Theory And Methodology Of Tactical Asset Allocation
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| Author | : Wai Lee |
| Publisher | : John Wiley & Sons |
| Total Pages | : 168 |
| Release | : 2000-08-15 |
| Genre | : Business & Economics |
| ISBN | : 9781883249724 |
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.
| Author | : Henrik Lumholdt |
| Publisher | : Springer |
| Total Pages | : 259 |
| Release | : 2018-07-21 |
| Genre | : Business & Economics |
| ISBN | : 3319895540 |
This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.
| Author | : Riccardo Rebonato |
| Publisher | : Cambridge University Press |
| Total Pages | : 519 |
| Release | : 2013 |
| Genre | : Business & Economics |
| ISBN | : 1107048117 |
A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.
| Author | : Gueorgui S Konstantinov |
| Publisher | : World Scientific |
| Total Pages | : 421 |
| Release | : 2023-10-06 |
| Genre | : Business & Economics |
| ISBN | : 9811272581 |
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.
| Author | : Richard E. Oberuc |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 344 |
| Release | : 2004 |
| Genre | : Business & Economics |
| ISBN | : 9780071426695 |
| Author | : Walter V. "Bud" Haslett, Jr. |
| Publisher | : John Wiley & Sons |
| Total Pages | : 790 |
| Release | : 2010-10-05 |
| Genre | : Business & Economics |
| ISBN | : 0470934115 |
Key readings in risk management from CFA Institute, the preeminent organization representing financial analysts Risk management may have been the single most important topic in finance over the past two decades. To appreciate its complexity, one must understand the art as well as the science behind it. Risk Management: Foundations for a Changing Financial World provides investment professionals with a solid framework for understanding the theory, philosophy, and development of the practice of risk management by Outlining the evolution of risk management and how the discipline has adapted to address the future of managing risk Covering the full range of risk management issues, including firm, portfolio, and credit risk management Examining the various aspects of measuring risk and the practical aspects of managing risk Including key writings from leading risk management practitioners and academics, such as Andrew Lo, Robert Merton, John Bogle, and Richard Bookstaber For financial analysts, money managers, and others in the finance industry, this book offers an in-depth understanding of the critical topics and issues in risk management that are most important to today’s investment professionals.
| Author | : Stephen Satchell |
| Publisher | : Elsevier |
| Total Pages | : 299 |
| Release | : 2011-04-08 |
| Genre | : Business & Economics |
| ISBN | : 0080550673 |
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.*Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
| Author | : Bernd Scherer |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 422 |
| Release | : 2007-09-05 |
| Genre | : Business & Economics |
| ISBN | : 038727586X |
In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.
| Author | : F. Hagenstein |
| Publisher | : Springer |
| Total Pages | : 355 |
| Release | : 2004-10-01 |
| Genre | : Business & Economics |
| ISBN | : 0230523293 |
Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
| Author | : Bernhard Pfaff |
| Publisher | : John Wiley & Sons |
| Total Pages | : 448 |
| Release | : 2016-08-16 |
| Genre | : Mathematics |
| ISBN | : 1119119685 |
Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
