In Asset Allocation: From Theory to Practice and Beyond--the newly and substantially revised Second Edition of A Practitioner's Guide to Asset Allocation--accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation.

Drawing on their experience working with hundreds of the world's largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest.

The book also incorporates discussions of:

The characteristics that define an asset class, including stability, investability, and similarity
The fundamentals of asset allocation, including definitions of expected return, portfolio risk, and diversification
Advanced topics like factor investing, asymmetric diversification, fat tails, long-term investing, and enhanced scenario analysis as well as tools to address challenges such as liquidity, rebalancing, constraints, and within-horizon risk.

Perfect for client-facing practitioners as well as scholars who seek to understand practical techniques, Asset Allocation: From Theory to Practice and Beyond is a must-read resource from an author team of distinguished finance experts and a forward by Nobel prize winner Harry Markowitz.

Autorentext

WILLIAM KINLAW, CFA, is a Senior Managing Director and Global Head of State Street's academic affiliate, State Street Associates, a unique partnership that bridges the worlds of financial theory and practice.

MARK KRITZMAN, CFA, is a Founding Partner and Chief Executive Officer of Windham Capital Management, LLC and the Chairman of Windham's investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates and teaches a graduate course at the Massachusetts Institute of Technology.

DAVID TURKINGTON, CFA, is a Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates.

Klappentext
Praise for Asset Allocation

"In Asset Allocation: From Theory to Practice and Beyond, Kinlaw, Kritzman, and Turkington have taken their absolutely superb 2017 treatise on asset allocation and investment and managed to make it even better. They identify comprehensively the important and up-to-date questions surrounding asset allocation, many of which are subtle and rather technical. It is remarkable how they manage to explain and address such a wide array in plainly written language, accessible to the least-technical practitioner, while offering rigorous theoretical analysis and empirical findings to satisfy the most-demanding quant. All of this within a compact casing of 200+ pages. Like reducing transactions costs and taxes, avoiding paths of error is among the robust means for improving investment performance. I am thus delighted to see the Fallacies of Asset Allocation section expanded and enhanced. Whether novice student or seasoned professional, the reader is in for a treat: Bon Appetit!"

Robert C. Merton, School of Management Distinguished Professor of Finance, Massachusetts Institute of Technology; John and Natty McArthur University Professor Emeritus, Harvard University; recipient of the 1997 Alfred Nobel Memorial Prize in Economics Sciences

Inhalt

Foreword to the First Edition

Preface

Key Takeaways

Chapter 1: What is an asset class

Chapter 2: Fundamentals of asset allocation

Chapter 3: The importance of asset allocation

Chapter 4: Time diversification

Chapter 5: Divergence

Chapter 6: Correlation asymmetry

Chapter 7: Error maximization

Chapter 8: Factors