I recently finished reading Beyond diversification from Sebastien Page. Sebastien Page (Chief Investment Officer at T. Rowe Price) explains in Beyond diversification the different approaches to forecasting returns, risks and correlations across asset classes by combining academic research and practical hands-on examples.
This book is most likely targeted at the sophisticated investor and should not be the first book to pick up if you want to understand diversification but it provides great insights on how asset managers think about their portfolios.
The book also extensively refers to a number of academic papers that Sebastien Page has written on asset allocation, risk measurement and return forecasting. It explores a number of dynamic asset allocation strategies, acknowledging that risk is time-varying and requires adaptive approaches. Sebastien Page also explains why the typical fixed weight asset allocation (60-40 portfolio) does not deliver a constant risk exposure.
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