The endowment model of investing return, risk, and diversification /
A cutting-edge look at the endowment model of investing. Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has dem...
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Group Author: | ; |
Published: |
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Literature type: | Electronic eBook |
Language: | English |
Series: |
Wiley finance series
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Subjects: | |
Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781118266533 |
Summary: |
A cutting-edge look at the endowment model of investing. Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has demonstrated consistent long-term performance and attracted the attention of numerous institutional and individual investors. With The Endowment Model of Investing Leibowitz, Bova, and Hammond take a closer look at the endowment model with customary research sophistication and attention to detail. Thro. |
Carrier Form: | 1 online resource (xvii, 334 p.) : ill. |
Bibliography: | Includes bibliographical references and index. |
ISBN: |
9780470481769 (cloth) 0470481765 (cloth) 9780470608425 (ebook) 0470608420 (ebook) 9781118266533 (electronic bk.) 1118266536 (electronic bk.) 9780470608449 (electronic bk.) 0470608447 (electronic bk.) 9780470608432 (electronic bk.) 0470608439 (electronic bk.) 1282548611 9781282548619 |
Index Number: | HG4521 |
CLC: | F830.59 |
Contents: | Alpha/beta building blocks of portfolio management. The modern endowment allocation model ; Structural betas and alphas -- Beta-based asset allocation. Beyond diversification : dragon risk ; Reverse asset allocation using alpha cores ; The efficient frontier with bonds as the risk-free base ; Expanding the alpha core ; Alpha-driven efficient frontiers ; The societal efficient frontier ; Equilibration ; Shortfall risks and efficient frontiers ; Convergence of risks ; Active alphas : bound, portable, and integrated ; Beta-based performance analysis ; Real return tents and equity durations -- Theoretical and empirical stress betas. Stress betas and correlation tightening ; Stress risks within asset and surplus frameworks ; Stress beta pathways ; The endowment model : theory and experience ; Diversification performance : under stress (2008) and over the long term (1993-2007) -- Asset allocation and return thresholds. Asset allocation and return thresholds in a beta world ; Key takeaways. |