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1、FoundationsofAssetManagementandtheGlobalChallengeofFundingRetirementSeptember2012RobertC.Merton,PhD,SchoolofManagementDistinguishedProfessorofFinance,MassachusettsInstituteofTechnologyResidentScientist,DimensionalFundAdvisorsThisinformationisprovidedforregisteredinvestme
2、ntadvisorsandinstitutionalinvestorsandisnotintendedforpublicuse.MyRemarksAreDividedinto4Parts•Goals-basedInvesting:Determine•Threetypesofalpha:thegoalandsetobjectivefunctiontraditionalalpha,specializedbeta,beforedeterminingoptimizationandfinancialservicesdeliveredandmeas
3、ureriskintheappropriatethroughthecapitalmarketsunitsrelatedtothegoal•Anext-generationretirement•Organizationoftheinvestmentfundingsolution:anapplicationofprocesstooptimizeperformanceofgoal-basedinvestmentdesignachievingthegoal•Riskmanagement:diversification,hedging,andin
4、suring•Generatingsuperiorperformance:assetallocation,alpha,markettiming,andefficientexecutionCopyright©2012byRobertC.Merton227489_082012TotalGlobalAUMIsaround$100trnAssetsundermanagementinUSDtrillion2011Pensionfunds30.0Insurancefunds24.5Mutualfunds23.1FXreserves10.2SWFs4
5、.1Privateequity2.6Hedgefunds2.0ETFs1.405101520253035Source:BoE,BloombergFinanceLP,andDBGlobalMarketsResearch,May2012327489_082012InnovationandInvestmentManagementAdoptingcurrent“bestpractice”withoutconsideringfeasiblenewfinancialinnovationnotyetapartofthatbestpracticeisl
6、ikedrivingacarlookingonlyintherear-viewmirror•Financialcontractingtechnologypermitstheseparationofrisk-exposureselectionandmanagementfromphysicalinvestmentchoices,capitalexpenditureplans,ownershipandgovernanceofassets.Riskexposurescanberadicallychangedwithoutchangingcapi
7、talflowsorinvestment.Investmentmanagementsolutionsshouldtakefulladvantageofthistechnologyinpursuinggoalsandoptimizingobjectivefunctions.•Innovationsinassetmanagementandfinancialtechnologyoffertheprospectforachievingefficientrisk-returnfrontierriskallocationswhilestilladd
8、ressingothergoalssuchasconcentrationinlocalinvestmentorgovernancereforms.•Goals-basedinvestmentmanageme
