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Modern Asset Allocation for Wealth Management




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Modern Asset Allocation for Wealth Management

David Berns

ISBN: 978-1-119-56694-6 February 2020 208 Pages


An authoritative resource for the wealth management industry that bridges the gap between modern asset allocation solutions and practical implementation

An advanced yet practical dive into the world of asset allocation, Modern Asset Allocation for Wealth Management provides the knowledge financial advisors and their robo-advisor counterparts need to reclaim ownership of the asset allocation component of their fiduciary responsibility. Wealth management practitioners are commonly taught the traditional mean-variance approach in CFA and similar curricula, a method with more limited applicability given the evolution of investment products and our understanding of real-world client preferences. Additionally, financial advisors and researchers typically receive little to no training on how to implement a robust asset allocation framework, a conceptually simple yet practically very challenging task. This timely book offers professional wealth managers and researchers an up-to-date and implementable toolset for managing client portfolios.

The information presented in this book far exceeds the basic models and heuristics most commonly used today, presenting advances in asset allocation that have been isolated to academic and institutional portfolio management settings until now. This rigorous manuscript covers all aspects of creating client portfolios: setting client risk preferences, deciding which assets to include in the portfolio mix, forecasting future asset performance, and running an optimization to set a final allocation. An important resource for all wealth management fiduciaries, this book enables readers to:

  • Define a rigorous asset allocation framework focused on maximizing the full client utility function while minimizing the effects of estimation errors
  • Deploy both neo-classical and behavioral elements of client preferences to more accurately establish a client risk profile
  • Create a systematic framework for justifying which assets should be included in client portfolios
  • Utilize a regime-based forecasting system that intuitively and self-consistently allows advisors to establish market forecasts
  • Run optimization methods that respect complex client preferences and real-world asset characteristics

Modern Asset Allocation for Wealth Management is ideal for practicing financial advisors and researchers in both traditional and robo-advisor settings, as well as advanced undergraduate and graduate courses on asset allocation.