Asset Allocation From Theory to Practice and Beyond

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  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2021-07-27
  • Publisher: Wiley

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Supplemental Materials

What is included with this book?


Discover a masterful exploration of the fallacies and challenges of asset allocation

In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation.

Drawing on their experience working with hundreds of the world’s largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest.

The book also incorporates discussions of:

  • The characteristics that define an asset class, including stability, investability, and similarity
  • The fundamentals of asset allocation, including definitions of expected return, portfolio risk, and diversification
  • Advanced topics like factor investing, asymmetric diversification, fat tails, long-term investing, and enhanced scenario analysis as well as tools to address challenges such as liquidity, rebalancing, constraints, and within-horizon risk.

Perfect for client-facing practitioners as well as scholars who seek to understand practical techniques, Asset Allocation: From Theory to Practice and Beyond is a must-read resource from an author team of distinguished finance experts and a forward by Nobel prize winner Harry Markowitz.

Author Biography

WILLIAM KINLAW, CFA, is a Senior Managing Director and Global Head of State Street's academic affiliate, State Street Associates, a unique partnership that bridges the worlds of financial theory and practice.

MARK KRITZMAN, CFA, is a Founding Partner and Chief Executive Officer of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates and teaches a graduate course at the Massachusetts Institute of Technology.

DAVID TURKINGTON, CFA, is a Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates.

Table of Contents

Foreword to the First Edition


Key Takeaways

Chapter 1: What is an asset class

Chapter 2: Fundamentals of asset allocation

Chapter 3: The importance of asset allocation

Chapter 4: Time diversification

Chapter 5: Divergence

Chapter 6: Correlation asymmetry

Chapter 7: Error maximization

Chapter 8: Factors

Chapter 9: 1/N

Chapter 10: Policy portfolios

Chapter 11: The private equity leverage myth

Chapter 12: Necessary conditions for mean-variance analysis

Chapter 13: Forecasting

Chapter 14: The stock-bond correlation

Chapter 15: Constraints

Chapter 16: Asset allocation versus factor investing

Chapter 17: Illiquidity

Chapter 18: Currency risk

Chapter 19: Estimation error

Chapter 20: Leverage versus concentration

Chapter 21: Rebalancing

Chapter 22: Regime shifts

Chapter 23: Scenario analysis

Chapter 24: Stress testing

Chapter 25: Statistical and theoretical concepts



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