By Andrew Ang
In Asset administration: a scientific method of issue Investing, Professor Andrew Ang provides a complete, new method of the age-old challenge of the place to place your cash. Years of expertise as a finance professor and a expert have led him to work out that what issues will not be asset category labels, yet as an alternative the bundles of overlapping dangers they symbolize. issue dangers needs to be the point of interest of our consciousness if we're to climate marketplace turmoil and obtain the rewards that include doing so.
Clearly written but filled with the newest examine and knowledge, Asset Management is integral studying for trustees, specialist cash managers, clever inner most traders, and enterprise scholars who are looking to comprehend the economics at the back of issue possibility charges, to reap them successfully of their portfolios, and to embark looking for real alpha.
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Extra resources for Asset Management: A Systematic Approach to Factor Investing
Under CRRA utility, risk aversion is the same for all levels of wealth—so the advantage for this utility function is also an inherent disadvantage, because investors are generally more risk averse over losses than over gains (see section 4).
49 Intergenerational accounting was introduced by Auerbach, Gokhale, and Kotlikoﬀ (1991) and uses the concept of successive overlapping generations, with each generation following a life-cycle model (see chapter 5). Paul Samuelson (1958) and Peter Diamond (1965) developed overlapping generations models, which can be used to measure generational inequity. 50 As reported in “Falling Short,” Economist, April 9, 2011. , and J. W. Peters, “For GM Retirees, A Growing Sense of Unease,” New York Times, June 30, 2005.
60 Numbers from Goetzmann and Oster (2012, Figures 2 and 3). See also Lerner, Schoar, and Wong (2008). 61 Princeton followed close behind, and then Harvard joined the party. In the 1990s, Yale again led the way by investing in hedge funds. Yale held no hedge funds in 1990, and by the end of the decade held over 20% of its portfolio in these marketable alternatives. Princeton followed suit, moving into hedge funds in 1995. Harvard again was the last of the three to move, doing so in 1998. 5 graphs the allocation to alternative assets by endowments according to NACUBO from 2002 to 2012.
Asset Management: A Systematic Approach to Factor Investing by Andrew Ang