Alternative Assets (Bloomberg)

ISBN-13: 9781576603680 / Angielski / Twarda / 2010 / 528 str.

Abbink, John B.

Opis

An insightful guide to making strategic investment allocation decisions that embraces both alternative and conventional assets In this much-needed resource, alternative and portfolio management expert John Abbink demonstrates new ways of analyzing and deploying alternative assets and explains the practical application of these techniques. Alternative Assets and Strategic Allocation clearly shows how alternative investments fit into portfolios and the role they play in an investment allocation that includes traditional investments as well. This book also describes innovative methods for valuation as applied to alternatives that previously have been difficult to analyze.

• Offers institutional investors, analysts, researchers, portfolio managers, and financial academics a down-to-earth method for measuring and analyzing alternative assets
• Reviews some of the latest alternatives that are increasing in popularity, such as high-frequency trading, direct lending, and long-term investment in real assets
• Outlines a strategic approach for including alternative investments into portfolios and shows the pivotal role they play in an investment allocation

Using the information found in this book, you'll have a clearer sense of how to approach investment issues related to alternative assets and discover what it takes to make these products work for you.

Spis treści

List of Illustrations ix

Acknowledgments xiii

Introduction 1

What Is Alternative about Alternative Investments?  5

The Plan of This Book 11

PART ONE | ANALYTIC TOOLS

1 Risk and Return 17

2 Return Enhancement 37

3 Some Features of the Quantitative Toolkit 59

4 Risk Estimation 81

PART TWO | SOME EXAMPLES

5 Long/Short Equity 103

6 Direct Lending 123

7 Merger Arbitrage 141

8 High–Frequency Trading 161

9 Holding Private Assets for Their Cash Flows 183

10 Fixed–Income Arbitrage 199

11 Event–Driven Investment 217

PART THREE | POSITION MANAGEMENT

12 Investment Strategies in Practice 237

13 Optionality 253

14 Trade Capacity 271

15 Institutional Liquidity 287

16 Tactical Allocation 305

17 Portfolio Liquidity 323

18 Alternative Investments and Information Theory 343

PART FOUR | PORTFOLIO CONSTRUCTION

19 Classification of Investments 361

20 Diversification among Strategies 381

21 Multi–Dimensional Risk 403

22 Filling Out the Allocation 419

23 Time and Tide 433

24 Managing the Allocation Decision 451

25 Concluding Remarks 469

Bibliography 477

Index 487

O autorze

JOHN B. ABBINK has twenty–nine years experience in investment firms, including Merrill Lynch, Credit Suisse, and Deutsche Bank, and was formerly a senior vice president and director of manager research at National City Corporation. Abbink received his BA from Michigan State University and his PhD from Yale University.

Blurb

Praise for Alternative Assets and Strategic Allocation

This book fills an otherwise empty niche in the literature of alternative investing. Neither breathless cheerleading nor a dry mathematical tome, it focuses on the numerous real–world issues that face practitioners. I recommend Alternative Assets and Strategic Allocation to anyone with a serious interest in investing. Steven Resnick, General Partner, Navigator Capital Partners

I think this book is a must–read for those interested in alternative investments. John s years of due diligence experience and his fresh and candid writing style make this a valuable body of work whether you are a fund allocator looking for a robust and practical analytical framework or a fund manager who could benefit from the perspective of his target audience. James Murchie, founder, Energy Income Partners, LLC

The key question for all investors is asset allocation, [which is] far more important than investment management. Thus, whether you are exposed to alternative investments or not, you must know why you ve chosen where to allocate. Abbink offers ingenious answers and provides endless food for thought, yet delivers the even more valuable service of indicating where answers are unavailable and unlikely to be forthcoming. Michael Mainelli, Professor Emeritus of Commerce and Fellow of Gresham College and cofounder of the Z/Yen Group of companies

This volume is addressed to investment policymakers who are confronted with the task of making investment allocation decisions that embrace both conventional and alternative assets. From the Introduction

In this innovative and practical guide, investment expert John Abbink offers institutional investors, analysts, researchers, portfolio managers, and financial academics a down–to–earth method for measuring and analyzing alternative assets.

Written as a practical (rather than a theoretical) guide, Alternative Assets and Strategic Allocation includes a clear explanation of how to apply the book s techniques to investment decisions. Abbink outlines a strategic approach for including alternative investments into portfolios and shows the pivotal role they play in an investment allocation. This reliable resource also offers a wealth of methods on valuation as applied to alternatives.

Using the information found in this book, investors will have a clearer sense of how to approach investment problems when working with alternative assets.