Pranay Gupta

Allocationmetrics Limited

Allocation Engineer

1008 Prosperity Millennia Plaza

663 Kings Road, Quarry Bay

Hong Kong, 00000

Hong Kong

http://www.allocationmetrics.com

SCHOLARLY PAPERS

12

DOWNLOADS

95

CITATIONS

0

Scholarly Papers (12)

1.

Research Foundation Year in Review -- 2013

CFA Institute Research Foundation R2014
Number of pages: 90 Posted: 11 Jun 2015
CFA Institute Research Foundation, York University - Schulich School of Business, Ensign Peak Advisors, Analytic Investors, Inc., BYU Marriott School of Business, Boston University - Questrom School of Business, Arizona State University, Ryan ALM, Inc., University of Warwick - Finance Group, University College London - Centre for the Study of Decision-Making Uncertainty, Independent, CFA Institute Research Foundation, CFA Institute Research Foundation, Allocationmetrics Limited, Independent, Barclays and Target Corporation
Downloads 95 (268,127)

Abstract:

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life annuities, futures, options, manager selection, ethics, ALM, asset/liability management, tail risk

2.

Specifying and Managing Tail Risk in Multi-Asset Portfolios -- A Summary

Research Foundation Year in Review 2013
Posted: 26 Aug 2014 Last Revised: 29 May 2015
Pranay Gupta
Allocationmetrics Limited

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multi-asset, drawdown, alpha, beta, multi-strategy, stop loss, risk allocation, diversification

3.

Where Should Active Asian Equity Strategies Focus: Stock Selection or Asset Allocation

Posted: 18 Aug 2014 Last Revised: 27 May 2015
Pranay Gupta, Bing Li and Rohit Sharma
Allocationmetrics Limited, Independent and ING Investment Management, Asia Pacific

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Asia, asset allocation, stock selection, skill, dispersion, alpha, beta

4.

Fund Performance, Asset Growth and the Task of Capital Allocators

Posted: 18 Aug 2014
Brett Gallagher and Pranay Gupta
Independent and Allocationmetrics Limited

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asset allocation, manager selection, alpha, beta, fund performance

5.

Evolving the Investment Framework for Private Wealth Investment Management

Posted: 24 May 2014 Last Revised: 27 May 2015
Pranay Gupta
Allocationmetrics Limited

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private wealth, investment process, asset allocation, portfolio construction

6.

Specifying and Managing Tail Risk in Portfolios - A Practical Approach

Posted: 28 May 2013 Last Revised: 27 May 2015
Pranay Gupta and Sven R. Skallsjö
Allocationmetrics Limited and Independent

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risk, tail risk, drawdown, intra horizon, volatility, asset allocation, portfolio construction

7.

Rethinking the Asset Allocation Approach for Plan Sponsors

Posted: 03 Feb 2013 Last Revised: 27 May 2015
Pranay Gupta and Sven R. Skallsjö
Allocationmetrics Limited and Independent

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asset allocation, multi-strategy, diversification

8.

Impact of Manager Compensation on Portfolio Risk and Return

Posted: 16 Oct 2007 Last Revised: 27 May 2015
Pranay Gupta and Sven R. Skallsjö
Allocationmetrics Limited and Independent

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hedge funds, compensation, portfolio risk, asset management

9.

Risk Management in a Multi-Strategy Framework

Posted: 04 Nov 2005 Last Revised: 27 May 2015
Pranay Gupta, Sven R. Skallsjö and Alice Krol
Allocationmetrics Limited, Independent and University of Groningen

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omega, allocation, multi-strategy, higher moments

10.

From Skill-Based to Solution-Based Investment Management

Posted: 12 Oct 2005 Last Revised: 29 May 2015
Pranay Gupta
Allocationmetrics Limited

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Alpha, beta, asset allocation

11.

Alpha and Beta in an Exposure Based Framework

Posted: 04 Aug 2005 Last Revised: 27 May 2015
Pranay Gupta
Allocationmetrics Limited

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alpha, beta, CAPM, exposure, risk, strategy, hedge funds, asset class

12.

Skill Based Investment Management

Posted: 06 Jun 2005 Last Revised: 27 May 2015
Pranay Gupta
Allocationmetrics Limited

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Investment management, risk, alpha, asset class, business model, exposure management, multi-strategy, hedge funds