Open AccessBook
Asset Management: A Systematic Approach to Factor Investing
Andrew Ang
- 07 Jul 2014
292
TL;DR: In this paper, the authors discuss the role of the asset owner in the long-term performance of a portfolio, and propose a strategy for the long run of the portfolio management process.
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Abstract: Preface: Asset Management Part I: The Asset Owner Chapter 1: Asset Owners Chapter 2: Preferences Chapter 3: Mean-Variance Investing Chapter 4: Investing for the Long Run Chapter 5: Investing Over the Life Cycle Part II: Factor Risk Premiums Chapter 6: Factor Theory Chapter 7: Factors Chapter 8: Equities Chapter 9: Bonds Chapter 10: Alpha (and the Low Risk Anomaly) Chapter 11: " Assets Chapter 12: Tax-Efficient Investing Chapter 13: Illiquid Assets Chapter 14: Factor Investing Part III: Delegated Portfolio Management Chapter 15: Delegated Investing Chapter 16: Mutual Funds and Other 40-Act Funds Chapter 17: Hedge Funds Chapter 18: Private Equity Afterword: Factor Management Appendix: Returns Acknowledgements Bibliography Index
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Citations
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Federal Reserve Bank of New Yorkの制定せる財務諸表様式について
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References
Can Mutual Funds Outguess the Market: Evidence from Bangladesh?
TL;DR: In this paper, the authors performed an investigation on weekly data of 25 mutual funds for the period of May 16, 2010 to April 28, 2016 and found no market timing skill persistent to the fund managers.
313
Inflation and security returns
TL;DR: In this article, the impact of inflation on financial institutions and markets and its implications for investment policy are discussed. But the focus of this paper is on the effects of inflation in financial markets and not specifically on investment policy.
311
•Book
Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment
David F. Swensen
- 15 May 2000
TL;DR: In his fourteen years as Yale's chief investment officer, David Swensen has revolutionized management of the university's investment portfolio by relying on nonconventional assets, including private equity and venture capital, which has added more than $2 billion to Yale's endowment.
306
Mean-Variance Theory in Complete Markets
TL;DR: In this article, it was shown that the standard mean-variance separation theorem holds for all assets in a complete market only if all investors have quadratic utility, and that the familiar CAPM pricing relation can hold only if arbitrage opportunities exist.
300
•Posted Content
Demography and the Long-Run Predictability of the Stock Market
TL;DR: This article provided a simple stochastic OLG model with a cyclical structure which generates cyclical P/E ratios and calibrate the model to roughly fit the cyclical features of historical P /E ratios.
296