Saturday, July 17, 2010

VIDEO TOP 5 ASSET ALLOCATION - Contribution 5: Prof Camp Harvey explains what Asset Allocation is

Our 5th contribution to the Video top 5 on Asset Allocation features professor Camp Harvey. Harvey is professor of Finance at the Fuqua Business School of Duke University. Harvey is without doubt one of the brightest Finance specialists in the academic work. I first saw him some 20 years ago when he was still at the University of Chicago.

 In this contribution Prof Harvey explains the 5 layers of Asset Allocation

Later during my career as a practitioner I have benefited tremendously from his work. Harvey had some outstanding publications on Emerging Markets and their political risk. But he is a generalist as well, knowing a lot about various topics. Always focusing on the linkage between pure science on the one hand and applied research that can be used in practice on the other.

In the attached contribution Prof Harvey explains the 5 layers of Asset Allocation. Actually, what he describes is far more than just that. It is basically a rigorous, structured description of an Investment Process.

Nothing fancy, nothing complicated. But he clearly describes what we mean by Asset Allocation in general and the specific role played by each individual layer. As you know LMG Emerge is a specialist in Tactical Asset Allocation, an area in which we benefit tremendously from our joint work with Noble Prize Laureate dr Harry Markowitz. However, we have also done work in the areas of Strategic Asset Allocation and Asset Liability Management.

Click here for an example of our firm's Global Tactical Asset Allocation Model.

Our Video top 5 does now consist of the following 5 presentations:

4) David Swensen's lecture on an integrated, structured top-down investment process that starts with strategic and tactical asset allocation (more than 1 hour long)
5) Prof Camp Harvey: The 5 layers of Asset Allocation; explaining the concept of a structured investment approach

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