Strategic Asset Allocation

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Strategic Asset Allocation

John Y. Campbell,Luis M. Viceira
Strategic Asset Allocation Book PDF

Author : John Y. Campbell,Luis M. Viceira
Publisher : OUP Oxford
Page : 272 pages
File Size : 40,8 Mb
Release : 2002-01-03
Category : Business & Economics
ISBN : 9780191606915

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Strategic Asset Allocation by John Y. Campbell,Luis M. Viceira Pdf

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.

Strategic and Tactical Asset Allocation

Henrik Lumholdt
Strategic and Tactical Asset Allocation Book PDF

Author : Henrik Lumholdt
Publisher : Springer
Page : 251 pages
File Size : 43,6 Mb
Release : 2018-07-21
Category : Business & Economics
ISBN : 9783319895543

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Strategic and Tactical Asset Allocation by Henrik Lumholdt Pdf

This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.

Strategic Asset Allocation

John Y. Campbell,Luis M. Viceira
Strategic Asset Allocation Book PDF

Author : John Y. Campbell,Luis M. Viceira
Publisher : Clarendon Lectures in Economic
Page : 280 pages
File Size : 51,8 Mb
Release : 2002
Category : Asset allocation
ISBN : 0198296940

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Strategic Asset Allocation by John Y. Campbell,Luis M. Viceira Pdf

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.

Strategic Asset Allocation in Fixed Income Markets

Ken Nyholm
Strategic Asset Allocation in Fixed Income Markets Book PDF

Author : Ken Nyholm
Publisher : John Wiley & Sons
Page : 192 pages
File Size : 44,5 Mb
Release : 2008-09-15
Category : Business & Economics
ISBN : 9780470721070

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Strategic Asset Allocation in Fixed Income Markets by Ken Nyholm Pdf

Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this Enables readers to implement financial and econometric models in Matlab All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed All concepts and techniques are introduced from a basic level Chapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniques Chapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed form Chapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived - a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPM Chapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presented Supported by a website with online resources - www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises

Global Asset Allocation

MR Mebane T Faber
Global Asset Allocation Book PDF

Author : MR Mebane T Faber
Publisher : Mebane Faber
Page : 132 pages
File Size : 50,7 Mb
Release : 2015-04-20
Category : Electronic
ISBN : 0988679922

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Global Asset Allocation by MR Mebane T Faber Pdf

With all of our focus on assets - and how much and when to allocate them - are we missing the bigger picture? Our book begins by reviewing the historical performance record of popular assets like stocks, bonds, and cash. We look at the impact inflation has on our money. We then start to examine how diversification through combining assets, in this case a simple stock and bond mix, works to mitigate the extreme drawdowns of risky asset classes. But we go beyond a limited stock/bond portfolio to consider a more global allocation that also takes into account real assets. We track 13 assets and their returns since 1973, with particular attention to a number of well-known portfolios, like Ray Dalio's All Weather portfolio, the Endowment portfolio, Warren Buffett's suggestion, and others. And what we find is that, with a few notable exceptions, many of the allocations have similar exposures. And yet, while we are all busy paying close attention to our portfolio's particular allocation of assets, the greatest impact on our portfolios may be something we fail to notice altogether...

Asset Allocation and Private Markets

Cyril Demaria,Maurice Pedergnana,Remy He,Roger Rissi,Sarah Debrand
Asset Allocation and Private Markets Book PDF

Author : Cyril Demaria,Maurice Pedergnana,Remy He,Roger Rissi,Sarah Debrand
Publisher : John Wiley & Sons
Page : 325 pages
File Size : 55,6 Mb
Release : 2021-04-19
Category : Business & Economics
ISBN : 9781119381006

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Asset Allocation and Private Markets by Cyril Demaria,Maurice Pedergnana,Remy He,Roger Rissi,Sarah Debrand Pdf

