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목차
I. Reading 18 Asset Allocation1. Introduction
2. What is an asset allocation?
3. Asset allocations and the investor’s risk and return objectives
4. The selection of Asset Classes
5. The Steps in Asset Allocation
6. Optimization
7. Implementing the SAA
8. SAA for Individual Investors (optimal allocation 은?)
9. SAA for Institutional Investor - 기관 IPS 에서 cover 한다.
10. TAA - Tactical Asset Allocation[Prac1C]
II. Reading 19 Currency Management: An Introduction
1. Introduction
2. Review of Foreign Exchange Concepts
3. Currency Risk and Portfolio Return and Risk
4. Currency Management: Strategic Decisions
5. Currency Management: Tactical Decisions [Prac13][Prac17][Prac6]
6. Tools of Currency Management
7. Currency Management For Emerging Market Currencies
III. Reading 20 Market Indexes and Benchmarks
1. Introduction
2. Distinguishing between a benchmark and a market index
3. Benchmark uses and types
4. Market Indexes Uses and Construction
5. Index Weighting Schemes: Advantages and Disadvantages
본문내용
1 IntroductionLOS19.a explain the function of strategic asset allocation in portfolio management and discuss its role in relation to specifying
and controlling the investor’s exposures to systematic risk.
2 What is an asset allocation?
The function of strategic asset allocation(SAA) in portfolio management
o SAA
⇒An integrative(통합하는) element of the planning step in portfolio management
⇒An investor’s return objectives, risk tolerance, and investment constraints + Long-run capital market expectations
= Policy Portfolio(A set of portfolio weights of asset classes)
o TAA(Tactical Asset Allocation)
⇒Making short-term adjustments to asset-class weights based on short-term expected relative performance among
asset classes
2.1 The role of SAA in relation to systematic risk
o The SAA supplies the investor’s desired exposures to systematic risk
Indexed investments versus a single security [Prac1]
⇒Indexed investments: a highly diversified portfolio with negligible nonsystematic risk
↔A single security: have substantial nonsystematic risk
(결론) Representing an equity asset class with an indexed investment far better fulfills the purpose of SAA.
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