ASSET ALLOCATION AND PORTFOLIO STRUCTURING

Asset allocation and portfolio structuring are the central issues in professional investment management. This book provides a more detailed  treatment of these techniques than most investment books, and gives an up-to-date account of recent theory and practice.  It covers a wide range of relevant investment problems, explains the techniques and also illustrates its appropriateness by practical examples. Relevant formulas and software enable  the reader to apply the techniques in the practical environment of pension funds and other financial institutions. 

The book is suitable as a reference work for professionals active in the financial sector and as teaching material for students in higher education. The author avoids using unnecessary complicated mathematical formulas that draw away the attention to practice.   Therefore, only some basic mathematical knowledge is required that usually is mastered by financial professionals.

PUBLISHING DATE

2004

AUTHOR

Tom Steenkamp has received his doctor’s degree in finance from the Vrije Universiteit (“VU”) in Amsterdam. After having worked at several financial institutions and as a lecturer in finance, he currently is  head allocation & research of ABP Investments, one of largest pension funds of the world. In this position he and his colleagues have tested many of the techniques and tools described in the book in practice. In addition he is professor of investments at the VU responsible for the postgraduate program in investments. In this program accredited by the European Federation of Financial Analysts’ Societies (“EFFAS”) preliminary versions of the book have been tested thoroughly. 

CONTENTS

1. Introduction

2. Choosing under uncertainty

3. The Mean-variance model estimation risk

4.   Mean-variance and input parameters

4. Mean-variance and investment horizon

5. Rebalancing

6. Downside risk

7. References

8. index