عنوان

Multi-asset investing :

(Number (ISBN

111924157X

(Number (ISBN

1119241618

(Number (ISBN

9781119241577

(Number (ISBN

9781119241614

Erroneous ISBN

1119241529

Erroneous ISBN

9781119241522

Number

dltt

Title Proper

Multi-asset investing :

General Material Designation

[Book]

Other Title Information

a practitioner's framework /

First Statement of Responsibility

Pranay Gupta, Sven R. Skallsjo, Bing Li

Specific Material Designation and Extent of Item

1 online resource

Text of Note

Includes bibliographical references and index

Text of Note

An Introduction to the Multi-Asset Investment Problem -- What is Multi-Asset Investing? -- The Conventional Structure -- Transitioning from Active Management to Exposure Allocation -- Creating an Improved Allocation Structure -- Constructing a Multi-Asset Portfolio to Manage Tail Risks -- Multi-Asset Investing in Emerging Markets -- From Multi-Asset Strategies to Multi-Asset Solutions -- Structuring a Multi-Asset Business -- The Traditional Allocation Structure -- The Traditional Investment Process -- The Asset Allocation Process -- The Belief in Diversification -- Harnessing Equity Risk Premium and the Investment Horizon -- Asset Classes as Mutually Exclusive Silos -- Organization Structure and Resource Allocation -- Implications for Skill Required in Asset Allocation -- Requirements for a Revised Allocation Solution -- Parallel Debates Created in the Search for a Revised Allocation Solution -- Transitioning from Active Management to Exposure Allocation -- A Historic Rationalization of Alpha and Beta -- Progression of Active Management -- Generalizing the Beta Concept -- The Demise of Asset Class Demarcated Allocation -- Implications for the Active Investment Process -- Investment Strategy Categorization -- Fundamental, Quantitative and Technical -- Top-down, Bottom-up and Relative Value -- Positioning of Alternative Investments -- Obsolescence of Portable Alpha -- Positioning of Fundamental Indexation and Smart Beta -- Risk in an Exposure-Based Framework -- Horizon-Based Organizational Demarcation -- Transition from an Asset-Based to an Exposure-Based Organization -- Conclusion -- Redefining Risk Premium for Multi-Asset Allocation Decisions -- Incumbent Risk and Risk Premium Frameworks -- Framework for the Concurrent Presence of All Asset Classes -- Incorporating Intra-Horizon Risk -- Risk and Return Premium for Allocation Silos -- Asset Class Premiums - Comparison of Traditional and Proposed Methods -- Asset Class Premiums - Impact of Different Investment Horizons -- Asset Class Risk-Comparison of Traditional and Proposed Methods -- Asset Class Risk - Impact of Different Investment Horizons -- Sovereign Risk and Risk Premium -- Application to Various Multi-Asset Investment Problem Scenarios -- Conclusion -- A Multi-Strategy Allocation Structure -- Categories of Allocation Approaches -- A Multi-Strategy Framework for the Allocation Problem -- The Benefits of Strategy Diversification -- Individual Allocation Methodology Requirements -- Example of a Multi-Strategy Allocation Approach -- Conclusion -- A Fundamental Exposure Allocation Approach-Business Cycles -- The Passive Economic Model -- Au Active Economic Approach -- A Five Cycle Asset Allocation Approach -- Cycle 1-The Global Business Cycle -- Cycle II-The Local Business Cycle -- Cycle III-The Monetary Cycle -- Cycle IV -The Credit and Capex Cycles -- Cycle V - Market Cycle -- Cycle Limiting Risk Parameters -- Segregating the Core and Cyclical Components -- The Composite Five Cycle Framework -- A Systematic Exposure Allocation Process - Active Risk Budgeting -- Modeling the Business Cycle -- Modeling the Monetary Cycle -- Risk Adjustment for Equity Valuation -- Creating an Adjusted Risk Budgeting Allocation Methodology -- Simulated Performance Results -- Confirming Robustness of ARB Allocation Methodology -- Performance in Different Time Periods -- Performance in Different Market Conditions -- Implementation of a Drawdown Management Process -- Estimation of Asset Allocation -- The Consensus Asset Allocation Dataset -- Using Consensus Data for Allocation Decisions -- Basic Allocation Decisions -- Creating Tactical Allocation Changes -- Conviction Level in Allocation Stances -- Currency Hedge Ratio Decisions -- Separating the Poor Forecasters from the Accurate Ones -- Contrasting the Variety of Allocation Methodologies -- Optimization for Multi-Asset Portfolios -- Evolution of the Mean Variance Framework -- Portfolio Allocation and Measures of Performance -- A Utility-Based Approach -- The Fund Manager's Objectives -- The Efficient Frontier -- Optimal Portfolio Choice -- Incorporating the Constraints -- Tail Risk Constraint -- Event Risk -- Macro Risk -- Regime Risk -- Correlation Risk -- Formulation of the Optimization Problem -- The Unconstrained Allocation -- Applying the Constraints -- The Preferred Portfolio -- Conclusions -- Managing Tail Risk in Multi-Asset Portfolios -- Portfolio Management-The Practical Setting -- Asset Allocation - The Practical Setting -- Creating a Real Risk Measure: End-of-Horizon vs.

