Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2014 | nr 18 | 123--132
Tytuł artykułu

Asset Allocation Strategy in Investment Portfolio Construction - a Comparative Analysis

Warianty tytułu
Języki publikacji
The investment portfolio management process consists of an integrated set of steps to create an appropriate mixture of assets. Since it is highly depending on characteristics of the investor, it is possible to stress three main steps: planning, execution and feedback. The most crucial part of portfolio management is the execution step during which a suitable portfolio is built. The procedure takes into account asset allocation, security analysis and clients' requirements. The main aim of the article is to present and compare asset allocation procedures used today, such as mean-variance approach, Black-Litterman one and risk based strategies. (original abstract)
Opis fizyczny
  • University of Economics in Katowice, Poland
  • Amenc N., Le Sourd V. (2003): Portfolio Theory and Performance Analysis, John Wiley & Sons, Chichester.
  • Best M.J., Grauer R.R. (1991): On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results. "The Review of Financial Studies" January, Vol. 4, No. 2, pp. 315-342.
  • Black F., Litterman R. (1992): Global Portfolio Optimization. "Financial Analysts Journal" September/October, Vol. 48, No. 5, pp. 28-43.
  • Choueifaty Y., Coignard Y. (2008): Toward Maximum Diversification, "Journal of Portfolio Management" Fall, Vol. 35, No. 1, pp. 40-51.
  • DeMiguel V., Garlappi L., Uppal R. (2009): Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy? "Review of Financial Studies", Vol. 22, pp. 1915-1953
  • Idzorek T. (2006): Developing Robust Asset Allocations. Working paper. "Ibbotson Research Paper" 18 April.
  • Jacobs H., Müller S., Weber M. (2014): How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies. "Journal of Financial Markets" June, Vol. 19, pp. 62-85.
  • Maginn J.L., Tuttle D.L., McLeavey D.W., Pinto J.E. (2007): Managing Investment Portfolios Workbook: A Dynamic Process, John Wiley & Sons, Chichester.
  • Maillard S., Roncalli T., Teiletche J. (2010): On the Properties of Equally-Weighted Risk Contribution Portfolios. "Journal of Portfolio Management" Summer, Vol. 36, No. 4, pp. 60-70.
  • Markowitz H.M. (1952). Portfolio Selection. "The Journal of Finance" March, Vol. 7, pp. 77-91.
  • Markowitz H.M. (1959): Portfolio Selection: Efficient Diversification of Investments. Wiley, New York.
  • Michaud R.O. (1998): Efficient Asset Management. Harvard Business School Press, Boston.
  • Rasmussen M. (2003): Quantitative Portfolio Optimization, Asset Allocation and Risk Management. Palgrave Macmillan, Houndmills, Basingstoke, Hampshire.
  • Sharpe W. (1992): Asset Allocation: Management Style and Performance Measurement. "Journal of Portfolio Management", Vol. 18, No. 2.
  • Wolfinger M.D. (2005): Create Your Own Hedge Fund: Increase Profits and Reduce Risk with ETFs and Options. John Wiley & Sons, Hoboken.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.