Theory And Methodology Of Tactical Asset Allocation
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Theory And Methodology Of Tactical Asset Allocation
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Author : Wai Lee
language : en
Publisher: John Wiley & Sons
Release Date : 2000-08-15
Theory And Methodology Of Tactical Asset Allocation written by Wai Lee and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-08-15 with Business & Economics categories.
Asset allocation has long been viewed as a safe bet for reducing risk in a portfolio. Asset allocators strive to buy when prices are low and sell when prices rise. Tactical asset allocation (TAA) practitioners tend to emphasize shorter-term adjustments, reducing exposure when recent market performance has been good, and increasing exposure in a slipping market (in contrast to dynamic asset allocation, or portfolio insurance). As interest in this technique continues to grow, J.P. Morgan's Wai Lee provides comprehensive coverage of the analytical tools needed to successfully implement and monitor tactical asset allocation.
Strategic Asset Allocation
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Author : John Y. Campbell
language : en
Publisher: OUP Oxford
Release Date : 2002-01-03
Strategic Asset Allocation written by John Y. Campbell and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-03 with Business & Economics categories.
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors---both individuals and institutions such as charitable foundations or universities---seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities---both interest rates and risk premia on bonds and stocks---vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Quantitative Portfolio Optimisation Asset Allocation And Risk Management
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Author : M. Rasmussen
language : en
Publisher: Springer
Release Date : 2002-12-13
Quantitative Portfolio Optimisation Asset Allocation And Risk Management written by M. Rasmussen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12-13 with Business & Economics categories.
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Adaptive Asset Allocation
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Author : Adam Butler
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-23
Adaptive Asset Allocation written by Adam Butler and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-23 with Business & Economics categories.
Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.
Global Asset Allocation
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Author : Heinz Zimmermann
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-03
Global Asset Allocation written by Heinz Zimmermann and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-03 with Business & Economics categories.
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Finance 2 Asset Allocation And Market Efficiency
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Author : Michael Frömmel
language : en
Publisher: BoD – Books on Demand
Release Date : 2025-03-12
Finance 2 Asset Allocation And Market Efficiency written by Michael Frömmel and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-03-12 with Business & Economics categories.
This books builds on 'Finance 1: Portfolio Theory and Management'. Both volumes are linked through the asset allocation process. While Finance 1 focuses on portfolio theory and strategic asset allocation, Finance 2 deals with tactical asset allocation and market efficiency. We start by reviewing the asset allocation process, market timing and the approach by Black and Litterman. Section 2 deals with the predictability of prices, including technical analysis and momentum. Turning to factors that may cause the predictability - if there is any - we discuss models from behavioural finance. The subsequent section deals with bubbles and herd behaviour, before we cover market microstructure and its implications. The book's last section deals with price manipulation as a cause for inefficiencies.
Advanced Reit Portfolio Optimization
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Author : W. Brent Lindquist
language : en
Publisher: Springer Nature
Release Date : 2022-11-09
Advanced Reit Portfolio Optimization written by W. Brent Lindquist and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-09 with Business & Economics categories.
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
Advances In International Investments Traditional And Alternative Approaches
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Author : Hung-gay Fung
language : en
Publisher: World Scientific
Release Date : 2008-05-14
Advances In International Investments Traditional And Alternative Approaches written by Hung-gay Fung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-14 with Business & Economics categories.
The globalization of financial markets has led to an integrated world market. Emerging economies such as China and India have opened up their markets to foreign investors. New instruments such as exchange-traded funds are being created, and current instruments are being expanded to include real asset investments such as natural resources and real estate investments.To better understand the full range of investments available, this book identifies different asset classes and current hot topics such as new financial instruments, innovations, and strategies in a changing global environment. Asset class, which can be labeled as either traditional or alternative investments, is examined in three areas: (1) trends — description of the current topic/instrument/strategy in the chosen asset class; (2) opportunities — identification of what is new and/or where to invest or arbitrage, i.e., location; and (3) risks — determination of the risks (peculiar to the location) and how international investors can manage/reduce/eliminate them.
Asset Allocation
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Author : William Kinlaw
language : en
Publisher: John Wiley & Sons
Release Date : 2021-07-26
Asset Allocation written by William Kinlaw and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-26 with Business & Economics categories.
Discover a masterful exploration of the fallacies and challenges of asset allocation In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation. Drawing on their experience working with hundreds of the world’s largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest. The book also incorporates discussions of: The characteristics that define an asset class, including stability, investability, and similarity The fundamentals of asset allocation, including definitions of expected return, portfolio risk, and diversification Advanced topics like factor investing, asymmetric diversification, fat tails, long-term investing, and enhanced scenario analysis as well as tools to address challenges such as liquidity, rebalancing, constraints, and within-horizon risk. Perfect for client-facing practitioners as well as scholars who seek to understand practical techniques, Asset Allocation: From Theory to Practice and Beyond is a must-read resource from an author team of distinguished finance experts and a forward by Nobel prize winner Harry Markowitz.
Quantitative Global Bond Portfolio Management
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Author : Gueorgui S Konstantinov
language : en
Publisher: World Scientific
Release Date : 2023-10-06
Quantitative Global Bond Portfolio Management written by Gueorgui S Konstantinov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-10-06 with Business & Economics categories.
Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.