Derivative applications to asset allocation and multi-asset management

William Cazalet, Dimitri Curtil, Frank J. Fabozzi (), Scott Hixon, Alexander Rudin, Rahul Sathyajit, James Stavena and Shubham Upadhyay
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William Cazalet: Newton Investment Management North America
Dimitri Curtil: Newton Investment Management North America
Frank J. Fabozzi: Johns Hopkins University
Scott Hixon: Invesco
Alexander Rudin: State Street Global Advisors
Rahul Sathyajit: State Street Global Advisors
James Stavena: Newton Investment Management North America
Shubham Upadhyay: State Street Global Advisors

Journal of Asset Management, 2024, vol. 25, issue 6, No 2, 551 pages

Abstract: Abstract 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.

Keywords: Derivatives; Hedging; Top-down asset allocation; Tactical asset allocation; Portable alpha; Foreign currency risk (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1057/s41260-024-00364-1

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