Alternative Assets and Strategic Allocation Rethinking the Institutional Approach

by Abbink, John B.

• ISBN13: 9781576603680
• ISBN10: 1576603687
• Edition: 1st
• Format: Hardcover
• Copyright: 2010-08-02
• Publisher: Bloomberg Press

Summary

The usual investment fare no longer holds. A market in turmoil requires fresh ideas and innovation. Institutional investors have for too long stuck with investments that are poorly equipped to deal with volatile markets. To remain competitive, these investors must look to the tools of the new investment age. John B. Abbink details innovative ways to measure and analyze alternative assets and walks the reader through the practical application of these techniques. He then reviews some of the latest alternatives rising in popularity, for better or worse, including high-frequency trading, event-driven investment, direct lending, and more.

Author Biography

John B. Abbink has worked at leading financial firms, including Merrill Lynch, Credit Suisse, and Deutsche Bank, and was formerly a senior vice president and director of manager research at the National City Corporation, a subsidiary of the PNC Financial Services Group.  Abbink received his BA from Michigan State University in 1976 and his PhD from Yale University in 1981.

Table of Contents

List of Illustrations	p. ix
Acknowledgments	p. xiii
Introduction	p. 1
What Is Alternative about Alternative Investments?	p. 5
The Plan of This Book	p. 11
Analytic Tools
Risk and Return	p. 1
Return Enhancement	p. 37
Some Features of the Quantitative Toolkit	p. 59
Risk Estimation	p. 81
Some Examples
Long/Short Equity	p. 103
Direct Lending	p. 123
Merger Arbitrage	p. 141
High-Frequency Trading	p. 161
Holding Private Assets for Their Cash Flows	p. 183
Fixed-Income Arbitrage	p. 199
Event-Driven Investment	p. 217
Position Management
Investment Strategies in Practice	p. 237
Optionality	p. 353
Trade Capacity	p. 271
Institutional Liquidity	p. 287
Tactical Allocation	p. 305
Portfolio Liquidity	p. 323
Alternative Investments and Information Theory	p. 343
Portfolio Construction
Classification of Investments	p. 361
Diversification among Strategies	p. 381
Multi-Dimensional Risk	p. 403
Filling Out the Allocation	p. 419
Time and Tide	p. 433
Managing the Allocation Decision	p. 451
Concluding Remarks	p. 469
Bibliography	p. 477
Index	p. 487
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