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The Endowment Model of Investing [[electronic resource] ] : Return, Risk, and Diversification
| The Endowment Model of Investing [[electronic resource] ] : Return, Risk, and Diversification |
| Autore | Leibowitz Martin L. <1936-> |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Somerset : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (329 pages) |
| Disciplina | 332.67253 |
| Altri autori (Persone) |
BovaAnthony <1978->
HammondP. Brett |
| Collana | Wiley Finance |
| Soggetto topico |
Institutional investments
Portfolio management |
| Soggetto non controllato |
Portfolio Management
Investments Business & Economics |
| ISBN |
0-470-60842-0
1-282-54861-1 9786612548611 1-118-26653-6 0-470-60844-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
EFFICIENT 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.
STRESS 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. |
| Record Nr. | UNINA-9910208825603321 |
Leibowitz Martin L. <1936->
|
||
| Somerset : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Endowment Model of Investing : Return, Risk, and Diversification
| The Endowment Model of Investing : Return, Risk, and Diversification |
| Autore | Leibowitz Martin L. <1936-> |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Somerset : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (329 pages) |
| Disciplina | 332.67253 |
| Altri autori (Persone) |
BovaAnthony <1978->
HammondP. Brett |
| Collana | Wiley Finance |
| Soggetto topico |
Institutional investments
Portfolio management |
| ISBN |
9786612548611
9780470608425 0470608420 9781282548619 1282548611 9781118266533 1118266536 9780470608449 0470608447 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
EFFICIENT 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.
STRESS 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. |
| Record Nr. | UNINA-9910808184903321 |
|
Leibowitz Martin L. <1936->
|
||
| Somerset : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modern portfolio management [[electronic resource] ] : active long short 130/30 equity strategies / / Martin L. Leibowitz, Simon Emrich, Anthony Bova
| Modern portfolio management [[electronic resource] ] : active long short 130/30 equity strategies / / Martin L. Leibowitz, Simon Emrich, Anthony Bova |
| Autore | Leibowitz Martin L. <1936-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
BovaAnthony <1978->
EmrichSimon <1971-> |
| Collana | [Wiley finance] |
| Soggetto topico |
Portfolio management
Asset allocation Investment analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-68805-7
9786612688058 1-118-26718-4 0-470-43035-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Modern Portfolio Management: Active, Long/Short, 130/30, Equity, Strategies; Contents; Foreword: The High and Low of 130/30 Investing; Structure of the Book; Acknowledgments; Introduction: Evolution of the Active Extension Concept; Part I: Active 130/30 Extensions and Diversified Asset Allocations; Part II: The Role of Quantitative Strategies in Active 130/30 Extensions; Part III: Special Topics Relating to Active 130/30 Extensions; Part IV: Key Journal Articles; About the Authors; Index |
| Record Nr. | UNINA-9910145252703321 |
|
Leibowitz Martin L. <1936->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modern portfolio management [[electronic resource] ] : active long short 130/30 equity strategies / / Martin L. Leibowitz, Simon Emrich, Anthony Bova
| Modern portfolio management [[electronic resource] ] : active long short 130/30 equity strategies / / Martin L. Leibowitz, Simon Emrich, Anthony Bova |
| Autore | Leibowitz Martin L. <1936-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
BovaAnthony <1978->
EmrichSimon <1971-> |
| Collana | [Wiley finance] |
| Soggetto topico |
Portfolio management
Asset allocation Investment analysis |
| ISBN |
1-282-68805-7
9786612688058 1-118-26718-4 0-470-43035-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Modern Portfolio Management: Active, Long/Short, 130/30, Equity, Strategies; Contents; Foreword: The High and Low of 130/30 Investing; Structure of the Book; Acknowledgments; Introduction: Evolution of the Active Extension Concept; Part I: Active 130/30 Extensions and Diversified Asset Allocations; Part II: The Role of Quantitative Strategies in Active 130/30 Extensions; Part III: Special Topics Relating to Active 130/30 Extensions; Part IV: Key Journal Articles; About the Authors; Index |
| Record Nr. | UNINA-9910830081803321 |
|
Leibowitz Martin L. <1936->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modern portfolio management : active long short 130/30 equity strategies / / Martin L. Leibowitz, Simon Emrich, Anthony Bova
| Modern portfolio management : active long short 130/30 equity strategies / / Martin L. Leibowitz, Simon Emrich, Anthony Bova |
| Autore | Leibowitz Martin L. <1936-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
BovaAnthony <1978->
EmrichSimon <1971-> |
| Collana | [Wiley finance] |
| Soggetto topico |
Portfolio management
Asset allocation Investment analysis |
| ISBN |
9786612688058
9781282688056 1282688057 9781118267189 1118267184 9780470430354 0470430354 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Modern Portfolio Management: Active, Long/Short, 130/30, Equity, Strategies; Contents; Foreword: The High and Low of 130/30 Investing; Structure of the Book; Acknowledgments; Introduction: Evolution of the Active Extension Concept; Part I: Active 130/30 Extensions and Diversified Asset Allocations; Part II: The Role of Quantitative Strategies in Active 130/30 Extensions; Part III: Special Topics Relating to Active 130/30 Extensions; Part IV: Key Journal Articles; About the Authors; Index |
| Record Nr. | UNINA-9911019152203321 |
|
Leibowitz Martin L. <1936->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
