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1、7373tpPath.indd15/19/103:29:55PMMay13,201010:6WSPC/SPI-B913b913-fmFAThispageintentionallyleftblankWorldScientific7373tpPath.indd25/19/103:29:56PMPublishedbyWorldScientificPublishingCo.Pte.Ltd.5TohTuckLink,Singapore596224USAoffice:27WarrenStreet,Suite401-402,Hackensack,NJ07601UKoffice:57
2、SheltonStreet,CoventGarden,LondonWC2H9HELibraryofCongressCataloging-in-PublicationDataAlternativeinvestmentsandstrategies/editedbyRüdigerKiesel,MatthiasScherer&RudiZagst.p.cm.ISBN-13:978-9814280105ISBN-10:98142801001.Investments--Moralandethicalaspects.2.Portfoliomanagement--Moralandeth
3、icalaspects.I.Kiesel,Rüdiger,1962–II.Scherer,Matthias.III.Zagst,Rudi,1961–HG4515.13.A4982010332.6--dc222010013167BritishLibraryCataloguing-in-PublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibrary.Copyright©2010byWorldScientificPublishingCo.Pte.Ltd.Allrightsreserved.
4、Thisbook,orpartsthereof,maynotbereproducedinanyformorbyanymeans,electronicormechanical,includingphotocopying,recordingoranyinformationstorageandretrievalsystemnowknownortobeinvented,withoutwrittenpermissionfromthePublisher.Forphotocopyingofmaterialinthisvolume,pleasepayacopyingfeethroug
5、htheCopyrightClearanceCenter,Inc.,222RosewoodDrive,Danvers,MA01923,USA.Inthiscasepermissiontophotocopyisnotrequiredfromthepublisher.TypesetbyStallionPressEmail:enquiries@stallionpress.comPrintedinSingapore.Juliet-AlternativeInvestments.pmd18/2/2010,6:18PMMay13,201010:6WSPC/SPI-B913b913-
6、fmFAPREFACEAssetallocationinvestigatestheoptimaldivisionofaportfolioamongdifferentassetclasses.Standardtheoryinvolvestheoptimalmixofriskystocks,bonds,andcashtogetherwithvarioussubdivisionsoftheseassetclasses.Underlyingthisistheinsightthatdiversificationallowsforachievingabalancebetweenri
7、skandreturn:byusingdifferenttypesofinvestment,lossesmaybelimitedandreturnsaremadelessvolatilewithoutlosingtoomuchpotentialgain.Theseinsightsaremadepreciseusingthebenchmarktheoryofmathematicalfinance,theBlack-Scholes-Mertontheory,basedonBrownianmotionasthedrivingnoiseprocessforri
