Asset Allocation Strategy in Investment Portfolio Construction - a Comparative Analysis

• Autorzy: Ewa Dziwok
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Management of investment portfolio; Investment portfolio; Asset allocation; Investment risk

PL

Zarządzanie portfelem inwestycyjnym; Portfel inwestycyjny; Alokacja aktywów; Ryzyko inwestycyjne

• Czasopismo: Journal of Economics & Management / University of Economics in Katowice
• Rocznik: 2014
• Numer: nr 18
• Strony: 123--132

Twórcy

autor

Ewa Dziwok

• University of Economics in Katowice, Poland

Bibliografia

• 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.