A Practitioner′s Guide to Asset Allocation Wiley Finance Series

The authors′ goal in writing this book is twofold: to describe several important innovations that address key challenges to asset allocation and to dispel certain fallacies about asset allocation. Section I covers the fundamentals of asset allocation, section II presents certain fallacies about asset allocation which the authors attempt to dispel either by logic or with evidence, section III discusses recent innovations, and section IV provides supplementary material.

Foreword by Harry Markowitz

Preface

Section I: Basics of Asset Allocation

Chapter 1: What is an Asset Class?

Chapter 2: Fundamentals of Asset Allocation

Section II: Fallacies of Asset Allocation

Chapter 3: The Importance of Asset Allocation

Chapter 4: Time Diversification

Chapter 5: Error Maximization

Chapter 6: Factors

Chapter 7: 1/N

Section III: Challenges to Asset Allocation

Chapter 8: Necessary Conditions for Mean–Variance Analysis

Chapter 9: Constraints

Chapter 10: Currency Risk

Chapter 11: Illiquidity

Chapter 12: Risk in the Real World

Chapter 13: Estimation Error

Chapter 14: Leverage versus Concentration

Chapter 15: Rebalancing

Chapter 16: Regime Shifts

Section IV: Addendum

Chapter 17: Key Takeaways

Chapter 18: Statistical and Theoretical Concepts

Chapter 19: Glossary of Terms

Index

William Kinlaw, CFA, is a Senior Managing Di??rector 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 P. 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.