How to Incorporate Hedge Funds and Active Portfolio Management into an Asset Allocation Framework

Autor:	Brett H. Wander, Dennis M. Bein
Rok vydání:	2002
Předmět:	Finance Actuarial science Application portfolio management business.industry Asset allocation Black–Litterman model Replicating portfolio Active management General Earth and Planetary Sciences Portfolio Capital asset pricing model Business Basis risk General Environmental Science
Zdroj:	The Journal of Wealth Management. 5:14-19
ISSN:	2374-1368 1534-7524
Popis:	The authors start with the observation that traditional asset allocation processes fail to integrate the two important sources of portfolio risk: systematic and active. They introduce a new approach that integrates these two risks, which offers two potentially important benefits. First, a risk allocation framework allows investors to explicitly integrate active management decisions into the overall allocation process. This leads to greater portfolio flexibility, a more accurate assessment of portfolio alternatives, and consequently improved risk/return trade-offs. Second, a risk allocation framework allows investors to more accurately assess the risks associated with individual hedge funds. This allows investors to more effectively incorporate hedge fund strategies into the overall portfolio structure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a14eec949b0eeb98abeec968b9a6356b https://doi.org/10.3905/jwm.2002.320450 Zobrazit plný text záznamu