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The endowment model of investing : return, risk, and diversification /
A cutting-edge look at the endowment model of investing. Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has dem...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
John Wiley & Sons,
Ã2010.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Alpha/beta building blocks of portfolio management. The modern endowment allocation model ; Structural betas and alphas
- Beta-based asset allocation. Beyond diversification : dragon risk ; Reverse asset allocation using alpha cores ; The efficient frontier with bonds as the risk-free base ; Expanding the alpha core ; Alpha-driven efficient frontiers ; The societal efficient frontier ; Equilibration ; Shortfall risks and efficient frontiers ; Convergence of risks ; Active alphas : bound, portable, and integrated ; Beta-based performance analysis ; Real return tents and equity durations
- Theoretical and empirical stress betas. Stress betas and correlation tightening ; Stress risks within asset and surplus frameworks ; Stress beta pathways ; The endowment model : theory and experience ; Diversification performance : under stress (2008) and over the long term (1993-2007)
- Asset allocation and return thresholds. Asset allocation and return thresholds in a beta world ; Key takeaways.