عنوان

Multi-asset investing :

111924157X

1119241618

9781119241577

9781119241614

1119241529

9781119241522

dltt

Multi-asset investing :

[Book]

a practitioner's framework /

Pranay Gupta, Sven R. Skallsjo, Bing Li

1 online resource

Includes bibliographical references and index

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.

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

"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"--

Multi-asset investing.

9781119241522

Asset allocation.

Investments.

Portfolio management.

BUS-- 027000

Gupta, Pranay,1966-

Li, Bing,1963-

Skallsjö, Sven R.,1969-

Ohio Library and Information Network.

20160406053458.0

pn

[Book]

Y