation and dispel these misconceptions with logic or hard evidence. The fallacies debunked include such notions as: asset allocation determines more than 90% of investment performance; time diversifies risk; optimization is hypersensitive to estimation error; factors provide greater diversification than assets and are more effective at reducing noise; and that equally weighted portfolios perform more reliably out of sample than optimized portfolios. A Practitioner's Guide to Asset Allocation also explores the innovations that address key challenges to asset allocation and presents an alternative optimization procedure to address the idea that some investors have complex preferences and returns may not be elliptically distributed. Among the challenges highlighted, the authors explain how to overcome inefficiencies that result from constraints by expanding the optimization objective function to incorporate absolute and relative goals simultaneously. The text also explores the challenge of currency risk, describes how to use shadow assets and liabilities to unify liquidity with expected return and risk, and shows how to evaluate alternative asset mixes by assessing exposure to loss throughout the investment horizon based on regime-dependent risk. This practical text contains an illustrative example of asset allocation which is used to demonstrate the impact of the innovations described throughout the book. In addition, the book includes supplemental material that summarizes the key takeaways and includes information on relevant statistical and theoretical concepts, as well as a comprehensive glossary of terms.

Asset Allocation For Dummies

Author : Dorianne Perrucci
Publisher : John Wiley & Sons
ISBN 13 : 0470522550
Total Pages : 379 pages
Book Rating : 4.4/5 (75 download)

DOWNLOAD NOW!

Book Synopsis Asset Allocation For Dummies by : Dorianne Perrucci

Download or read book Asset Allocation For Dummies written by Dorianne Perrucci and published by John Wiley & Sons. This book was released on 2009-04-01 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: An easy-to-understand how-to guide to the single most important thing you can do in investing — choosing and mixing your assets successfully. You don’t need to be an expert analyst, a star stock-picker, or a rocket scientist to have better investment results than most other investors. You just need to allocate your assets in the right way, and have the conviction to stick with that allocation. The big secret behind asset allocation — the secret that most sophisticated investors know and use to their benefit — is that it’s really not all that hard to do. Asset Allocation For Dummies serves as a comprehensive guide to maximizing returns and minimizing risk — while managing taxes, fees and other costs — in putting together a portfolio to reflect your unique financial goals. Jerry A. Miccolis (Basking Ridge, NJ), CFA®, CFP®, FCAS, MAAA is a widely quoted expert commentator who has been interviewed in The New York Times and the Wall Street Journal, and appeared on CBS Radio and ABC-TV. He is a senior financial advisor and co-owner of Brinton Eaton Wealth Advisors (www.brintoneaton.com), a fee-only investment management, tax advisory and financial planning firm in Madison, N.J. Dorianne R. Perrucci (Scotch Plains, NJ) is a freelance writer who has been published in The New York Times, Newsweek, and TheStreet.com, and has collaborated on several financial books, including I.O.U.S.A, One Nation, Under Stress, In Debt (Wiley, 2008).

Asset Allocation

Author : William Kinlaw
Publisher : John Wiley & Sons
ISBN 13 : 1119817714
Total Pages : 375 pages
Book Rating : 4.1/5 (198 download)

DOWNLOAD NOW!

Book Synopsis Asset Allocation by : William Kinlaw

Download or read book Asset Allocation written by William Kinlaw and published by John Wiley & Sons. This book was released on 2021-07-27 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover a masterful exploration of the fallacies and challenges of asset allocation In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation. Drawing on their experience working with hundreds of the world’s largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest. The book also incorporates discussions of: The characteristics that define an asset class, including stability, investability, and similarity The fundamentals of asset allocation, including definitions of expected return, portfolio risk, and diversification Advanced topics like factor investing, asymmetric diversification, fat tails, long-term investing, and enhanced scenario analysis as well as tools to address challenges such as liquidity, rebalancing, constraints, and within-horizon risk. Perfect for client-facing practitioners as well as scholars who seek to understand practical techniques, Asset Allocation: From Theory to Practice and Beyond is a must-read resource from an author team of distinguished finance experts and a forward by Nobel prize winner Harry Markowitz.

Strategic Asset Allocation

Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)

DOWNLOAD NOW!

Book Synopsis Strategic Asset Allocation by : John Y. Campbell

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Portfolio Management in Practice, Volume 2

Author : CFA Institute
Publisher : John Wiley & Sons
ISBN 13 : 1119788242
Total Pages : 176 pages
Book Rating : 4.1/5 (197 download)

DOWNLOAD NOW!