Text of Note

Intra-Horizon Risk -- Model Uncertainty -- Stop-Losses -- Implementing Tail Risk Management -- Notation and Variables -- Multi-Asset Investing in Emerging Markets -- Observation 1: Sub-Optimal Geographic Categorization of Emerging Markets -- Observation 2: Inappropriate Sector Classification for Emerging Markets -- Observation 3: Stock Concentration in Equity Indices -- Observation 4: The Potential for Active Management -- Observation 5: Performance of Active Managers -- Observation 6: Over-Dependence on a Single Investment Decision -- Summary of Observations -- Pitfalls in Emerging Market Investment Frameworks -- An Improved Framework for Emerging Market Investments -- The Importance of Asset Allocation in Asian Equities -- Impact of Breadth on Portfolio Excess Return -- Impact of Varying Cross-Sectional Dispersion on Portfolio Excess Return -- The Relative Importance of Asset Allocation and Stock Selection -- Comparing the US and Asian Equity Investment Universe -- Conclusions -- Implementing a Multi-Asset Strategy - Active or Passive -- Investment Determinants for the Active-Passive Decision -- Asset Owner Constraints Impacting the Active-Passive Decision -- An Exposure-Based Risk Diagnostics Framework -- Shortcomings of a Traditional Risk Analysis Approach -- Evaluating Intended and Unintended Risk -- A Multi-Dimensional Risk Architecture -- Skill Analysis -- Investment Process Component Analysis -- Regime Risk Analysis -- Style and Factor Risk Analysis -- Macro Risk Analysis -- Stress Event Risk Analysis -- Peer Croup Comparison Analysis -- Impact of Manager Compensation on Allocation Decisions -- Compensation Structure -- Managerial Constraints -- Managerial Skill -- Managerial Risk Preferences -- Optimal Activeness -- The Distribution of Performance -- The Importance of Skill -- Activeness and Age -- Implications for a Multi-Period Setting -- Compensation Structure -- The Distribution of Performance -- Examples of Managerial Contracts -- Conclusions -- From Multi-Asset Strategies to Multi-Asset Solutions -- Current Phase of Industry Transition -- Multi-Asset Solutions as an Industry Function -- Characteristics of a Multi-Asset Solution Provider -- Customization Parameters for an Investment Solution -- Requirements for a Standardized Implementation -- The Importance of Attributing Performance -- Conclusions -- Multi-Asset Investing for Private Wealth Assets -- The Private Wealth Multi-Asset Investment Problem -- Business Model and Organizational Issues -- Incumbent Investment Frameworks -- A Multi-Asset Private Wealth Investment Platform -- Goals-Based Allocation -- Implication for the Long-Only Active Manager -- Conclusions -- Structuring a Multi-Asset Investing Business -- Product Structure and Positioning -- Product Advantages and Disadvantages -- Product Investment Skills -- Target Client Segmentation -- Where Did Existing Products Fall Short? -- Client Segment-Expectations and Evaluation -- Competing for Better Institutional Investment Outcomes -- Mission and Beliefs - The First and Most Critical Step -- Frameworks: Traditional Asset Class Versus Risk Premium -- Linking Beliefs With Return Drivers and Portfolio Construction Decisions -- A New Perspective -- A Wider Opportunity Set for Exploiting Alpha -- Ensuring That Everything Is Consistent with Beliefs -- Governance Consideration -- Closing the Governance Gap: Build or Buy -- The Separation of Governing and Executive Functions -- Choosing an Implementation Route for Delegation -- Bundling Multiple Investment Strategies into Pooled Funds -- Fully Bespoke Implementation -- Monitoring -- Conclusions

0

0

Text of Note

"It is best described as that part of academic wisdom that the authors have found useful in actually managing assets, coupled with heuristics that they have developed over the last decade"--

Title

Multi-asset investing.

International Standard Book Number

9781119241522

Asset allocation.

Investments.

Portfolio management.

BUS-- 027000

Number

Edition

Class number

Book number

Gupta, Pranay,1966-

Li, Bing,1963-

Skallsjö, Sven R.,1969-

Ohio Library and Information Network.

Date of Transaction

20160406053458.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y