The new science of asset allocation: risk management in a multi-asset world

The only free lunch available to virtually all investors is asset allocation investing in two assets of equal expected return and equal volatility but lessthan perfect correlation as it results in a higher return than either of the individual assets. Yet in 2008, traditional asset allocation models failed. Schneewies, Crowder, and Kazemi explain why by first debunking the myths that plague the field from relying on historical index data and accounting based numbers instead of market-based numbers to limiting the number of asset classes and omitting new trading products such as ETFs. The authors then examine how thepractice of asset allocation failed in recent years with analysis of diversification models that didnt diversify, a lack of focus on goals and objectives, and the fundamental problems with risk measurement tools. They then propose new allocation models that employ liquidity, transparency, and real risk controls. The great manager problem is examined with solutions on how to capture manager alpha while limiting downside risk. Finally a complete case study is presented that allocates for beta and alpha.Thomas Schneeweis, Ph.D. (Amherst, MA) has over 30 years experience in investment management, and has published over 100 articles, helped created Alternative Investment Analytics (a commodity investment firm that created the Bache Commodity Index) and White Bear Partners hedge fund. He was also associated withthe creation and development of the Zurich and Dow Jones Investible hedge fund indices and the LMEX index. Schneeweis is currently the Michael and Cheryl Phillip Professor of Finance at the University of Massachusetts, and is the founding director of the Center for International Securities and Derivatives Markets. He is the founding editor of the Journal of Alternative Investments (published by II Journals) and co-founder of the Chartered Alternative Investment Analyst Association (CAIA). Schneeweis received his Ph.D. from the University of Iowa. He presents at major conferences globally, is quoted in the financial press, and speaks on financial news programs. Gary Crowder, JD is a noted expert in the development and creation of multi-asset portfolio products, and speaks frequently at hedge fund and alternative asset conferences globally. Previously, he was CEO of Credit Agricole Structured Asset Management Americas LLC, and its subsidiaries Credit Agricole Structured Asset Management Advisers LLC and Lyra Capital LLC. He created one of the first hedge fund platforms which form the basis for many structured products based on managed account hedge fundinvestments and served in managing director positions at Zurich Capital Markets, Inc., Tiger Management LLC, and Morgan Stanley Asset Management. He began his career at Sidley Austin Brown & Wood LLP. Mr. Crowder holds a J.D. from Northwestern University School of Law. Hossein Kazemi Ph.D., CFA (Amherst, MA) is regarded as a leader in the area of asset allocation, and has published over20 academic articles in the area of asset pricing and asset allocation, and helped create Alternative Investment Analytics and White Bear Partners. He is professor of finance at the University of Massachusetts and is the Associate Director of the Center for International Securities and Derivatives Markets, andis a director of Research and Curriculum at the Chartered Alternative Investment Association (CAIA). He received his Ph.D. from the University of Michigan.

• ISBN: 978-0-470-53740-4
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 294
• Fecha Publicación: 17/03/2010
• Nº Volúmenes: 1
• Idioma: Inglés