Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 3

1 Chapter 2TABLE 2.1 Expected ReturnsTABLE 2.2 Standard Deviations and CorrelationsTABLE 2.3 Optimal Allocation to Stocks and BondsTABLE 2.4 Conservative, Moderate, and Aggressive Efficient PortfoliosTABLE 2.5 Exposure to LossTABLE 2.6 Distribution of Wealth 15 Years Forward (as a Multiple of Initial I...

2 Chapter 3TABLE 3.1 Standard Deviation, Correlation, and Relative Volatility

3 Chapter 4TABLE 4.1 Time, Volatility, and Probability of LossTABLE 4.2 Expected Wealth and Expected UtilityTABLE 4.3 Probability of a Within-Horizon 10% Loss

4 Chapter 5TABLE 5.1 Attribution of Excess Dispersion of Triennial Relative ReturnsTABLE 5.2 Monthly and Triennial Standard Deviations and Correlations

5 Chapter 6TABLE 6.1 Correlation Asymmetry of Mean-Variance and Full-Scale Optimal Portf...

6 Chapter 7TABLE 7.1 Country Expected Returns, Standard Deviations, and CorrelationsTABLE 7.2 Misestimated Country Expected ReturnsTABLE 7.3 Distortion in Optimal Country WeightsTABLE 7.4 Exposure to Loss for Correct and Incorrect Country WeightsTABLE 7.5 Asset Class Expected Returns, Standard Deviations, and CorrelationsTABLE 7.6 Misestimated Asset Class Expected ReturnsTABLE 7.7 Distortion in Optimal Asset Class WeightsTABLE 7.8 Exposure to Loss for Correct and Incorrect Asset Class WeightsTABLE 7.9 Sensitivity of Weights to Changes in Expected ReturnTABLE 7.10 Sensitivity of Portfolio Standard Deviation to Changes in Expected...

7 Chapter 8TABLE 8.1 Principal ComponentsTABLE 8.2 Instability of Industry, Size, Value, and Momentum Portfolios

8 Chapter 10TABLE 10.1 Characteristics of realized three-year volatilities

9 Chapter 11TABLE 11.1 Expected and Actual Volatility of Private Equity (December 1996–Se...

10 Chapter 12TABLE 12.1 Skewness over Increasing Return IntervalsTABLE 12.2 Excess Kurtosis over Increasing Return IntervalsTABLE 12.3 Expected Utility for 75/25 Percent Stock/Bond PortfolioTABLE 12.4 Expected Utility for 45/55 Percent Stock/Bond PortfolioTABLE 12.5 The Curse of DimensionalityTABLE 12.6 Full-Scale and Mean-Variance Allocations and Characteristics

11 Chapter 13TABLE 13.1 Equivalence of Prediction from Linear Regression and Relevance-Wei...

12 Chapter 14TABLE 14.1 Henriksson–Merton Scores: Positive Versus Negative

13 Chapter 15TABLE 15.1 Potential Absolute and Relative Performance Outcomes

14 Chapter 16TABLE 16.1 Return and Risk Assumptions for Asset Classes and FactorsTABLE 16.2 Factor-Sensitive Optimal PortfoliosTABLE 16.3 Conditional Average Annual Returns of Factor-Sensitive Optimal Por...

15 Chapter 17TABLE 17.1 Expected Returns, Standard Deviations, and Correlations (Unadjuste...TABLE 17.2 Optimal Allocations Including and Excluding Real Estate (Unadjuste...TABLE 17.3 Expected Returns, Standard Deviations, and Correlations (Adjusted ...TABLE 17.4 Expected Return and Standard Deviation of Shadow Asset and Liabili...TABLE 17.5 Expected Returns, Standard Deviations, and Correlations (Adjusted ...TABLE 17.6 Optimal Allocations Accounting for Performance Fees, Valuation Smo...

16 Chapter 18TABLE 18.1 Linear Hedging Strategies and Their ConstraintsTABLE 18.2 Expected Returns, Standard Deviations, and Correlations for Assets...TABLE 18.3 Risk-Minimizing Hedge Ratios (%)TABLE 18.4 Hedging Performance with Individual Quarterly Put Options (%)TABLE 18.5 Full-Scale Optimal Hedging Results with Forwards and Options (%)

17 Chapter 19TABLE 19.1 Risk Instability Across Asset Classes (in Standardized Units)TABLE 19.2 Full-Scale OptimizationTABLE 19.3 Mean-Variance Approach to Stability Optimization

18 Chapter 20TABLE 20.1 Leverage Versus Concentration in TheoryTABLE 20.2 Leverage Versus Concentration with Nonelliptical Returns and Kinke...TABLE 20.3 Asset Class Semi-Standard DeviationsTABLE 20.4 Leverage Versus Concentration with Estimation ErrorTABLE 20.5 Leverage Versus Concentration with Borrowing CostsTABLE 20.6 Leverage Versus Concentration with Kinked Utility, Nonellipticalit...

19 Chapter 21TABLE 21.1 Return Distribution and Expected Log-Wealth Utility for a 60/40 Po...TABLE 21.2 Asset Class Transaction CostsTABLE 21.3 Performance of Rebalancing Strategies

20 Chapter 22TABLE 22.1 Risk Characteristics in Turbulent and Nonturbulent RegimesTABLE 22.2 Full-Sample and Regime-Conditioned Optimal PortfoliosTABLE 22.3 Hidden Markov Model Fit and Conditional Asset Class PerformanceTABLE 22.4 Backtest Performance

21 Chapter 23TABLE 23.1 Current Path and Prospective ScenariosTABLE 23.2 Initial RevisionsTABLE 23.3 Revised Scenario ProbabilitiesTABLE 23.4 Asset Class ReturnsTABLE 23.5 Portfolio Returns

22 Chapter 24TABLE 24.1 Conditional Annualized Returns to Risky Assets January 1976–Decemb...TABLE 24.2 Value at Risk (1%)TABLE 24.3 Probability of 35.9% or Greater Loss