Alternative Assets and Strategic Allocation: Rethinking the Institutional Approach (Bloomberg)

526 Pages·2010·4.15 MB·English

by  John B. Abbink

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Alternative Assets
and Strategic
Allocation
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Alternative Assets
and Strategic
Allocation
Rethinking the Institutional
Approach
ohn bbink
J B. A
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Copyright © 2010 by John B. Abbink. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
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ISBN 978-157-6-60368-0
Printed in the United States of America
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For Carol
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C O N T E N T S
List of Illustrations .................................................................ix
Acknowledgments .................................................................xiii
Introduction ...............................................................1
What Is Alternative about Alternative Investments? .............................5
The Plan of This Book .........................................................................11
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PART ONE ANALYTIC TOOLS
1 Risk and Return .......................................................17
2 Return Enhancement ................................................37
3 Some Features of the Quantitative Toolkit .................59
4 Risk Estimation ........................................................81
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PART TWO SOME EXAMPLES
5 Long/Short Equity .................................................. 103
6 Direct Lending ....................................................... 123
7 Merger Arbitrage .................................................... 141
8 High-Frequency Trading ......................................... 161
9 Holding Private Assets for Their Cash Flows ............ 183
10 Fixed-Income Arbitrage ........................................... 199
11 Event-Driven Investment ......................................... 217
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PART THREE POSITION MANAGEMENT
12 Investment Strategies in Practice ............................. 237
13 Optionality ............................................................. 253
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viii Contents
14 Trade Capacity ........................................................ 271
15 Institutional Liquidity ............................................ 287
16 Tactical Allocation .................................................. 305
17 Portfolio Liquidity .................................................. 323
18 Alternative Investments and Information Theory ..... 343
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PART FOUR PORTFOLIO CONSTRUCTION
19 Classifi cation of Investments ................................... 361
20 Diversifi cation among Strategies .............................. 381
21 Multi-Dimensional Risk.......................................... 403
22 Filling Out the Allocation ....................................... 419
23 Time and Tide ........................................................ 433
24 Managing the Allocation Decision ........................... 451
25 Concluding Remarks .............................................. 469
Bibliography .......................................................................477
Index .................................................................................487
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