Читать книгу Alternative Investments - Black Keith H. - Страница 64

Chapter 1 introduced the basics of the asset allocation process and studied the mean-variance approach to asset allocation. This chapter extended the concepts discussed in Chapter 1 to take into account practical issues that arise while applying the asset allocation process. This chapter began with a discussion of tactical asset allocation (TAA), with a focus on the costs and benefits of this strategy when applied to portfolios of traditional and alternative investments. It was argued that because the rebalancing of alternative investments is costly, a higher level of skill is needed to make TAA a value-added activity.

Next, the chapter discussed several extensions to the mean-variance approach. The focus here was on those extensions that are important to alternative assets. For instance, we discussed how illiquidity and estimation risk can be taken into account when performing mean-variance optimization. While these extensions may not provide perfect answers, they represent excellent starting points to the asset allocation process and can serve as checks against other, perhaps more heuristic approaches that are adopted by asset allocators.

Risk budgeting and the risk parity approach were discussed next. Risk budgeting is a valuable tool for analyzing a portfolio's risk-return profile and imposing risk constraints desired by asset owners. Risk parity uses the results of risk budgets to create portfolios in which each asset contributes the same amount to the total risk of the portfolio. The chapter discussed the pros and cons of risk parity and pointed out that some of the reasons given in support of risk parity may not apply to alternative investments.

Finally, the chapter discussed factor investing. This is a relatively new topic in the investment community and, similar to other new ideas, has to be evaluated carefully when applied to alternative investments. The primary benefit of factor investing is that it informs investors that returns will come from being exposed to certain risk factors and allows asset owners to decide if earning returns through exposure to these certain risk factors is consistent with their objectives and constraints.