The comprehensive guide to private market asset allocation Asset Allocation and Private Markets provides institutional investors, such as pension funds, insurance groups and family offices, with a single-volume authoritative resource on including private markets in strategic asset allocation. Written by four academic and practitioner specialists, this book provides the background knowledge investors need, coupled with practical advice from experts in the field. The discussion focuses on private equity, private debt and private real assets, and their correlation with other asset classes to establish optimized investment portfolios. Armed with the grounded and critical perspectives provided in this book, investors can tailor their portfolio and effectively allocate assets to traditional and private markets in their best interest. In-depth discussion of return, risks, liquidity and other factors of asset allocation takes a more practical turn with guidance on allocation construction and capital deployment, the “endowment model,” and hedging — or lack thereof. Unique in the depth and breadth of information on this increasingly attractive asset class, this book is an invaluable resource for investors seeking new strategies. Discover alternative solutions to traditional asset allocation strategies Consider attractive returns of private markets Delve into private equity, private debt and private real assets Gain expert perspectives on correlation, risk, liquidity, and portfolio construction Private markets represent a substantial proportion of global wealth. Amidst disappointing returns from stocks and bonds, investors are increasingly looking to revitalise traditional asset allocation strategies by weighting private market structures more heavily in their portfolios. Pension fund and other long-term asset managers need deeper information than is typically provided in tangential reference in broader asset allocation literature; Asset Allocation and Private Markets fills the gap, with comprehensive information and practical guidance.

Strategic Asset Allocation and International Capm

Philipp Kowollik
Strategic Asset Allocation and International Capm Book PDF

Author : Philipp Kowollik
Publisher : GRIN Verlag
Page : 29 pages
File Size : 43,5 Mb
Release : 2012-03
Category : Business & Economics
ISBN : 9783656071631

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Strategic Asset Allocation and International Capm by Philipp Kowollik Pdf

Seminar paper from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 28 entries in the bibliography, language: English, abstract: The decision as to which Assets should be included in a portfolio is first addressed in a Strategic Asset Allocation policy. The determination of the Strategic Asset Allocation is one of the most important factors that influences a portfolio's performance. The process of defining a policy within the Strategic Asset Allocation should be done by both the portfolio manager and the potential investor. Together with the International Capital Asset Pricing Model the Strategic Asset Allocation tries to find an optimal portfolio which maximizes return and, at the same time, tries to minimize the possible risk. Due to currency and inflation risk, hedging should be considered as crucial point during the Strategic Asset Allocation. 1 2 Strategic Asset Allocation under consideration of the International Capital Asset Pricing Model decides to which asset classes a portfolio should be divided. Factors which determine the decision are expected returns, variances and covariances as well as the degree of risk aversion. The analysis of mean-variance which was mostly developed by Harry Markowitz gave portfolio advice until the early eighties concerning the optimal asset allocation. The aims of this approach were to minimize risk while receiving the highest possible return. Over the years the method was critized several times because of a lack of decisive factors. Markowitz only assumed a one period model and permanent income, currency and inflation risk were also ignored.3 Strategic Asset Allocation is much more than investing short- term. Investors care about inflation and currency risk. Hedging is particularly needed.

Strategic Risk Management

David Iverson
Strategic Risk Management Book PDF

Author : David Iverson
Publisher : John Wiley & Sons
Page : 288 pages
File Size : 43,8 Mb
Release : 2013-09-03
Category : Business & Economics
ISBN : 9781118176436

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Strategic Risk Management by David Iverson Pdf

A comprehensive guide to the key investment decisions all investors must make and how to manage the risk that entails Since all investors seek maximize returns balanced against acceptable risks, successful investment management is all about successful risk management. Strategic Risk Management uses that reality as a starting point, showing investors how to make risk management a process rather than just another tool in the investor's kit. The book highlights and explains primary investment risks and shows readers how to manage them across the key areas of any fund, including investment objectives, asset allocation, asset class strategy, and manager selection. With a strong focus on risk management at the time of asset allocation and at the time of implementation, the book offers important guidance for managers of benefit plans, endowments, defined contribution schemes, and family trusts. Offers a thorough examination of the role of risk management in the decision-making process for asset allocation, manager selection, and other duties of fund managers Written by the current head of portfolio design for the New Zealand Superannuation Fund Addresses the fundamental importance of risk management in today's post-crisis fund management landscape Strategic Risk Management is a comprehensive and easy-to-read guide that identifies the primary risks investors face and reveals how best to manage them.

