November 2020
Intermediate to advanced
256 pages
8h 12m
English
book
Beyond Diversification: What Every Investor Needs to Know About Asset Allocation
by Sebastien Page
Content preview from Beyond Diversification: What Every Investor Needs to Know About Asset Allocation
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PART THREE
PORTFOLIO CONSTRUCTION
Modern Portfolio Theory is simple, because it is developed based on a finite horizon (one period). In a multi-period context, the risk-free rate and the betas can change.
—JPP
Now that we have covered return forecasting across short and long horizons, through equilibrium, valuation, and momentum lenses, as well as risk forecasting from volatility to higher moments, fat tails, and scenarios, a logical progression is to focus on portfolio construction. How do we put it all together?
First, before they optimize the trade-off between forecasted return and risk, multi-asset investors must choose the building blocks. Should we allocate across asset classes, or should we follow a more recent trend and allocate across ...
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