Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 4

1 Chapter 2FIGURE 2.1 Efficient frontier.

2 Chapter 3FIGURE 3.1 Fractional contribution to total variance.

3 Chapter 4FIGURE 4.1 Log-wealth utility function.

4 Chapter 5FIGURE 5.1 Excess dispersion of US and emerging markets relative returnsFIGURE 5.2 Median R-squared from cross-sectional regression of sector return...FIGURE 5.3 Stylized iso-expected return curve balancing short- and long-hori...

5 Chapter 6FIGURE 6.1 Return observations for two assets.FIGURE 6.2 Subsamples of returns for assets X and Y where one or both assets...FIGURE 6.3 Expected upside and downside correlations for US and foreign deve...FIGURE 6.4 Expected and empirical upside and downside correlations for US an...FIGURE 6.5 Expected and empirical upside and downside correlations for US eq...FIGURE 6.6 Asset class pairs with most desirable and undesirable correlation...

6 Chapter 8FIGURE 8.1 Asset class and principal component efficient frontiers.

7 Chapter 10FIGURE 10.1 The instability of risk.FIGURE 10.2 Risk variation over time.

8 Chapter 11FIGURE 11.1 High leverage portfolios versus low leverage portfolios (control...FIGURE 11.2 Leverage and volatility: Motorola and Clorox.

9 Chapter 12FIGURE 12.1 Annual skewness, excess kurtosis, and statistical significance b...FIGURE 12.2 US and foreign equity returns (12-month horizon).FIGURE 12.3 Kinked utility function.FIGURE 12.4 S-shaped utility function.FIGURE 12.5 Expected utility for different allocations to stocks (5% increme...

10 Chapter 13FIGURE 13.1 Relevance and dependent variable values for a sample input.FIGURE 13.2 The most relevant observations.FIGURE 13.3 Prediction efficacy for partial sample regression versus traditi...

11 Chapter 14FIGURE 14.1 Illustration of single-period correlation.FIGURE 14.2 Correlation of model predictions and actual correlations.

12 Chapter 15FIGURE 15.1 Efficient surface.FIGURE 15.2 Iso-expected return curve.

13 Chapter 17FIGURE 17.1 Optimal allocation to real estate with and without adjustments....

14 Chapter 18FIGURE 18.1 Minimum-variance hedge ratio.FIGURE 18.2 Currency exposure as a percentage of portfolio value.FIGURE 18.3 Impact of hedging strategies on distribution of portfolio curren...

15 Chapter 19FIGURE 19.1 Components of estimation error.FIGURE 19.2 Monthly returns of US and emerging market equities.FIGURE 19.3 Five-year returns of US and emerging market equities.FIGURE 19.4 Constructing the stability-adjusted return distribution.FIGURE 19.5 Mixture of two normal distributions.FIGURE 19.6 Multivariate mixture of asset classes with unstable correlation....FIGURE 19.7 Stability adjustment improvement to optimization that ignores er...

16 Chapter 20FIGURE 20.1 Efficient frontier with borrowing and lending.FIGURE 20.2 Outperformance of leverage versus concentration.

17 Chapter 21FIGURE 21.1 Trading and suboptimality costs over two periods (basis points)....FIGURE 21.2 Rebalancing strategies: trade-off between transaction and subopt...FIGURE 21.3 Rebalancing strategies: performance.

18 Chapter 22FIGURE 22.1 Monthly correlation of US equities and Treasury bonds (five-year...FIGURE 22.2 Financial turbulence.FIGURE 22.3 Hidden Markov model regime probabilities.FIGURE 22.4 Hidden Markov model regime probability forecasts (out-of-sample)...FIGURE 22.5 Cumulative returns.

19 Chapter 24FIGURE 24.1 Scatter plot of US and foreign equities.

20 Chapter 25FIGURE 25.1 Kinked utility function.FIGURE 25.2 S-shaped utility function.