Adaptive Asset Allocation

Adam Butler,Michael Philbrick,Rodrigo Gordillo
Adaptive Asset Allocation Book PDF

Author : Adam Butler,Michael Philbrick,Rodrigo Gordillo
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 44,5 Mb
Release : 2016-02-02
Category : Business & Economics
ISBN : 9781119220374

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Adaptive Asset Allocation by Adam Butler,Michael Philbrick,Rodrigo Gordillo Pdf

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.

Asset Allocation: Balancing Financial Risk

Roger C. Gibson
Asset Allocation Balancing Financial Risk Book PDF

Author : Roger C. Gibson
Publisher : McGraw Hill Professional
Page : 358 pages
File Size : 51,5 Mb
Release : 2000-08-22
Category : Business & Economics
ISBN : 0071378014

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Asset Allocation: Balancing Financial Risk by Roger C. Gibson Pdf

Financial experts agree: Asset allocation is the key strategies for maintaining a consistent yet superior rate of investment return. Now, Roger Gibson's Asset Allocation - the bestselling reference book on this popular subject for a decade has been updated to keep pace with the latest developments and findings. This Third Edition provides step-by-step strategies for implementing asset allocation in a high return/low risk portfolio, educating financial planning clients on the solid logic behind asset allocation, and more.

Strategic versus tactical asset allocation in markets with high uncertainty

Daniel Hosp
Strategic versus tactical asset allocation in markets with high uncertainty Book PDF

Author : Daniel Hosp
Publisher : GRIN Verlag
Page : 24 pages
File Size : 54,9 Mb
Release : 2013-02-05
Category : Business & Economics
ISBN : 9783656367413

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Strategic versus tactical asset allocation in markets with high uncertainty by Daniel Hosp Pdf

Seminar paper from the year 2012 in the subject Business economics - Investment and Finance, University of Innsbruck, course: Sales Management in Banking and Finance, language: English, abstract: Asset allocation strategies are a frequently discussed topic with increasing importance in times of crisis. Such strategies should prevent us from price deterioration in bad times and ensure high return potentials in good times. More and more tactical asset allocation funds emerge and promise better returns than simple strategy funds. They always try to be on the right market side, in up as well as in down phases. This seminar paper deals with some basic question about what strategic and tactical asset allocation is, when should it be used and if these strategies are appropriate in a highly uncertain environment like the current. It should give the reader a broad overview about the topic by referring to different accepted theories and studies. First the development of asset allocation methods will be described resulting in strategic and tactical asset allocation and an evaluation of them. Furthermore a link toward uncertain market conditions will be compounded.

The Art of Asset Allocation: Principles and Investment Strategies for Any Market, Second Edition

David H. Darst
The Art of Asset Allocation Principles and Investment Strategies for Any Market Second Edition Book PDF

Author : David H. Darst
Publisher : McGraw Hill Professional
Page : 432 pages
File Size : 51,7 Mb
Release : 2008-06-01
Category : Business & Economics
ISBN : 9780071642941

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The Art of Asset Allocation: Principles and Investment Strategies for Any Market, Second Edition by David H. Darst Pdf

