Asset Management: A Systematic Approach to Factor Investing by Andrew Ang

By Andrew Ang

In Asset administration: a scientific method of issue Investing, Professor Andrew Ang offers a accomplished, new method of the age-old challenge of the place to place your cash. Years of expertise as a finance professor and a expert have led him to determine that what issues aren't asset type labels, yet in its place the bundles of overlapping hazards they symbolize. issue dangers has to be the focal point of our consciousness if we're to climate industry turmoil and obtain the rewards that include doing so.

Clearly written but filled with the most recent learn and knowledge, Asset Management is essential analyzing for trustees, specialist cash managers, clever inner most traders, and enterprise scholars who are looking to comprehend the economics in the back of issue chance charges, to reap them successfully of their portfolios, and to embark searching for real alpha.

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The more concave the utility function, the more risk averse the investor. In the special case that the investor is risk seeking, the utility function becomes convex rather than concave. If an investor is risk neutral the utility function is linear. These cases are rare; most investors are risk averse. 3. HO W R I SK AV E R SE A R E YOU ? Risk aversion can change as wealth changes, and for most individuals risk aversion decreases as wealth increases—individuals generally take on more risk as they become more financially secure.

The fact that we can lose our labor income over our working years, hopefully just temporarily, leads us to hold portfolios that cushion the fall when we lose our jobs. 2. Leverage Borrowing enables us to smooth consumption, but leverage leads to increased risk. Housing, the largest asset position for individuals, is typically highly levered and also highly illiquid. Leverage is a short position in bonds, and so the middle class is highly exposed to interest rate risk (or duration risk). Illiquidity risk also carries its own consideration (see chapter 13).

61 Princeton followed close behind, and then Harvard joined the party. In the 1990s, Yale again led the way by investing in hedge funds. Yale held no hedge funds in 1990, and by the end of the decade held over 20% of its portfolio in these marketable alternatives. Princeton followed suit, moving into hedge funds in 1995. Harvard again was the last of the three to move, doing so in 1998. 5 graphs the allocation to alternative assets by endowments according to NACUBO from 2002 to 2012. Like lemmings, most endowments have enthusiastically followed HPY in allocating to private equity, hedge funds, and other alternative assets.

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