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Alternative Investments : CAIA Level II.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Somerset :
Wiley,
2016.
|
| Edición: | 3rd ed. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Alternative Investments; Contents; Preface; Acknowledgments; About the Authors; PART 1 Asset Allocation and Institutional Investors; 1 Asset Allocation Processes and the Mean-Variance Model; 1.1 Importance of Asset Allocation; 1.2 The Five Steps of the Asset Allocation Process; 1.3 Asset Owners; 1.3.1 Endowments and Foundations; 1.3.2 Pension Funds; 1.3.3 Sovereign Wealth Funds; 1.3.4 Family Offices; 1.4 Objectives and Constraints; 1.5 Investment Policy Objectives; 1.5.1 Evaluating Objectives with Expected Return and Standard Deviations; 1.5.2 Evaluating Risk and Return with Utility.
- 1.5.3 Risk Aversion and the Shape of the Utility Function1.5.4 Expressing Utility Functions in Terms of Expected Return and Variance; 1.5.5 Expressing Utility Functions with Higher Moments; 1.5.6 Expressing Utility Functions with Value at Risk; 1.5.7 Using Risk Aversion to Manage a Defined Benefit Pension Fund; 1.5.8 Finding Investor Risk Aversion from the Asset Allocation Decision; 1.5.9 Managing Assets with Risk Aversion and Growing Liabilities; 1.6 Investment Policy Constraints; 1.6.1 Investment Policy Internal Constraints.
- 1.6.2 Investment Policy and the Two Major Types of External Constraints1.7 Preparing an Investment Policy Statement; 1.7.1 Seven Common Components of an Investment Policy Statement; 1.7.2 Strategic Asset Allocation: Risk and Return; 1.7.3 Developing a Strategic Asset Allocation; 1.7.4 A Tactical Asset Allocation Strategy; 1.8 Implementation; 1.8.1 Mean-Variance Optimization; 1.8.2 Mean-Variance Optimization with a Risky and Riskless Asset; 1.8.3 Mean-Variance Optimization with Growing Liabilities; 1.8.4 Mean-Variance Optimization with Multiple Risky Assets.
- 1.8.5 Hurdle Rate for Mean-Variance Optimization1.8.6 Issues in Using Optimization; 1.8.7 Optimizers as Error Maximizers; 1.8.8 Data Issues for Illiquid Assets; 1.8.9 Data Issues for Large-Scale Optimization; 1.8.10 Mean-Variance Ignores Higher Moments; 1.8.11 Other Issues in Mean-Variance Optimization; 1.9 Conclusion; Notes; References; 2 Tactical Asset Allocation, Mean-Variance Extensions, Risk Budgeting, Risk Parity, and Factor Investing; 2.1 Tactical Asset Allocation; 2.1.1 TAA and the Fundamental Law of Active Management; 2.1.2 FLOAM and the Cost of Active Management of Alternatives.
- 2.1.3 Costs of Actively Managing Portfolios with Alternatives2.1.4 Three Observations on TAA and Portfolio Reallocation Costs; 2.1.5 Keys to a Successful TAA Process; 2.2 Extensions to the Mean-Variance Approach; 2.2.1 Adjustment of the Mean-Variance Approach for Illiquidity; 2.2.2 Adjustment of the Mean-Variance Approach for Factor Exposure; 2.2.3 Adjustment of the Mean-Variance Approach for Estimation Risk; 2.3 Risk Budgeting; 2.3.1 Specifications in Risk Budgeting; 2.3.2 Implementing a Risk Budgeting Approach; 2.3.3 A Three-Asset Example of Risk Budgeting.