The fully revised classic on employing asset allocation techniques to grow real wealth A global leader and preeminent expert in asset allocation, David Darst delivers his masterwork on the topic. In a fully updated and expanded second edition of The Art of Asset Allocation, Morgan Stanley's Chief Investment Strategist covers the historic market events, instruments, asset classes, and economic forces that investors need to be aware of as they create asset-building portfolios. He then explains how to use modern asset allocation concepts and tools to augment returns and control risks in a wide range of financial market environments. This completely revised edition shows how to achieve asset balance with the author's proven methods, decades of expertise, relevant charts, practical tools, and astute analyses. Known as the king of asset allocation, Darst brings his expertise to bear to provide complete asset class descriptions, identifying historical risk, return, and correlation characteristics for all major asset classes. Using actual data, he explains the differences between tactical and strategic asset allocation, outlines clear rebalancing guidelines, and includes an annotated guide to both traditional and Internet-based information sources. Praise for the first edition: “You want to be a better investor, a better client, or a better advisor? DEVOUR THIS BOOK NOW!”-James J. Cramer “David Darst is the expert on Asset Allocation. He has chosen to share his decades of practical experience in The Art of Asset Allocation, to the benefit of professional and individual investors alike.”-Seth A. Klarman

The Ivy Portfolio

Mebane T. Faber,Eric W. Richardson
The Ivy Portfolio Book PDF

Author : Mebane T. Faber,Eric W. Richardson
Publisher : John Wiley & Sons
Page : 246 pages
File Size : 46,5 Mb
Release : 2011-04-05
Category : Business & Economics
ISBN : 9781118008850

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The Ivy Portfolio by Mebane T. Faber,Eric W. Richardson Pdf

A do-it-yourself guide to investing like the renowned Harvard and Yale endowments. The Ivy Portfolio shows step-by-step how to track and mimic the investment strategies of the highly successful Harvard and Yale endowments. Using the endowment Policy Portfolios as a guide, the authors illustrate how an investor can develop a strategic asset allocation using an ETF-based investment approach. The Ivy Portfolio also reveals a novel method for investors to reduce their risk through a tactical asset allocation strategy to protect them from bear markets. The book will also showcase a method to follow the smart money and piggyback the top hedge funds and their stock-picking abilities. With readable, straightforward advice, The Ivy Portfolio will show investors exactly how this can be accomplished—and allow them to achieve an unparalleled level of investment success in the process. With all of the uncertainty in the markets today, The Ivy Portfolio helps the reader answer the most often asked question in investing today - "What do I do"?

Asset Allocation For Dummies

Dorianne Perrucci,Jerry A. Miccolis
Asset Allocation For Dummies Book PDF

Author : Dorianne Perrucci,Jerry A. Miccolis
Publisher : John Wiley & Sons
Page : 379 pages
File Size : 40,7 Mb
Release : 2009-04-01
Category : Business & Economics
ISBN : 9780470522554

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Asset Allocation For Dummies by Dorianne Perrucci,Jerry A. Miccolis Pdf

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).

Portfolio Design

Richard C. Marston
Portfolio Design Book PDF

Author : Richard C. Marston
Publisher : John Wiley & Sons
Page : 374 pages
File Size : 44,8 Mb
Release : 2011-03-29
Category : Business & Economics
ISBN : 9780470931233

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Portfolio Design by Richard C. Marston Pdf

Portfolio Design – choosing the right mix of assets appropriate to a particular investor – is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns. But in order to successfully achieve this goal, you need to be familiar with all of the major asset classes that go into modern portfolios and learn how much they add to portfolio diversification. Thoughtful asset allocation provides discipline to the investment process and gives you the best chance of building and safeguarding wealth. Wharton Professor Richard C. Marston, 2014 recipient of the Investment Management Consultants Association’s prestigious Matthew R. McArthur Award, will guide you through the major decisions that need to be made when designing a portfolio and will put you in the best position to balance the risk-reward relationship that is part of this endeavor. Portfolio Design is to be read by investment advisors. The book is rich in information about individual asset classes, including both traditional assets like stocks and bonds as well as alternative assets such as hedge funds, private equity, real estate, and commodities. So it should appeal to all sophisticated advisors whether or not they are trying to qualify for one of the major investment designations. In fact, the book is designed to be read by any advisor who is as fascinated as Marston by the investment process.