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Dynamic Asset Allocation Modern Portfolio Theory Updated for the Smart Investor

Book Description

Today's modern portfolio theory is not your father's MPT. It has undergone many changes in the past fifty years. Indeed, a new understanding of MPT has emerged, one that has a significant impact on managing asset allocation—especially in today's turbulent markets. Dynamic Asset Allocation interprets and integrates the developments in modern portfolio theory: from the efficient-market hypothesis and indexing of decades past to strategies for building winning portfolios today. The book is filled with practical, hands-on advice for investors, including guidance on approaching investment as a risk-management task.

Table of Contents

  1. Copyright
  2. Praise for Dynamic Asset Allocation
  3. Acknowledgments
  4. Introduction
  5. 1. In the Beginning ...
    1. 1.1. Buyers Beware
    2. 1.2. Securities Analysis, in Name and Substance
    3. 1.3. Chapter Notes
  6. 2. Inventing Portfolio Theory
    1. 2.1. Diversification and Beyond
    2. 2.2. Mr. Market's Portfolio
    3. 2.3. Random Discoveries
    4. 2.4. Efficiency Rules
    5. 2.5. Chapter Notes
  7. 3. Other Betas
    1. 3.1. The Illusion of Perfection
    2. 3.2. Refining CAPM
    3. 3.3. Rolling in Betas
    4. 3.4. What Does It All Mean?
    5. 3.5. Chapter Notes
  8. 4. Rethinking Random Walks and Efficient Markets
    1. 4.1. A Slight Complication
    2. 4.2. Fluctuating Opportunity... and Risk
    3. 4.3. Valuation and Reversals
    4. 4.4. Efficiency Without Random Walks
    5. 4.5. Rational Versus Random
    6. 4.6. No Free Lunches
    7. 4.7. Chapter Notes
  9. 5. The Market Portfolio Is the Benchmark
    1. 5.1. Start with the World
    2. 5.2. History Is a Guide, Not a Shortcut
    3. 5.3. Risk Management 101
    4. 5.4. Correlations and Diversification
    5. 5.5. Harnessing Volatility
    6. 5.6. Chapter Notes
  10. 6. Rebalancing The Natural Extension of Asset Allocation
    1. 6.1. The Strategic Foundation
    2. 6.2. Variations on a Theme
    3. 6.3. Rebalancing
    4. 6.4. The Mechanics of Rebalancing
    5. 6.5. The Myth of the Perfect Rebalancing Strategy
    6. 6.6. Chapter Notes
  11. 7. Tactical Asset Allocation The Devil and the Details
    1. 7.1. Inventing TAA
    2. 7.2. A Tactical Foundation
    3. 7.3. Change Is the Only Constant
    4. 7.4. Peering into the Future
    5. 7.5. Beyond Cash Flows
    6. 7.6. Correlation
    7. 7.7. The Economics of Satisfaction
    8. 7.8. Lower Risk
    9. 7.9. A Few Caveats...
    10. 7.10. Chapter Notes
  12. 8. Customizing Asset Allocation
    1. 8.1. Risk Tolerance
    2. 8.2. Investment Horizon
    3. 8.3. Distinguishing Your Risks
    4. 8.4. Chapter Notes
  13. 9. Equilibrium, Economics, and Estimates
    1. 9.1. Start with Equilibrium
    2. 9.2. In Search of Economic Context
    3. 9.3. Strategic Implications of the Economic Cycle
    4. 9.4. Historical Clues
    5. 9.5. Chapter Notes
  14. 10. What Have We Learned After Fifty Years?
    1. 10.1. Start at the Beginning
    2. 10.2. More Is Better
    3. 10.3. A Grand Unified Theory?
    4. 10.4. Chapter Notes
  15. Bibliography
  16. About the Author
  17. About Bloomberg