Book Synopsis Portfolio Management in Practice, Volume 2 by : CFA Institute

Download or read book Portfolio Management in Practice, Volume 2 written by CFA Institute and published by John Wiley & Sons. This book was released on 2020-11-11 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Asset Allocation Workbook offers a range of practical information and exercises that reinforce the key concepts explored in Portfolio Management in Practice, Volume 2: Asset Allocation. Part of the reputable CFA Institute Investment Series, the workbook is designed to further students’ and professionals’ hands-on experience with a variety of learning outcomes, summary overview sections, and challenging problems and solutions. The workbook provides the necessary tools and latest information to help learners advance their skills in this critical facet of portfolio management. Aligning chapter-by-chapter with the main text so readers can easily pair exercises with the appropriate content, this workbook covers: Setting capital market expectations to support the asset allocation process Principles and processes in the asset allocation process, including handling ESG-integration and client-specific constraints Allocation beyond the traditional asset classes to include allocation to alternative investments The role of exchange-traded funds can play in implementing investment strategies The Asset Allocation Workbook has been compiled by experienced CFA members to give learners world-class examples based on scenarios faced by finance professionals every day. For practice on additional aspects of portfolio management, explore Volume 1: Investment Management, Volume 3: Equity Portfolio Management, and their accompanying workbooks to complete the Portfolio Management in Practice series.

Exploring Asset Allocation

Author : Terence Grennon
Publisher : BookRix
ISBN 13 : 3755436655
Total Pages : 63 pages
Book Rating : 4.7/5 (554 download)

DOWNLOAD NOW!

Book Synopsis Exploring Asset Allocation by : Terence Grennon

Download or read book Exploring Asset Allocation written by Terence Grennon and published by BookRix. This book was released on 2023-03-22 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the financial crisis of 2008–2009, I worked as a co-portfolio manager, overseeing thirty billion dollars' worth of assets belonging to asset allocation funds. My experience as a professional investor taught me that I had a responsibility to my customers to do a better job of preventing the loss of their assets, and this was one of the most important lessons I took away from my career. It was unacceptable for a custodian to suffer a loss of 15–45 percent while the market as a whole suffered a loss of 60–75 percent.

Multi-moment Asset Allocation and Pricing Models

Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)

DOWNLOAD NOW!

Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko

Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Portfolio Management in Practice, Volume 2

Author : CFA Institute
Publisher : John Wiley & Sons
ISBN 13 : 1119787971
Total Pages : 640 pages
Book Rating : 4.1/5 (197 download)

DOWNLOAD NOW!

Book Synopsis Portfolio Management in Practice, Volume 2 by : CFA Institute

Download or read book Portfolio Management in Practice, Volume 2 written by CFA Institute and published by John Wiley & Sons. This book was released on 2020-01-11 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the latest essential resource on asset allocation for students and investment professionals. Part of the CFA Institute’s three-volume Portfolio Management in Practice series, Asset Allocation offers a deep, comprehensive treatment of the asset allocation process and the underlying theories and markets that support it. As the second volume in the series, Asset Allocation meets the needs of both graduate-level students focused on finance and industry professionals looking to become more dynamic investors. Filled with the insights and industry knowledge of the CFA Institute’s subject matter experts, Asset Allocation effectively blends theory and practice while helping the reader expand their skillsets in key areas of interest. This volume provides complete coverage on the following topics: Setting capital market expectations to support the asset allocation process Principles and processes in the asset allocation process, including handling ESG-integration and client-specific constraints Allocation beyond the traditional asset classes to include allocation to alternative investments The role of exchange-traded funds can play in implementing investment strategies An integrative case study in portfolio management involving a university endowment To further enhance your understanding of tools and techniques explored in Asset Allocation, don’t forget to pick up the Portfolio Management in Practice, Volume 2: Asset Allocation Workbook. The workbook is the perfect companion resource containing learning outcomes, summary overview sections, and challenging practice questions that align chapter-by-chapter with the main text.

The New Science of Asset Allocation

Author : Thomas Schneeweis
Publisher : John Wiley & Sons
ISBN 13 : 0470608390
Total Pages : 422 pages
Book Rating : 4.4/5 (76 download)

DOWNLOAD NOW!

Book Synopsis The New Science of Asset Allocation by : Thomas Schneeweis

Download or read book The New Science of Asset Allocation written by Thomas Schneeweis and published by John Wiley & Sons. This book was released on 2010-02-12 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes. Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk A complete case study is presented that allocates for beta and alpha Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.

Global Asset Allocation

Author : Jess Lederman
Publisher : Wiley
ISBN 13 : 9780471593737
Total Pages : 400 pages
Book Rating : 4.5/5 (937 download)

DOWNLOAD NOW!

