Читать книгу Alternative Investments - Black Keith H. - Страница 36

This chapter has introduced the asset allocation process, with a focus on using the mean-variance approach to create optimal portfolios. The asset allocation process discussed in this chapter consists of five steps, of which four were discussed.

Step 1 focuses on understanding who the asset owners are and their mission in managing assets. Step 2 examines the asset owner's objectives and constraints. Here we discussed the expected utility and its mean-variance version as a flexible way of quantifying an asset owner's objectives. Two types of constraints, internal and external, were explained.

Step 3 deals with preparing the investment policy statement, which will provide a general framework for the actual asset allocation. One of the key features of this statement is to develop a list of asset classes to be considered. Step 4 is implementation, which was covered with a focus on mean-variance optimization and its potential problems.