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 entire, new method of the age-old challenge of the place to place your cash. Years of expertise as a finance professor and a specialist have led him to determine that what concerns should not asset category labels, yet in its place the bundles of overlapping hazards they symbolize. issue dangers needs to be the focal point of our awareness if we're to climate marketplace turmoil and obtain the rewards that include doing so.

Clearly written but jam-packed with the newest study and knowledge, Asset Management is imperative interpreting for trustees, specialist cash managers, clever deepest traders, and company scholars who are looking to comprehend the economics at the back of issue threat charges, to reap them successfully of their portfolios, and to embark looking for actual alpha.

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69 This is shown in a famous paper by Johnson et al. (1985). 70 It is a myth that most lottery winners blow through all their winnings. While this certainly happens to some of them, most winners do not engage in lavish spending sprees, as Kaplan (1987) and Larsson (2011) report. ) Chapter 1: Asset Owners 31 4. Slouching The wealthy also suffer from the Dutch disease. Inheriting wealth that you didn’t earn by your own hands makes you lazy. Why bother creating new sources of income? Timor-Leste and Norway created SWFs so that their economies nurture other income streams; wealthy families need to create structures to ensure their children do as well.

1 trillion at December 2012. 71 The richest 1% includes the ultrarich whom we discussed before, but also include many who would call themselves (upper) middle class. 72 The top 1% took home 9% of total income in 1976, and 20% in 2011. 73 The middle class has the same main concern as the other asset owners discussed up to now: to save more today so that tomorrow we can eat (retirement) or that our children can eat (bequests), even though we also need to worry about eating today. We must be especially mindful of the fees paid to intermediaries because the fees represent foregone consumption: since we are not rolling in dough, consumption matters more for us than the rich.

Both corporations and beneficiaries share, in different circumstances, the surplus (or deficit) of the pension plan. See Bulow and Scholes (1983), Bodie (1990a), Gold (2005), and Scherer (2005). 40 Leibowitz, M. , 1986, Liability Returns: A New Perspective on Asset Allocation, Salomon Brothers. See also Sharpe and Tint (1990). 41 Technically this is mean-variance utility (see chapter 4) over surplus. I extend this framework in Ang, Chen, and Sundaresan (2013) to incorporate downside risk. 42 This is easier said than done.

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