Philippe-N. Marcaillou
- Published in print:
- 2016
- Published Online:
- May 2016
- ISBN:
- 9780198738794
- eISBN:
- 9780191802003
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198738794.003.0005
- Subject:
- Economics and Finance, Financial Economics
On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter ...
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On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter provides the building blocks of an efficient investment portfolio strategy. Readers will understand the positive effect of diversification on the risk/return profile of portfolios and how to measure the skills of portfolio managers in security selection and the passive replication of risk-adjusted return of indexes. An overview is provided of the asset class universe and various management styles, the way to look at asset classes in terms of risk-adjusted returns. How to build various portfolios and undertake simulations in order to select the most appropriate portfolio to meet the objectives of performance and risk aversion are explained. Based on case studies, readers will learn how to analyse investment portfolios, simulations, build efficient frontiers and draw conclusions.Less
On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter provides the building blocks of an efficient investment portfolio strategy. Readers will understand the positive effect of diversification on the risk/return profile of portfolios and how to measure the skills of portfolio managers in security selection and the passive replication of risk-adjusted return of indexes. An overview is provided of the asset class universe and various management styles, the way to look at asset classes in terms of risk-adjusted returns. How to build various portfolios and undertake simulations in order to select the most appropriate portfolio to meet the objectives of performance and risk aversion are explained. Based on case studies, readers will learn how to analyse investment portfolios, simulations, build efficient frontiers and draw conclusions.
