Derivative applications to asset allocation and multi-asset management

被引：1

作者：

Cazalet, William ^{[1
]}

Curtil, Dimitri ^{[1
]}

Fabozzi, Frank J. ^{[2
]}

Hixon, Scott ^{[3
]}

Rudin, Alexander ^{[4
]}

Sathyajit, Rahul ^{[4
]}

Stavena, James ^{[1
]}

Upadhyay, Shubham ^{[4
]}

机构：

[1] Newton Investment Management North Amer, San Francisco, CA USA

[2] Johns Hopkins Univ, Carey Business Sch, Baltimore, MD 21218 USA

[3] Invesco, Atlanta, GA USA

[4] State St Global Advisors, Boston, MA USA

来源：

JOURNAL OF ASSET MANAGEMENT | 2024年 / 25卷 / 06期

关键词：

Derivatives; Hedging; Top-down asset allocation; Tactical asset allocation; Portable alpha; Foreign currency risk;

D O I：

10.1057/s41260-024-00364-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article provides applications of derivatives to asset allocation and multi-asset management. The four applications include using futures for top-down asset allocation, deploying portable alpha strategies using derivatives to achieve desired convexity in payoff profiles, developing effective hedging strategies, and using derivatives for active speculative views by proprietary traders.

引用

页码：531 / 551

页数：21

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