Asset Allocation: From Theory to Practice and Beyond
An award-winning team of pioneers in the field deliver an innovative toolkit that will empower you to tackle the most crucial decision in modern investing. Drawing on their experience working with sophisticated asset allocators, they offer a fresh perspective on the field's 70-year theoretical lineage, dispel persistent and dangerous fallacies, and propose solutions to some of the subject's most vexing challenges.
Asset Allocation: From Theory to Practice and Beyond is an indispensable resource loaded with practical solutions to everyday portfolio management challenges. It's an authoritative, insightful, and accessible resource, perfect for practitioners who recognize that theoretical models — however elegant — must bend to real-world complexities.
If you need answers in a hurry, you'll find a "Key Takeaways" section with digestible bullet points that summarize each chapter's core conclusions. The rest of the book is organized into four major sections. Section I covers the fundamentals of asset allocation. Section II presents certain pervasive fallacies of asset allocation, which the authors attempt to dispel either by logic or with evidence. Section III describes a wide range of innovations that address key challenges to asset allocation. And section IV provides supplementary material, including an expanded chapter on relevant statistical and theoretical concepts as well as a comprehensive glossary of terms.
Complete with intuitive examples and helpful analogies, the 25 chapters contained in this book are packed with essential insights for effective asset allocation.
CONTENTS
i. Forward to the First Edition (by Harry Markowitz)
ii. Preface
iii. Key Takeaways
1. What Is an Asset Class?
2. Fundamentals of Asset Allocation
3. The Importance of Asset Allocation
4. Time Diversification
5. Divergence
6. Correlation Asymmetry
7. Error Maximization
8. Factors
9. 1/N
10. Policy Portfolios
11. The Private Equity Leverage Myth
12. Necessary Conditions for Mean-Variance Analysis
13. Forecasting
14. The Stock-Bond Correlation
15. Constraints
16. Asset Allocation Versus Factor Investing
17. Illiquidity
18. Currency Risk
19. Estimation Error
20. Leverage Versus Concentration
21. Rebalancing
22. Regime Shifts
23. Scenario Analysis
24. Stress Testing
25. Statistical and Theoretical Concepts
iv. Glossary of Terms
v. Index