A practitioner's guide to asset allocation
| Otros Autores: | , , , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
2017.
|
| Edición: | 1st ed |
| Colección: | Wiley finance series.
|
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009849096706719 |
Tabla de Contenidos:
- Cover
- Title Page
- Copyright
- Contents
- Foreword
- Preface
- Section One: Basics of Asset Allocation
- Chapter 1: What Is an Asset Class?
- Stable Aggregation
- Investable
- Internally Homogeneous
- Externally Heterogeneous
- Expected Utility
- Selection Skill
- Cost-Effective Access
- Potential Asset Classes
- References
- Notes
- Chapter 2: Fundamentals of Asset Allocation
- The Foundation: Portfolio Theory
- Practical Implementation
- References
- Notes
- Section Two: Fallacies of Asset Allocation
- Chapter 3: The Importance of Asset Allocation
- Fallacy: Asset Allocation Determines More Than 90 Percent of Performance
- The Determinants of Portfolio Performance
- The Behavioral Bias of Positive Economics
- The Samuelson Dictum
- References
- Notes
- Chapter 4: Time Diversification
- Fallacy: Time Diversifies Risk
- Samuelson's Bet
- Time, Volatility, and Probability of Loss
- Time and Expected Utility
- Within-Horizon Risk
- A Preference-Free Contradiction to Time Diversification
- The Bottom Line
- References
- Notes
- Chapter 5: Error Maximization
- Fallacy: Optimized Portfolios Are Hypersensitive to Input Errors
- The Intuitive Argument
- The Empirical Argument
- The Analytical Argument
- The Bottom Line
- References
- Notes
- Chapter 6: Factors
- Fallacy: Factors Offer Superior Diversification and Noise Reduction
- What Is a Factor?
- Equivalence of Asset Class and Factor Diversification
- Noise Reduction
- Where Does This Leave Us?
- References
- Notes
- Chapter 7: 1/N
- Fallacy: Equally Weighted Portfolios Are Superior to Optimized Portfolios
- The Case for 1/N
- Setting the Record Straight
- Empirical Evidence in Defense of Optimization
- Practical Problems with 1/N
- Broken Clock
- The Bottom Line
- References
- Note
- Section Three: Challenges to Asset Allocation.
- Chapter 8: Necessary Conditions for Mean-Variance Analysis
- The Challenge
- Departures from Elliptical Distributions
- Departures from Quadratic Utility
- Full-Scale Optimization
- The Curse of Dimensionality
- Applying Full-Scale Optimization
- Summary
- References
- Notes
- Chapter 9: Constraints
- The Challenge
- Wrong and Alone
- Mean-Variance-Tracking Error Optimization
- References
- Note
- Chapter 10: Currency Risk
- The Challenge
- Why Hedge?
- Why Not Hedge Everything?
- Linear Hedging Strategies
- Nonlinear Hedging Strategies
- Economic Intuition
- References
- Notes
- Chapter 11: Illiquidity
- The Challenge
- Shadow Assets and Liabilities
- Expected Return and Risk of Shadow Allocations
- Other Considerations
- Case Study
- The Bottom Line
- Appendix
- References
- Notes
- Chapter 12: Risk in the Real World
- The Challenge
- End-of-Horizon Exposure to Loss
- Within-Horizon Exposure to Loss
- Regimes
- The Bottom Line
- References
- Notes
- Chapter 13: Estimation Error
- The Challenge
- Traditional Approaches to Estimation Error
- Stability-Adjusted Optimization
- Building a Stability-Adjusted Return Distribution
- Determining the Optimal Allocation
- Empirical Analysis
- The Bottom Line
- References
- Notes
- Chapter 14: Leverage versus Concentration
- The Challenge
- Leverage in Theory
- Leverage in Practice
- The Bottom Line
- References
- Notes
- Chapter 15: Rebalancing
- The Challenge
- The Dynamic Programming Solution
- The Markowitz-van Dijk Heuristic
- The Bottom Line
- References
- Notes
- Chapter 16: Regime Shifts
- The Challenge
- Predictability of Return and Risk
- Regime-Sensitive Allocation
- Tactical Asset Allocation
- The Bottom Line
- Appendix: Baum-Welch Algorithm
- References
- Notes
- Section Four: Addendum
- Chapter 17: Key Takeaways.
- Chapter 18: Statistical and Theoretical Concepts
- Discrete and Continuous Returns
- Arithmetic and Geometric Average Returns
- Standard Deviation
- Correlation
- Covariance
- Covariance Invertibility
- Maximum Likelihood Estimation
- Mapping High-Frequency Statistics onto Low-Frequency Statistics
- Portfolios
- Probability Distributions
- The Central Limit Theorem
- The Normal Distribution
- Higher Moments
- The Lognormal Distribution
- Elliptical Distributions
- Probability of Loss
- Value at Risk
- Utility Theory
- Sample Utility Functions
- Alternative Utility Functions
- Expected Utility
- Certainty Equivalents
- Mean-Variance Analysis for More Than Two Assets
- Equivalence of Mean-Variance Analysis and Expected Utility Maximization
- Monte Carlo Simulation
- Bootstrap Simulation
- References
- Note
- Chapter 19: Glossary of Terms
- Index
- EULA.
