A Practitioner's Guide to Asset Allocation: From Theory to Practice and Beyond

  • 5h 56m
  • David Turkington, Mark P. Kritzman, William Kinlaw
  • John Wiley & Sons (US)
  • 2021

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.

In this Book

  • What is an Asset Class?
  • Fundamentals of Asset Allocation
  • The Importance of Asset Allocation
  • Time Diversification
  • Divergence
  • Correlation Asymmetry
  • Error Maximization
  • Factors
  • 1/N
  • Policy Portfolios
  • The Private Equity Leverage Myth
  • Necessary Conditions for Mean-Variance Analysis
  • Forecasting
  • The Stock–Bond Correlation
  • Constraints
  • Asset Allocation Versus Factor Investing
  • Illiquidity
  • Currency Risk
  • Estimation Error
  • Leverage Versus Concentration
  • Rebalancing
  • Regime Shifts
  • Scenario Analysis
  • Stress Testing
  • Statistical and Theoretical Concepts