Transcription of Keys To Asset Allocation - PAPERS
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Keys To Asset Allocation - PAPERS
keys To Asset Allocation Wai Lee, PhD Chief Investment Officer & Director of Research Quantitative Investment Group May 25, 2011 Presentation to the PAPERS Spring 2011 Forum NB Quantitative Investment Group We put our work to practice Demystifying Risk- parity Neuberger Berman white paper , forthcoming Risk Budgeting With Asset Class and Risk Class Neuberger Berman white paper , forthcoming Risk-Based Asset Allocation : A New Answer To An Old Question? Forthcoming in The Journal Of Portfolio Management Implementable Tail Risk Management and Optimization Forthcoming in Journal of Derivatives and Hedge Funds Regimes: Non-Parametric Identification and Forecasting The Journal of Portfolio Management, Winter 2010 The Black-Litterman Model For Active Portfolio Management Winner of Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article; published in The Journal of Portfolio Management, Winter 2009 Risk Budgeting Handbook of Finance: Investment Management and Financial Management, 2008 Implementing Optimal Risk Budgeting The Journal of P
Keys To Asset Allocation Wai Lee, PhD ... NB Quantitative Investment Group We put our work to practice Demystifying Risk-Parity •Neuberger Berman white paper, forthcoming Risk Budgeting With Asset Class and Risk Class •Neuberger Berman white paper, forthcoming Risk-Based Asset Allocation: A New Answer To An Old Question? ...
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