Active Asset Allocation: State-of-the-Art Portfolios Policies, Strategies and Tactics, Revised Edition / Edition 1

Active Asset Allocation: State-of-the-Art Portfolios Policies, Strategies and Tactics, Revised Edition / Edition 1

by Robert D. Arnott, Frank J. Fabozzi
     
 

No issue is more critical to institutional investors than asset allocation. In today's volatile and increasingly global financial markets, asset mix and portfolio allocation are ever more important. However, the term "asset allocation" means different things to different people in different contexts. Whether policy asset allocation, tactical asset allocation or… See more details below

Overview

No issue is more critical to institutional investors than asset allocation. In today's volatile and increasingly global financial markets, asset mix and portfolio allocation are ever more important. However, the term "asset allocation" means different things to different people in different contexts. Whether policy asset allocation, tactical asset allocation or dynamic strategies for asset allocation, the policies and tactics are designed to reshape the return distribution. Because there are a number of decisions to make and issues to evaluate when reviewing asset allocation, this authoritative text assembles some of the best thinking in the investment world today on the subject of asset allocation. In Active Asset Allocation, pension sponsors, endowment and foundation managers and portfolio managers will find answers to many of the perplexing problems of assessing and managing the asset mix. Editors Robert D. Arnott and Frank J. Fabozzi, joined by a host of eminent practitioners and theoreticians, focus on the many dimensions of the asset allocation decision, tactical asset allocation and the risks associated with active asset allocation. Completely revised to reflect the latest thinking, Active Asset Allocation updates the ground-breaking material that made the first edition a critically acclaimed best-seller. Some of these current thoughts on asset allocation are communicated through a comprehensive series of chapters, including "Managing the Asset Mix"; "Asset Performance and Surplus Control"; "Risk-Adjusted Surplus;" "Tax Consequences of Trading"; "A Disciplined Approach to Global Asset Allocation"; "Does Tactical Asset Allocation Work?" and "At Last, a Rational Case for Long-Horizon Risk Tolerance and for Asset Allocation Timing?"

Read More

Product Details

ISBN-13:
9781557382375
Publisher:
McGraw-Hill Companies, The
Publication date:
02/01/1992
Series:
Institutional Investor Publications
Edition description:
REVISED
Pages:
425
Product dimensions:
6.37(w) x 9.33(h) x 1.14(d)

Related Subjects

Table of Contents

Contributors
Sect. 1The Many Dimensions of the Asset Allocation Decision
1The Many Dimensions of the Asset Allocation Decision3
2Overview of the Total Asset Allocation Problem9
3The Role of the Liabilities: Defining and Managing Pension Fund Risk19
4Managing the Asset Mix43
5Risk and Return: Implications for the Asset Mix73
6Integrating Business Planning with Pension Fund Planning87
7Policy Asset Mix, Tactical Asset Allocation and Portfolio Insurance115
8Asset Allocation Optimization Models135
9Asset Performance and Surplus Control--A Dual Shortfall Approach169
10Risk-Adjusted Surplus: A New Measure of Pension Fund Risk201
11Tax Consequences of Trading217
Sect. 2Tactical Asset Allocation--Theory and Practice
12Tactical Asset Allocation: A Review of Current Techniques233
13Asset Allocation--Reward and Diversification289
14Asset Allocation Using Futures Markets303
15A Disciplined Approach to Global Asset Allocation327
16International Asset and Currency Allocation355
Sect. 3Active Asset Allocation--What Are the Risks? Should It Work?
17Asset Allocation Could Be Dangerous to Your Health: Pitfalls in Across-Time Diversification381
18Does Tactical Asset Allocation Work?393
19At Last, A Rational Case for Long-Horizon Risk Tolerance and for Asset allocation Timing?411
Index417

Read More

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >