Asset Management: A Systematic Approach to Factor InvestingIn Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha. |
Contents
FACTOR RISK PREMIUMS | 191 |
DELEGATED PORTFOLIO MANAGEMENT | 489 |
AFTERWORD | 621 |
Appendix RETURNS | 625 |
ACKNOWLEDGMENTS | 631 |
REFERENCES | 633 |
| 677 | |
| 691 | |
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agent alpha annuities asset allocation asset classes asset management asset owner asset prices average beta CalPERS CAPM chapter companies consumption corporate bonds correlation costs diversification endowment equation estimate ETFs excess returns expected returns exposure factor benchmarks factor investing factor risk fees Figure financial crisis Financial Economics Financial Studies firms fund manager growth hedge funds hold human capital illiquid illiquid assets illiquidity risk index funds indifference curve investors Janus Journal of Finance labor income leverage liabilities liquidity long-run losses macro market portfolio mean-variance frontier models momentum muni mutual fund optimal Panel paper pension funds pension plans performance portfolio choice Portfolio Management portfolio weights predictability private equity real estate rebalance rebalancing REITs retirement Review of Financial risk aversion risk premiums risky assets Sharpe ratio shows sovereign wealth fund stock returns T-bills trading Treasury utility function value-growth variance volatility risk volatility strategy yield