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.
read more
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
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
•Journal Article
Thinking fast and slow.
TL;DR: Prospect Theory led cognitive psychology in a new direction that began to uncover other human biases in thinking that are probably not learned but are part of the authors' brain’s wiring.
6.9K
•Journal Article
Nudge: Improving Decisions about Health, Wealth, and Happiness
TL;DR: Thaler and Sunstein this paper described a general explanation of and advocacy for libertarian paternalism, a term coined by the authors in earlier publications, as a general approach to how leaders, systems, organizations, and governments can nudge people to do the things the nudgers want and need done for the betterment of the nudgees, or of society.
4.9K
Federal Reserve Bank of New Yorkの制定せる財務諸表様式について
嘉一郎 西野
- 01 Feb 1951
TL;DR: The Board of Governors' Semiannual Agenda of Regulations for the period August 1, 1980 through February 1, 1981 as discussed by the authors provides information on those regulatory matters that the Board now has under consideration or anticipates considering over the next six months.
1.3K
An Engine, Not a Camera: How Financial Models Shape Markets:
TL;DR: Guillén as discussed by the authors argued that Southern fears of growth-reducing FDI effects are reduced in Guillén's study to a simple image problem, to be solved by more efficient public relations efforts on the part of the multinationals.
1.2K
References
•Book
Innovations in retirement financing
Olivia S. Mitchell
- 01 Jan 2002
TL;DR: In this paper, the authors argue that a strong retirement income system requires attention not only to assets conventionally dedicated to retirement purposes, such as pensions, but also to the broader determinants of retiree wealth including housing, health, longevity, and intellectual capital.
•Book
Active portfolio management : a quantitative approach for providing superior returns and controlling risk
Richard C. Grinold,Ronald N. Kahn +1 more
- 01 Jan 2000
TL;DR: In this article, consensus expected returns and the Arbitrage pricing theory are discussed, as well as the fundamental law of active management and its application in portfolio construction and portfolio allocation, and valuation in theory and practice.
Asset Price Dynamics with Slow-Moving Capital
Darrell Duffie
- 01 Jan 2010
TL;DR: In this article, the authors describe asset price dynamics caused by the slow movement of investment capital to trading opportunities and discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward.
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
William N. Goetzmann,William N. Goetzmann,Jonathan E. Ingersoll,Matthew Spiegel,Ivo Welch,Ivo Welch +5 more
TL;DR: In this paper, a manipulation-proof alternative ranking metric for portfolio performance measures is proposed, which is based on the average of a power utility function, calculated over the return history.
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
TL;DR: In this article, the authors extend the analysis of Phillips and Ploberger (1996) on the Posterior Information Criterion (PIC) to a partially nonstationary vector autoregressive process with reduced rank structure.