Book Synopsis Global Asset Allocation by : Jess Lederman

Download or read book Global Asset Allocation written by Jess Lederman and published by Wiley. This book was released on 1994-09-30 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Buying this book could be the smartest investment you make this season. If that sounds like a bold claim, just take a look at the list of contributors. In it you'll find the names of twenty-nine of the world's foremost experts in asset allocation. Over the course of twenty chapters, these accomplished institutional investors, academics, analysts, and traders school you in all of the hottest new portfolio management techniques now in use around the globe. Not another abstruse discourse on the theoretical pros and cons of asset allocation, Global Asset Allocation is a working, nuts-and-bolts guide for institutional investors. It outfits you with a set of versatile new tools and techniques designed to solve real-world problems and guide your portfolio management decision-making. While broad theoretical considerations are given their due, the lion's share of this book's coverage is commanded by cutting-edge technical issues such as mean variance optimization, allocating between styles of equity management, optimal fixed income portfolios, asset/liability forecasting, the critical time horizon, target asset allocation, and chaos theory. In addition to all of the traditional classes of asset allocations, Global Asset Allocation explores a number of new and emerging investment horizons. Foremost among these is "the ultimate investment frontier," international markets, to which a sizeable portion of the book (all of Part Two) is devoted. You'll find in-depth discussions of the qualitative and quantitative aspects of global asset allocation, in which various experts describe the latest global asset allocation models, optimization methods, forecasting techniques, global bond and currency management strategies, risk and return analysis in country-to-country allocation strategies, active and passive management portfolio strategies, and much more. Offering world-class strategies for managing global portfolios, Global Asset Allocation is an essential resource for corporate finance professionals, pension plan sponsors, analysts, and portfolio managers looking to expand their repertoire of financial management skills. From asset liability forecasting and target asset allocation, to critical time horizon and implementing overlay strategies, this groundbreaking new guide educates institutional investors in state-of-the-art portfolio management strategies guaranteed to minimize risk while maximizing returns. Bringing you the combined insights and expertise of twenty-nine prominent investment experts from around the world, Global Asset Allocation is a working handbook, designed to guide your portfolio management decision-making and help you to solve real-world problems. * The latest asset allocation models, optimization methods, and forecasting techniques, including passive and active portfolio strategies * Includes six major chapters on global asset allocation, including currency management and emerging market investing Traders, portfolio managers...investment professionals of every ilk: read this book, and use the versatile new strategies, tools, and techniques it describes to give your investment skills a razor-sharp, winning edge.

Portfolio Management in Practice, Volume 1

Author : CFA Institute
Publisher : John Wiley & Sons
ISBN 13 : 1119743729
Total Pages : 1328 pages
Book Rating : 4.1/5 (197 download)

DOWNLOAD NOW!

Book Synopsis Portfolio Management in Practice, Volume 1 by : CFA Institute

Download or read book Portfolio Management in Practice, Volume 1 written by CFA Institute and published by John Wiley & Sons. This book was released on 2020-11-11 with total page 1328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals. As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process. Inside, readers will find detailed coverage of: Forming capital market expectations Principles of the asset allocation process Determining investment strategies within each asset class Integrating considerations specific to high net worth individuals or institutions into chosen strategies And more To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems. Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.

Multi-Asset Investing

Author : Pranay Gupta
Publisher : John Wiley & Sons
ISBN 13 : 1119241596
Total Pages : 296 pages
Book Rating : 4.1/5 (192 download)

DOWNLOAD NOW!

