LEADER 05517nam 22006733u 450 001 9910208825603321 005 20231025183633.0 010 $a0-470-60842-0 010 $a1-282-54861-1 010 $a9786612548611 010 $a1-118-26653-6 010 $a0-470-60844-7 035 $a(CKB)3710000000495765 035 $a(EBL)4027749 035 $a(MiAaPQ)EBC495956 035 $a(MiAaPQ)EBC4027749 035 $a(Au-PeEL)EBL4027749 035 $a(CaPaEBR)ebr11105168 035 $a(OCoLC)927497547 035 $a(NjHacI)993710000000495765 035 $a(BIP)027388440 035 $a(EXLCZ)993710000000495765 100 $a20151102d2010|||| u|| | 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 14$aThe Endowment Model of Investing$b[electronic resource] $eReturn, Risk, and Diversification 205 $aFirst edition. 210 1$aSomerset :$cWiley,$d2010. 210 4$dİ2010 215 $a1 online resource (329 pages) 225 1 $aWiley Finance ;$vv.534. 300 $aDescription based upon print version of record. 311 $a0-470-48176-5 320 $aIncludes bibliographical references and index. 327 $aEFFICIENT FRONTIER ANALYSIS -- THE ALPHA EFFECT -- APPENDIX -- CHAPTER 6 - Expanding the Alpha Core -- INHERENT CONSTRAINTS ON ALTERNATIVE ASSETS -- BUILDING AN ALPHA CORE -- MAXIMUM-RETURN ALPHA CORES -- THE FLOWER DIAGRAM -- EXPANDING THE ALPHA CORE -- MOVING BEYOND BETA DOMINATION -- DUAL ACTIVE-ALLOCATION ALPHAS -- CONCLUSION -- CHAPTER 7 - Alpha-Driven Efficient Frontiers -- THE EFFICIENT FRONTIER IN ALPHA SPACE -- INCREASING THE ALPHA CORE PERCENTAGE -- CONCLUSION -- CHAPTER 8 - The Societal Efficient Frontier -- STANDARD EFFICIENT FRONTIERS -- THE SWING ASSET FRONTIER -- THE CONCEPT OF A SOCIETAL FRONTIER -- TOTAL BETAS AND THE DIVERSIFICATION PARADOX -- DRAGON RISK CONSTRAINTS AND CLIMBING THE ALPHA WALL -- A SOCIETAL FRONTIER OF QUANTUM RISK STATES -- ACTIVE ALPHAS AND OTHER RISK-AND-RETURN TRADEOFFS -- SOCIETAL GAPS AND OPPORTUNITIES -- REFERENCES -- CHAPTER 9 - Equilibration -- BETA DOMINATION AND CONSTRAINED ALTERNATIVES -- ALPHA DECAY UNDER BETA DOMINATION -- REALIZED RETURNS VERSUS GOING-FORWARD ALPHAS -- SHARPE RATIO DECAY -- SEQUENTIAL ALPHA EROSION -- EQUILIBRATION ACROSS THE SOCIETAL FRONTIER -- REFERENCES -- CHAPTER 10 - Shortfall Risks and Efficient Frontiers -- IMPORTANCE OF SHORTFALL RISK IN PORTFOLIOS -- EFFICIENT FRONTIERS USING FIXED ALPHA CORES -- SHORTFALL PROBABILITIES -- SHORTFALL REGIONS IN A RISK-AND-RETURN SPACE -- SHORTFALLS RELATIVE TO THE RISK-FREE BASELINE -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- MULTIPLE HORIZON COMPARISONS -- APPENDIX -- REFERENCES -- CHAPTER 11 - Convergence of Risks -- END-OF-PERIOD SHORTFALL PROBABILITIES -- WITHIN-PERIOD STOP-LOSS PROBABILITIES -- HIGH WATERMARK SHORTFALLS -- CHANGING THE THRESHOLDS AND HORIZONS -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- ACCEPTABLE RISK-AND-RETURN REGIONS -- CONCLUSION -- REFERENCES. 327 $aSTRESS BETAS AT THE ASSET LEVEL -- SHORT TERM VULNERABILITY OF DIVERSIFIED PORTFOLIOS -- BETA PATHWAYS FOR INDIVIDUAL ASSET CLASSES -- APPENDIX -- CHAPTER 18 - The Endowment Model: Theory and Experience -- THEORETICAL BETA-BASED RISKS -- HISTORICAL RISK CHARACTERISTICS -- ALPHA AND BETA RETURNS -- CONCLUSION -- CHAPTER 19 - Diversification Performance: Under Stress (2008) and over the Long ... -- A SEMI-DIVERSIFIED PORTFOLIO -- VOLATILITIES AND VOLATILITY RATIOS -- INDIVIDUAL AND PORTFOLIO CORRELATIONS WITH U.S. EQUITY -- HISTORICAL BETAS -- BETA-BASED AND ALPHA RETURNS -- STRESS BETA THEORY -- 2008 RESULTS AND STRESS BETAS -- CONCLUSION -- PART Four - Asset Allocation and Return Thresholds -- CHAPTER 20 - Asset Allocation and Return Thresholds in a Beta World -- PERCENTILES IN RETURN AND BETA SPACE -- THE PERCENTILE FAN -- MINIMUM AND MAXIMUM BETAS FOR RETURN TARGETS -- THE CHARACTERISTIC PROBABILITY OF EXCEEDING THE RISK-FREE RATE -- MULTIYEAR HORIZONS -- BETA REGIMES -- SHORTFALL LINES -- ALPHA CORES AND STRESS BETAS -- CONCLUSION -- APPENDIX -- REFERENCES -- CHAPTER 21 - Key Takeaways -- About the Authors -- Index. 330 $aA cutting-edge look at the endowment model of investing. Many larger endowments and foundations have adopted a broadly diversified asset allocation strategy with only a small amount of traditional U.S. equities and bonds. This technique, known as the "endowment model of investing," has demonstrated consistent long-term performance and attracted the attention of numerous institutional and individual investors. With The Endowment Model of Investing Leibowitz, Bova, and Hammond take a closer look at the endowment model with customary research sophistication and attention to detail. Thro. 410 0$aWiley Finance 606 $aInstitutional investments 606 $aPortfolio management 610 $aPortfolio Management 610 $aInvestments 610 $aBusiness & Economics 615 0$aInstitutional investments. 615 0$aPortfolio management. 676 $a332.67253 700 $aLeibowitz$b Martin L.$f1936-$0300151 701 $aBova$b Anthony$f1978-$01340571 701 $aHammond$b P. Brett$0861330 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910208825603321 996 $aThe Endowment Model of Investing$93573191 997 $aUNINA