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

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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?"
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Product Details

  • ISBN-13: 9781557382375
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 2/1/1992
  • Series: Institutional Investor Publications
  • Edition description: REVISED
  • Edition number: 1
  • Pages: 425
  • Product dimensions: 6.37 (w) x 9.33 (h) x 1.14 (d)

Table of Contents

Contributors
Sect. 1 The Many Dimensions of the Asset Allocation Decision
1 The Many Dimensions of the Asset Allocation Decision 3
2 Overview of the Total Asset Allocation Problem 9
3 The Role of the Liabilities: Defining and Managing Pension Fund Risk 19
4 Managing the Asset Mix 43
5 Risk and Return: Implications for the Asset Mix 73
6 Integrating Business Planning with Pension Fund Planning 87
7 Policy Asset Mix, Tactical Asset Allocation and Portfolio Insurance 115
8 Asset Allocation Optimization Models 135
9 Asset Performance and Surplus Control--A Dual Shortfall Approach 169
10 Risk-Adjusted Surplus: A New Measure of Pension Fund Risk 201
11 Tax Consequences of Trading 217
Sect. 2 Tactical Asset Allocation--Theory and Practice
12 Tactical Asset Allocation: A Review of Current Techniques 233
13 Asset Allocation--Reward and Diversification 289
14 Asset Allocation Using Futures Markets 303
15 A Disciplined Approach to Global Asset Allocation 327
16 International Asset and Currency Allocation 355
Sect. 3 Active Asset Allocation--What Are the Risks? Should It Work?
17 Asset Allocation Could Be Dangerous to Your Health: Pitfalls in Across-Time Diversification 381
18 Does Tactical Asset Allocation Work? 393
19 At Last, A Rational Case for Long-Horizon Risk Tolerance and for Asset allocation Timing? 411
Index 417
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