Book Synopsis Multi-Asset Investing by : Pranay Gupta

Download or read book Multi-Asset Investing written by Pranay Gupta and published by John Wiley & Sons. This book was released on 2016-03-09 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the accepted fact that a substantial part of the risk and return of any portfolio comes from asset allocation, we find today that the majority of investment professionals worldwide are focused on security selection. Multi-Asset Investing: A Practitioner’s Framework questions this basic structure of the investment process and investment industry. Who says we have to separate alpha and beta? Are the traditional definitions for risk and risk premium relevant in a multi-asset class world? Do portfolios cater for the ‘real risks’ in their investment processes? Does the whole Emerging Markets demarcation make sense for investing? Why do active Asian managers perform much poorer compared to developed market managers? Can you distinguish how much of a strategy’s performance comes from skill rather than luck? Does having a performance fee for your manager create alignment or misalignment? Why is the asset management transitioning from multi-asset strategies to multi-asset solutions? These and many other questions are asked, and suggestions provided as potential solutions. Having worked together for fifteen years, the authors’ present implementable solutions which have helped them successfully manage large asset pools. The Academic Perspective “Multi-Asset Investing asks fundamental questions about the asset allocation investment processes in use today, and can have a substantial impact on the future structure of the finance industry. It clarifies and distils the techniques that investment professionals need to master to add value to client portfolios.” —Paul Smith, President & CEO, CFA Institute “Pranay Gupta, Sven Skallsjo, and Bing Li describe the essential concepts and applications of multi-asset investing. Their treatment is far ranging and exceptionally lucid, and always with a nod to practical application. Buy this book and keep it close at hand.” —Mark Kritzman, MIT Sloane School of Management “Innovative solutions to some of the most difficult investment problems we are faced with today. Multi-asset Investing tackles investment issues which don’t have straight forward solutions, but nevertheless are faced by every investment professional. This book sets the standard for investment processes of all asset managers.” —SP Kothari, MIT Sloane School of Management The Asset Owner Perspective “Multi-asset means different things to different people. This is the first text that details a comprehensive framework for managing any kind of multi-asset investment problem. Further, its explanation of the commercial aspects of managing a multi-asset investment business for an asset manager, private bank or asset owner make it an indispensable tool” —Sadayuki Horie, Dy. Chairman - Investment Advisory Comm., Government Pension Investment Fund, Japan “Multi-Asset Investing shows the substantial scope there is to innovate the asset allocation process. With its novel approaches to allocation, portfolio construction and risk management it demonstrates the substantial value that can be added to any portfolio. The solutions proposed by Multi-Asset Investing are creative, thought provoking, and may well be the way all portfolios need to be managed in the future.” —Mario Therrien, Senior Vice President, Caisse de Depot et Placement du Quebec, Canada The Asset Manager’s Perspective “Never has astute asset allocation and diversification been more crucial than today. Asset Managers which are able to innovate their investment processes and products in this area, are more likely to be the winners. Multi-Asset Investing provides both simple and sophisticated, tested and implementable techniques for successfully managing multi-asset portfolios.” —Vincent Camerlynck, former CEO BNP Paribas Investment Partners, Asia Pacific The Investment Strategist Perspective “For plan sponsors, portfolio managers, analysts and risk managers, Multi-Asset Investing is an unparalleled guide for portfolio management. Its approach to blending the quantitative and fundamental, top-down and bottom up and the risk and return frameworks makes it a valuable tool for any kind of investment professional. It clarifies a complex subject into a series of practical ideas to help add value to any portfolio.” —Ajay S. Kapur, Chief Strategist, BOA Merrill Lynch Asia

Essays in Asset Allocation

Author : Xin Gao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)

DOWNLOAD NOW!

Book Synopsis Essays in Asset Allocation by : Xin Gao

Download or read book Essays in Asset Allocation written by Xin Gao and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in asset allocation. In the first essay, I explore the question of how investors should optimally incorporate commodities in their multi-asset portfolios, or even if they should at all. To tackle this problem, I conduct a comprehensive out-of-sample assessment on the economic value of commodities in multi-asset investment strategies for both mean-variance and non-mean-variance investors who exploit the predictability of time-varying asset return moments. With both monthly and quarterly rebalancing frequencies, I find that predictability makes the addition of commodities profitable even when short-selling and high leverage are not permitted. For instance, a mean-variance (non mean-variance) investor rebalancing quarterly, with moderate risk aversion and leverage, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities into her stock, bond and cash portfolio. In the second essay, I study the economic value generated by active equity mutual funds from an investor’s perspective. I employ an optimization-based portfolio approach to construct a composite investment strategy of U.S. active equity mutual funds. The strategy jointly exploits the conditioning information conveyed by multiple fund characteristics and macroeconomic variables about the cross-section of fund performance. Based on an extensive out-of-sample performance evaluation, I find that the proposed strategy consistently outperforms a large set of passive investments that rely on index funds as well as the strategies that exploit the fund characteristics on an individual basis. The outperformance is net of fees and expenses and after precluding short-sales and leverage. I further show that the proposed strategy’s superior performance derives from effectively exploiting the predictive power of distinct fund characteristics to shift portfolio allocation toward (away from) funds with future outperformance (underperformance) as market conditions evolve over time. The findings indicate that investing in active equity mutual funds can add significant economic value for investors if the time-varying predictability in fund performance is properly taken into account and if an optimal portfolio approach, as opposed to simpler strategies based on sorting or on equal-weighted schemes, is adopted.

Adaptive Asset Allocation

Author : Adam Butler
Publisher : John Wiley & Sons
ISBN 13 : 1119220351
Total Pages : 244 pages
Book Rating : 4.1/5 (192 download)

DOWNLOAD NOW!

Book Synopsis Adaptive Asset Allocation by : Adam Butler

Download or read book Adaptive Asset Allocation written by Adam Butler and published by John Wiley & Sons. This book was released on 2016-02-23 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.

Strategic Asset Allocation

Author : John Y. Campbell
Publisher : Clarendon Lectures in Economic
ISBN 13 : 9780198296942
Total Pages : 280 pages
Book Rating : 4.2/5 (969 download)

DOWNLOAD NOW!

Book Synopsis Strategic Asset Allocation by : John Y. Campbell

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by Clarendon Lectures in Economic. This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.