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The new science of asset allocation : risk management in a multi-asset world / Thomas Schneeweis, Garry B. Crowder, Hossein Kazemi

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Wiley finance | Wiley Finance Ser ; v.551Publisher: Hoboken, N.J : John Wiley, c2010Copyright date: ©2010Edition: Online-AusgDescription: Online-Ressource (1 online resource (xviii, 294 p.)) : illISBN:
  • 9781282550209
  • 1282550209
  • 9780470608395
Subject(s): Additional physical formats: 047053740X | 9780470537404 | 1282547526 | Erscheint auch als: The new science of asset allocation. Druck-Ausgabe Hoboken, N.J. : Wiley, 2010. XVIII, 284 S.DDC classification:
  • 332.6
RVK: RVK: QK 810LOC classification:
  • HG4529.5
Online resources: Summary: A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes. Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk A complete case study is presented that allocates for beta and alpha Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.Summary: The New Science of Asset Allocation: Risk Management in a Multi-Asset World -- Contents -- Preface -- Acknowledgments -- Chapter 1: A Brief History of Asset Allocation -- IN THE BEGINNING -- A REVIEW OF THE CAPITAL ASSET PRICING MODEL -- ASSET PRICING IN CASH AND DERIVATIVE MARKETS -- MODELS OF RETURN AND RISK POST-1980 -- ASSET ALLOCATION IN THE MODERN WORLD -- PRODUCT DEVELOPMENT: YESTERDAY, TODAY, AND TOMORROW -- Chapter 2: Measuring Risk -- WHAT IS RISK? -- TRADITIONAL APPROACHES TO RISK MEASUREMENT -- CLASSIC SHARPE RATIO -- OTHER MEASURES OF RISK ASSESSMENT -- PORTFOLIO RISK MEASURES -- OTHER MEASURES OF PORTFOLIO RISK MEASUREMENT -- VALUE AT RISK -- Chapter 3: Alpha and Beta, and the Search for a True Measure of Manager Value -- WHAT IS ALPHA? -- ISSUES IN ALPHA AND BETA DETERMINATION -- PROBLEMS IN ALPHA AND BETA DETERMINATION -- MULTI-FACTOR RETURN ESTIMATION: AN EXAMPLE -- TRACKING ALTERNATIVES IN ALPHA DETERMINATION -- Chapter 4: Asset Classes: What They Are and Where to Put Them -- OVERVIEW AND LIMITATIONS OF THE EXISTING ASSET ALLOCATION PROCESS -- ASSET ALLOCATION IN TRADITIONAL AND ALTERNATIVE INVESTMENTS: A ROAD MAP -- HISTORICAL RETURN AND RISK ATTRIBUTES AND STRATEGY ALLOCATION -- TRADITIONAL STOCK/BOND ALLOCATION VERSUS MULTI-ASSET ALLOCATION -- RISK AND RETURN COMPARISONS UNDER DIFFERING HISTORICAL TIME PERIODS -- EXTREME MARKET SENSITIVITY -- MARKET SEGMENT OR MARKET SENSITIVITY: DOES IT MATTER? -- HOW NEW IS NEW? -- Chapter 5: Strategic, Tactical, and Dynamic Asset Allocation -- ASSET ALLOCATION OPTIMIZATION MODELS -- STRATEGIC ASSET ALLOCATION -- TACTICAL ASSET ALLOCATION -- DYNAMIC ASSET ALLOCATION -- Chapter 6: Core and Satellite Investment: Market/Manager Based Alternatives -- DETERMINING THE APPROPRIATE BENCHMARKS AND GROUPINGS -- SAMPLE ALLOCATIONS -- CORE ALLOCATION -- SATELLITE INVESTMENT.PPN: PPN: 80884833XPackage identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
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