Asset Allocation of Portfolio Management
Abstract
This review article mentioned about introduction of asset allocation, assets allocation models, determination of asset allocation, portfolio management process, policy statement of asset allocation, return objectives and investment constraints, need for a policy statement, constructing a policy statement, preliminaries of financial plan, individual investor life cycle, life cycle investment goals and, conclusion of asset allocation.Downloads
References
Agarwal, Vikas, and Narayan Naik. 2004. "Risks and Portfolio Decisions Involving Hedge Funds." Review of Financial Studies, vol. 17, no. 1 (Spring)
Bender, Jennifer, Remy Briand, Frank Nielsen, and Dan Stefek. 2010. "Portfolio of Risk Premia: A New Approach to Diversification." Journal of Portfolio Management, vol. 36, no. 2 (Winter)
C. K. Butler and D. L. Domian, "Long-Run Returns on Stock and Bond Portfolios: Implications for Retirement Planning," Financial Services Review, Vol. 2, No. 1, 1993.
Carhart, Mark M. 1997. "On Persistence in Mutual Fund Performance." Journal of Finance, vol. 52, no. 1 (March)
Clarke, Roger G., Harindra de Silva, and Robert Murdock. 2005. "A Factor Approach to Asset Allocation." Journal ofPortfolio Management, vol. 32, no. 1 (Fall)
Cummins, J. D., 2000, Allocation of Capital in the Insurance Industry, Risk Management & Insurance Review, 3.
Fama, Eugene F., and Kenneth R. French. 1992. "The Cross-Section of Expected Stock Returns." Journal of Finance, vol. 47, no. 2 (June)
Franzoni, Francesco, Eric Nowak, and Ludovic Phalippou. 2012. "Private Equity Performance and Liquidity Risk." Journal of Finance, vol. 67, no. 6 (December)
Fung, William, and David A. Hsieh. 2004. "Hedge Fund Benchmarks: A Risk-Based Approach." Financial Analysts Journal, vol. 60, no. 5 (September/October)
Grinold, Richard C., and Ronald N. Kahn. 2000. Active Portfolio Management. 2nd ed. New York: McGraw-Hill.
Ibbotson, Roger G., Zhiwu Chen, Daniel Y.-J. Kim, and Wendy Y. Hu. 2013. "Liquidity as an Investment Style." Financial Analysts Journal, vol. 69, no. 3 (May/June)
Jegadeesh, Narisimhan, and Sheridan Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, vol. 48, no. 1 (March)
Jensen, Greg, Noah Yechiely, and Jason Rotenberg. 2005. "Hedge Funds Selling Beta as Alpha." Bridgewater Daily Observations (24 May).
Lintner, John. 1965. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics, vol. 47, no. 1 (February)
M. L. Leibowitz and T. C. Langetieg, "Shortfall Risk and the Asset Allocation Decision: A Simulation Analysis of Stock and Bond Risk Profiles," The Journal of Portfolio Management, Vol. 16, No. 1, 1989.
Markowitz, Harry. 1952. "Portfolio Selection." Journal of Finance, vol. 7, no. 1 (March).
Myers, S. C., and J. A. Read Jr., 2001, Capital Allocation for Insurance Companies, Journal of Risk and Insurance, 68: 545-580.
Page, Sebastien, and Mark A. Taborsky. 2011. "The Myth of Diversification: Risk Factors vs. Asset Classes." Journal of Portfolio Management, vol. 37, no. 4 (Summer)
Perold, A. F, 2001, Capital Allocation in Financial Firms, Working Paper No. 98-072, Harvard Business School.
R. A. Levy, "Stocks, Bonds, Bills, and Inflation over 52 Years," The Journal of Portfolio Management, Vol. 4, No. 4, 1978, pp. 18-19. doi:10.3905/jpm.1978.408655
Ross, Stephen A. 1976. "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory, vol. 13, no. 3 (December)
Sharpe, William F. 1964. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance, vol. 19, no. 3 (September)
Treynor, Jack L. 1961. "Market Value, Time, and Risk." Unpublished manuscript (8 August).
W. Reichenstein, "When Stock is Less Risky than Treas-ury Bills," Financial Analysts Journal, Vol. 42, No. 6, 1986.
Waring, M. Barton, and Laurence B. Siegel. 2003. "Understanding Active Management." Investment Insights, vol. 6, no. 1 (April)
Xiong, James X., Roger G. Ibbotson, Thomas M. Idzorek, and Peng Chen. 2010. "The Equal Importance of Asset Allocation and Active Management." Financial Analysts Journal, vol. 66, no. 2 (March/April)
TRANSFER OF COPYRIGHT
JRBEM is pleased to undertake the publication of your contribution to Journal of Research in Business Economics and Management.
The copyright to this article is transferred to JRBEM(including without limitation, the right to publish the work in whole or in part in any and all forms of media, now or hereafter known) effective if and when the article is accepted for publication thus granting JRBEM all rights for the work so that both parties may be protected from the consequences of unauthorized use.
