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.
Cuprins
Foreword to the First Edition
Preface
Key Takeaways
Chapter 1: What is an asset class
Chapter 2: Fundamentals of asset allocation
Chapter 3: The importance of asset allocation
Chapter 4: Time diversification
Chapter 5: Divergence
Chapter 6: Correlation asymmetry
Chapter 7: Error maximization
Chapter 8: Factors
Chapter 9: 1/N
Chapter 10: Policy portfolios
Chapter 11: The private equity leverage myth
Chapter 12: Necessary conditions for mean-variance analysis
Chapter 13: Forecasting
Chapter 14: The stock-bond correlation
Chapter 15: Constraints
Chapter 16: Asset allocation versus factor investing
Chapter 17: Illiquidity
Chapter 18: Currency risk
Chapter 19: Estimation error
Chapter 20: Leverage versus concentration
Chapter 21: Rebalancing
Chapter 22: Regime shifts
Chapter 23: Scenario analysis
Chapter 24: Stress testing
Chapter 25: Statistical and theoretical concepts
Glossary
Index
Despre autor
WILLIAM KINLAW, CFA, is a Senior Managing Director and Global Head of State Street’s academic affiliate, State Street Associates, a unique partnership that bridges the worlds of financial theory and practice.
MARK KRITZMAN, CFA, is a Founding Partner and Chief Executive Officer of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates and teaches a graduate course at the Massachusetts Institute of Technology.
DAVID TURKINGTON, CFA, is a Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates.
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