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William Kinlaw
Asset Allocation
Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 1
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Страница 1
Table of Contents
List of Tables
List of Illustrations
Guide
Pages
Praise for the first edition: “A Practitioner’s Guide to Asset Allocation”
Asset Allocation
From Theory to Practice and Beyond
Страница 9
Foreword to the First Edition
Preface
Key Takeaways Chapter 1: What Is an Asset Class?
Chapter 2: Fundamentals of Asset Allocation
Chapter 3: The Importance of Asset Allocation
Chapter 4: Time Diversification
Chapter 5: Divergence
Chapter 6: Correlation Asymmetry
Chapter 7: Error Maximization
Chapter 8: Factors
Chapter 9: 1/N
Chapter 10: Policy Portfolios
Chapter 11: The Private Equity Leverage Myth
Chapter 12: Necessary Conditions for Mean-Variance Analysis
Chapter 13: Forecasting
Chapter 14: The Stock–Bond Correlation
Chapter 15: Constraints
Chapter 16: Asset Allocation Versus Factor Investing
Chapter 17: Illiquidity
Chapter 18: Currency Risk
Chapter 19: Estimation Error
Chapter 20: Leverage Versus Concentration
Chapter 21: Rebalancing
Chapter 22: Regime Shifts
Chapter 23: Scenario Analysis
Chapter 24: Stress Testing
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 E-V Maxim
Expected Return
Risk
Efficient Frontier
The Optimal Portfolio
PRACTICAL IMPLEMENTATION
Required Conditions
Asset Classes
Estimating Expected Returns
Estimating Standard Deviations and Correlations
Efficient Portfolios
Matrix Inversion
THE SHARPE ALGORITHM
The Optimal Portfolio
REFERENCES
NOTES
CHAPTER 3 The Importance of Asset Allocation FALLACY: ASSET ALLOCATION DETERMINES MORE THAN 90% OF PERFORMANCE
THE DETERMINANTS OF PORTFOLIO PERFORMANCE
Fundamental Flaw
A Practical View on Importance
Reductio ad Absurdum
THE BEHAVIORAL BIAS OF POSITIVE ECONOMICS
Determining Relative Importance Analytically
Determining Relative Importance by Simulation
THE SAMUELSON DICTUM
THE BOTTOM LINE
RELATED TOPICS
REFERENCES
NOTES
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