Risk And Asset Allocation
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Risk And Asset Allocation
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Author : Attilio Meucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-05-22
Risk And Asset Allocation written by Attilio Meucci and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-22 with Business & Economics categories.
Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site
Quantitative Portfolio Optimisation Asset Allocation And Risk Management
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Author : M. Rasmussen
language : en
Publisher: Springer
Release Date : 2002-12-13
Quantitative Portfolio Optimisation Asset Allocation And Risk Management written by M. Rasmussen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12-13 with Business & Economics categories.
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Asset Allocation Balancing Financial Risk
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Author : Roger C. Gibson
language : en
Publisher: McGraw Hill Professional
Release Date : 2000-08-22
Asset Allocation Balancing Financial Risk written by Roger C. Gibson and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-08-22 with Business & Economics categories.
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.
Modern Asset Allocation For Wealth Management
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Author : David M. Berns
language : en
Publisher: John Wiley & Sons
Release Date : 2020-06-03
Modern Asset Allocation For Wealth Management written by David M. Berns and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-03 with Business & Economics categories.
An authoritative resource for the wealth management industry that bridges the gap between modern perspectives on asset allocation and practical implementation An advanced yet practical dive into the world of asset allocation, Modern Asset Allocation for Wealth Management provides the knowledge financial advisors and their robo-advisor counterparts need to reclaim ownership of the asset allocation component of their fiduciary responsibility. Wealth management practitioners are commonly taught the traditional mean-variance approach in CFA and similar curricula, a method with increasingly limited applicability given the evolution of investment products and our understanding of real-world client preferences. Additionally, financial advisors and researchers typically receive little to no training on how to implement a robust asset allocation framework, a conceptually simple yet practically very challenging task. This timely book offers professional wealth managers and researchers an up-to-date and implementable toolset for managing client portfolios. The information presented in this book far exceeds the basic models and heuristics most commonly used today, presenting advances in asset allocation that have been isolated to academic and institutional portfolio management settings until now, while simultaneously providing a clear framework that advisors can immediately deploy. This rigorous manuscript covers all aspects of creating client portfolios: setting client risk preferences, deciding which assets to include in the portfolio mix, forecasting future asset performance, and running an optimization to set a final allocation. An important resource for all wealth management fiduciaries, this book enables readers to: Implement a rigorous yet streamlined asset allocation framework that they can stand behind with conviction Deploy both neo-classical and behavioral elements of client preferences to more accurately establish a client risk profile Incorporate client financial goals into the asset allocation process systematically and precisely with a simple balance sheet model Create a systematic framework for justifying which assets should be included in client portfolios Build capital market assumptions from historical data via a statistically sound and intuitive process Run optimization methods that respect complex client preferences and real-world asset characteristics Modern Asset Allocation for Wealth Management is ideal for practicing financial advisors and researchers in both traditional and robo-advisor settings, as well as advanced undergraduate and graduate courses on asset allocation.
Introduction To Risk Parity And Budgeting
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Author : Thierry Roncalli
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Introduction To Risk Parity And Budgeting written by Thierry Roncalli and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Asset Allocation And Private Markets
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Author : Cyril Demaria
language : en
Publisher: John Wiley & Sons
Release Date : 2021-04-19
Asset Allocation And Private Markets written by Cyril Demaria and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-19 with Business & Economics categories.
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.
The Sector Strategist
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Author : Timothy J. McIntosh
language : en
Publisher: John Wiley & Sons
Release Date : 2012-04-03
The Sector Strategist written by Timothy J. McIntosh and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-03 with Business & Economics categories.
Using Asset Allocation to Reduce Risk and Boost Investing Returns Presenting a revolutionary new investment philosophy that redefines how we view sector investing, The Sector Strategist challenges long held ideas about how this unique area of finance operates. Misconceptions, such as the belief that international stocks provide diversification, are preventing investors from making the most of the opportunities for financial growth that sectors provide, and the book presents practical, applicable evidence that a better, more profitable option is available. Additionally, the book hopes to give readers an opportunity to improve returns and protect retirement assets by providing a wide range of techniques and tools designed to optimize wealth that the author has developed over the last decade. Designed to help investors avoid the often inaccurate assumptions made by "experts" which promote typical asset allocation Written by Timothy McIntosh, investment expert and founder of SIPCO/Strategic Investment Partners, whose firm's stock portfolio has earned five-star returns from Morningstar annually since 2003 Contains easy-to-apply tools for wealth protection and growth that have been proven successful during the market fluctuations of 2002 and 2008 The history and opportunities afforded by sectors have been written about at length, but no book has broken with tradition so radically, and with such success, as The Sector Strategist.
Risk Based And Factor Investing
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Author : Emmanuel Jurczenko
language : en
Publisher: Elsevier
Release Date : 2015-11-24
Risk Based And Factor Investing written by Emmanuel Jurczenko and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-24 with Business & Economics categories.
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. - Contains up-to-date research from the areas of RBFI - Features contributions from leading academics and practitioners in this field - Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
Fundamentals Of Institutional Asset Management
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Author : Frank J Fabozzi
language : en
Publisher: World Scientific
Release Date : 2020-10-12
Fundamentals Of Institutional Asset Management written by Frank J Fabozzi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-12 with Business & Economics categories.
This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.