Читать книгу Alternative Investments - Black Keith H. - Страница 38

Chapter 1 discussed the asset allocation process, strategic asset allocation, and the basic mean-variance approach. The role of the investment policy statement was examined as a way of summarizing the objectives and constraints of asset owners, and strategic asset allocation was presented as a long-term optimal allocation. Next, the basic properties of the mean-variance approach were examined as a quantitative method for creating optimal portfolios that are consistent with asset owners' objectives. This chapter begins with a discussion of the methodology behind tactical asset allocation (TAA), and then studies some practical extensions to the mean-variance model that address some of the problems raised at the end of Chapter 1. In particular, it examines how illiquidity, risk factor exposures, and estimation risks can be taken into account when creating optimal portfolios. This chapter then discusses alternatives to the basic mean-variance optimization. It discusses risk budgeting as a way of understanding and controlling the risk exposures of a portfolio; it also examines the risk parity approach, which is closely related to risk budgeting. Finally, it presents a relatively new approach called factor investing, which recommends an optimal risk allocation rather than an optimal asset allocation as the proper way of creating optimal portfolios.