Asset Allocation: From Theory to Practice and Beyond

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William Kinlaw (State Street Associates) Mark P. Kritzman (Windham Capital Management, LLC)

Asset Allocation

From Theory to Practice and Beyond

William Kinlaw (State Street Associates), Mark P. Kritzman (Windham Capital Management, LLC), David Turkington (State Street Associates) , Harry M. Markowitz (University of New York)

$65.95

Hardback

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John Wiley & Sons Inc
12 July 2021

Investment & securities

Discover a masterful exploration of the fallacies and challenges of asset allocation

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.

By: William Kinlaw (State Street Associates), Mark P. Kritzman (Windham Capital Management, LLC), David Turkington (State Street Associates)
Foreword by: Harry M. Markowitz (University of New York)
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Edition: 2nd Edition
Dimensions: Height: 231mm, Width: 158mm, Spine: 23mm
Weight: 703g
ISBN: 9781119817710
ISBN 10: 1119817714
Pages: 368
Publication Date: 12 July 2021
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

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 Chapter 9: 1/N Chapter 10: Policy portfolios Chapter 11: The private equity leverage myth Chapter 12: Necessary conditions for mean-variance analysis Chapter 13: Forecasting Chapter 14: The stock-bond correlation Chapter 15: Constraints Chapter 16: Asset allocation versus factor investing Chapter 17: Illiquidity Chapter 18: Currency risk Chapter 19: Estimation error Chapter 20: Leverage versus concentration Chapter 21: Rebalancing Chapter 22: Regime shifts Chapter 23: Scenario analysis Chapter 24: Stress testing Chapter 25: Statistical and theoretical concepts Glossary Index

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.

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Asset Allocation

From Theory to Practice and Beyond

William Kinlaw (State Street Associates), Mark P. Kritzman (Windham Capital Management, LLC), David Turkington (State Street Associates) , Harry M. Markowitz (University of New York)

$65.95

Hardback

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