Multi-asset investing : a practitioner's framework / Pranay Gupta, Sven Skallsjö, Bing Li.

Format:

Book

Author/Creator:

Gupta, Pranay, 1966- author.

Skallsjö, Sven R., 1969- author.

Li, Bing, 1963- author.

Language:

English

Subjects (All):

Portfolio management.

Asset allocation.

Investments.

Physical Description:

1 online resource (341 p.)

Edition:

1st ed.

Place of Publication:

Chichester, West Sussex, United Kingdom : John Wiley & Sons Limited, 2016.

Language Note:

English

Summary:

"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"-- Provided by publisher.

Contents:

Series; Title page; Copyright; Dedication; Preface; About the Authors; Chapter 1 An Introduction to the Multi-Asset Investment Problem; 1.1 WHAT IS MULTI-ASSET INVESTING?; 1.2 THE CONVENTIONAL STRUCTURE; 1.3 TRANSITIONING FROM ACTIVE MANAGEMENT TO EXPOSURE ALLOCATION; 1.4 CREATING AN IMPROVED ALLOCATION STRUCTURE; 1.5 CONSTRUCTING A MULTI-ASSET PORTFOLIO TO MANAGE TAIL RISKS; 1.6 MULTI-ASSET INVESTING IN EMERGING MARKETS; 1.7 FROM MULTI-ASSET STRATEGIES TO MULTI-ASSET SOLUTIONS; 1.8 STRUCTURING A MULTI-ASSET BUSINESS; Chapter 2 The Traditional Allocation Structure

2.1 THE TRADITIONAL INVESTMENT PROCESS2.2 THE ASSET ALLOCATION PROCESS; 2.3 THE BELIEF IN DIVERSIFICATION; 2.4 HARNESSING EQUITY RISK PREMIUM AND THE INVESTMENT HORIZON; 2.5 ASSET CLASSES AS MUTUALLY EXCLUSIVE SILOS; 2.6 ORGANIZATION STRUCTURE AND RESOURCE ALLOCATION; 2.7 IMPLICATIONS FOR SKILL REQUIRED IN ASSET ALLOCATION; 2.8 REQUIREMENTS FOR A REVISED ALLOCATION SOLUTION; 2.9 PARALLEL DEBATES CREATED IN THE SEARCH FOR A REVISED ALLOCATION SOLUTION; Chapter 3 Transitioning from Active Management to Exposure Allocation; 3.1 A HISTORIC RATIONALIZATION OF ALPHA AND BETA

3.2 PROGRESSION OF ACTIVE MANAGEMENT3.3 GENERALIZING THE BETA CONCEPT; 3.4 THE DEMISE OF ASSET CLASS DEMARCATED ALLOCATION; 3.5 IMPLICATIONS FOR THE ACTIVE INVESTMENT PROCESS; 3.6 INVESTMENT STRATEGY CATEGORIZATION; 3.7 POSITIONING OF ALTERNATIVE INVESTMENTS; 3.8 OBSOLESCENCE OF PORTABLE ALPHA; 3.9 POSITIONING OF FUNDAMENTAL INDEXATION AND SMART BETA; 3.10 RISK IN AN EXPOSURE-BASED FRAMEWORK; 3.11 HORIZON-BASED ORGANIZATIONAL DEMARCATION; 3.12 TRANSITION FROM AN ASSET-BASED TO AN EXPOSURE-BASED ORGANIZATION; 3.13 CONCLUSION

Chapter 4 Redefining Risk Premium for Multi-Asset Allocation Decisions4.1 INCUMBENT RISK AND RISK PREMIUM FRAMEWORKS; 4.2 FRAMEWORK FOR THE CONCURRENT PRESENCE OF ALL ASSET CLASSES; 4.3 INCORPORATING INTRA-HORIZON RISK; 4.4 RISK AND RETURN PREMIUM FOR ALLOCATION SILOS; 4.5 ASSET CLASS PREMIUMS - COMPARISON OF TRADITIONAL AND PROPOSED METHODS; 4.6 ASSET CLASS PREMIUMS - IMPACT OF DIFFERENT INVESTMENT HORIZONS; 4.7 ASSET CLASS RISK - COMPARISON OF TRADITIONAL AND PROPOSED METHODS; 4.8 ASSET CLASS RISK - IMPACT OF DIFFERENT INVESTMENT HORIZONS; 4.9 SOVEREIGN RISK AND RISK PREMIUM

4.10 APPLICATION TO VARIOUS MULTI-ASSET INVESTMENT PROBLEM SCENARIOS4.11 CONCLUSION; Chapter 5 A Multi-Strategy Allocation Structure; 5.1 CATEGORIES OF ALLOCATION APPROACHES; 5.2 A MULTI-STRATEGY FRAMEWORK FOR THE ALLOCATION PROBLEM; 5.3 THE BENEFITS OF STRATEGY DIVERSIFICATION; 5.4 INDIVIDUAL ALLOCATION METHODOLOGY REQUIREMENTS; 5.5 EXAMPLE OF A MULTI-STRATEGY ALLOCATION APPROACH; 5.6 CONCLUSION; Chapter 6 A Fundamental Exposure Allocation Approach - Business Cycles; 6.1 THE PASSIVE ECONOMIC MODEL; 6.2 AN ACTIVE ECONOMIC APPROACH; 6.3 A FIVE CYCLE ASSET ALLOCATION APPROACH

6.4 CYCLE LIMITING RISK PARAMETERS

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781119241591

1119241596

9781119241577

111924157X

OCLC:

945198249