In 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 hundreds of the world’s largest and most 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.
You’ll learn how to improve subjective, finger-in-the-wind scenario analysis with a scientific approach that is rigorous yet intuitive. You’ll discover how to translate liquidity risk into units of portfolio return and risk so that you can make informed decisions rather than resorting to arbitrary rules of thumb. You’ll also find out how to integrate factor-based investing with traditional asset allocation in an efficient and transparent way.
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. If you want to dig deeper, you’ll find a comprehensive glossary as well as a concise review of the theoretical and statistical concepts that underpin modern investment management, complete with formulas and references for further reading.
Complete with intuitive examples and helpful analogies, other chapters cover topics as varied as the divergence of long- and short-term risk, asymmetric diversification, dynamic asset allocation, regime shifts, currency hedging, next-generation forecasting techniques, stress testing, leverage, portfolio rebalancing, the stock-bond correlation, and many more.
Perfect for practitioners who recognize that theoretical models―however elegant―must bend to real-world complexities, 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 from a team of distinguished finance experts and includes a foreword by Nobel Prize winner Harry Markowitz.
From the Back Cover
Praise for Asset Allocation
“In
Asset Allocation: From Theory to Practice and Beyond, Kinlaw, Kritzman, and Turkington have taken their absolutely superb 2017 treatise on asset allocation and investment and managed to make it even better. They identify comprehensively the important and up-to-date questions surrounding asset allocation, many of which are subtle and rather technical. It is remarkable how they manage to explain and address such a wide array in plainly written language, accessible to the least-technical practitioner, while offering rigorous theoretical analysis and empirical findings to satisfy the most-demanding quant. All of this within a compact casing of 200+ pages. Like reducing transactions costs and taxes, avoiding paths of error is among the robust means for improving investment performance. I am thus delighted to see the Fallacies of Asset Allocation section expanded and enhanced. Whether novice student or seasoned professional, the reader is in for a treat: Bon Appetit!“
―Robert C. Merton, School of Management Distinguished Professor of Finance, Massachusetts Institute of Technology; John and Natty McArthur University Professor Emeritus, Harvard University; recipient of the 1997 Alfred Nobel Memorial Prize in Economics Sciences
About the Author
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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