New concepts and practices in asset management.

Summary For the past thirty years, the asset management industry has focused its investments and research on the implementation of active portfolio management strategies based on stock picking and compliance with a relative risk constraint compared to a benchmark, most often represented by a market index. The economic difficulties experienced by the financial markets over the last three years and the appearance of management techniques whose performance is decoupled from that of stock market indices have led asset management professionals to rethink the added value of active management by integrating the benefits of active portfolio allocation. This research reviews the benefits of a multi-style-multiclass approach to strategic and tactical allocation. In terms of strategic allocation, it studies the consequences of decorrelating between management styles, both in the traditional and alternative universe, in order to build minimum risk portfolios, based on a minimum variance portfolio concept. With respect to tactical allocation, she explains the results of research on the econometrics of market reactions in order to set up an econometric forecasting model and a systematic tactical allocation process based on lagged variables. It supports its conclusions with a presentation of the results of research conducted in the area of performance and risk analysis of active portfolio management. In particular, the multi-factor models and style analysis, which are the cornerstone of modern portfolio theory and management, are detailed.