Asset Allocation: From Theory to Practice and Beyond

ISBN-13: 9781119817710 / Angielski / Twarda / 2021 / 368 str.

Mark P. Kritzman; William Kinlaw; David Turkington

Spis treści

Foreword to the First EditionPrefaceKey TakeawaysChapter 1: What is an asset classChapter 2: Fundamentals of asset allocationChapter 3: The importance of asset allocationChapter 4: Time diversificationChapter 5: DivergenceChapter 6: Correlation asymmetryChapter 7: Error maximizationChapter 8: FactorsChapter 9: 1/NChapter 10: Policy portfoliosChapter 11: The private equity leverage mythChapter 12: Necessary conditions for mean-variance analysisChapter 13: ForecastingChapter 14: The stock-bond correlationChapter 15: ConstraintsChapter 16: Asset allocation versus factor investingChapter 17: IlliquidityChapter 18: Currency riskChapter 19: Estimation errorChapter 20: Leverage versus concentrationChapter 21: RebalancingChapter 22: Regime shiftsChapter 23: Scenario analysisChapter 24: Stress testingChapter 25: Statistical and theoretical conceptsGlossaryIndex

O autorze

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.