Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.

Download or read book Factor Investing and Asset Allocation A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Continuous Time Processes for Finance written by Donatien Hainaut and published by Springer Nature. This book was released on 2022-08-25 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.

Download or read book The Theory and Practice of Investment Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2011-04-05 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt: An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications, this book gives you a unique opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances. Contains new material on the latest tools and strategies for both equity and fixed income portfolio management Includes key take-aways as well as study questions at the conclusion of each chapter A timely updated guide to an important topic in today's investment world This comprehensive investment management resource combines real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within the investment management arena.

Download or read book Strategic Asset Allocation in Fixed Income Markets written by Ken Nyholm and published by John Wiley & Sons. This book was released on 2008-09-15 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this Enables readers to implement financial and econometric models in Matlab All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed All concepts and techniques are introduced from a basic level Chapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniques Chapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed form Chapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived - a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPM Chapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presented Supported by a website with online resources - www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises

Download or read book The Only Guide to a Winning Investment Strategy You ll Ever Need written by Larry E. Swedroe and published by Macmillan + ORM. This book was released on 2005-01-01 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment professional Larry E. Swedroe describes the crucial difference between "active" and "passive" mutual funds, and tells you how you can win the investment game through long-term investments in such indexes as the S&P 500 instead of through the active buying and selling of stocks. A revised and updated edition of an investment classic, The Only Guide to a Winning Investment Strategy You'll Ever Need remains clear, understandable, and effective. This edition contains a new chapter comparing index funds, ETFs, and passive asset class funds, an expanded section on portfolio care and maintenance, the addition of Swedroe's 15 Rules of Prudent Investing, and much more. In clear language, Swedroe shows how the newer index mutual funds out-earn, out-perform, and out-compound the older funds, and how to select a balance "passive" portfolio for the long hail that will repay you many times over. This indispensable book also provides you with valuable information about: - The efficiency of markets today - The five factors that determine expected returns of a balanced equity and fixed income portfolio - Important facts about volatility, return, and risk - Six steps to building a diversified portfolio using Modern Portfolio Theory - Implementing the winning strategy - and more.

Download or read book Hidden Markov Models for Time Series written by Walter Zucchini and published by CRC Press. This book was released on 2017-12-19 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data

Download or read book Investment Philosophies written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2012-06-22 with total page 615 pages. Available in PDF, EPUB and Kindle. Book excerpt: The guide for investors who want a better understanding of investment strategies that have stood the test of time This thoroughly revised and updated edition of Investment Philosophies covers different investment philosophies and reveal the beliefs that underlie each one, the evidence on whether the strategies that arise from the philosophy actually produce results, and what an investor needs to bring to the table to make the philosophy work. The book covers a wealth of strategies including indexing, passive and activist value investing, growth investing, chart/technical analysis, market timing, arbitrage, and many more investment philosophies. Presents the tools needed to understand portfolio management and the variety of strategies available to achieve investment success Explores the process of creating and managing a portfolio Shows readers how to profit like successful value growth index investors Aswath Damodaran is a well-known academic and practitioner in finance who is an expert on different approaches to valuation and investment This vital resource examines various investing philosophies and provides you with helpful online resources and tools to fully investigate each investment philosophy and assess whether it is a philosophy that is appropriate for you.

Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2007-08-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing.* Focuses on pragmatic applications * Relevant to a variety of risk-management industries* Analyzes models used in most financial sectors

Download or read book Strategic and Tactical Asset Allocation written by Henrik Lumholdt and published by Springer. This book was released on 2018-07-21 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Extreme Financial Risks written by Yannick Malevergne and published by Springer Science & Business Media. This book was released on 2006-01-16 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS

Download or read book From Resource Allocation to Strategy written by Joseph L. Bower and published by OUP Oxford. This book was released on 2005-10-27 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Joseph L. Bower and Clark G. Gilbert have collected together some of the leading experts on strategy to examine how strategy is actually made by company managers across the several levels of an organization. Is strategy a coherent plan conceived at the top by a visionary leader, or is it formed by a series of smaller decisions, not always reflecting what top management has in mind? Often it is by examining how options for using resources are developed and selected, that we can see how a company's competitive position gets shaped. On the basis of this understanding, we can see better how these processes can be managed. The book's five sections examine how the resource allocation process works, how the way it works can lead a company into serious problems, how top management can intervene to fix these problem, and where the most recent thinking on these problems is headed. A fifth section contains assessments of this work by thought leaders in the fields of economics, competitive strategy, organizational behavior, and strategic management. The implications for those who study firms are considerable. Activity that is normally thought about in terms of substantive outcomes such as market share and revenue growth, or present value and internal rate of return, is seen to be inextricably related to organizational and administrative questions. The findings presented here should inform the research of economists, strategists, and behavioral scientists. Thoughtful executives and those who consult with them will also find the book provocative. The processes described are complex, but clear enough so that the way toward effective management is apparent. The models developed provide a basis for building the systems and organization necessary for today's competitive world.

Download or read book Strategic Portfolio Management written by Katy Angliss and published by Taylor & Francis. This book was released on 2022-12-30 with total page 524 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a powerful insight into strategic portfolio management and its central role in the delivery of organisational strategy, maximisation of value creation, and efficient allocation of resources and capabilities to achieve organisational strategic objectives. The book makes a valuable contribution to the development of thinking on the translation of strategy into actionable work. Whether you are a senior manager building a high-performing strategic portfolio for your organisation or an academic searching for new perspectives on strategy execution through portfolio management, you will find great significance in this book. Twenty-eight chapters in four sections provide multiple perspectives on the topic, with in-depth guidance on organisational design for strategic portfolio management and covering all process, capability, and leadership aspects of strategic portfolio management. The book includes several detailed case studies for the effective deployment of strategic portfolios, bringing together theory and practice for strategic portfolio management. This book is particularly valuable for advanced undergraduate and postgraduate students of project and portfolio management, strategic management, and leadership who are looking to expand their knowledge within the multi-project environment. Highly practical and logical in its structure, it also shows project management professionals how to effectively manage their business portfolios and align this with their business strategy.

Download or read book Strategic Investment written by Han T. J. Smit and published by Princeton University Press. This book was released on 2012-01-12 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate finance and corporate strategy have long been seen as different sides of the same coin. Though both focus on the same broad problem, investment decision-making, the gap between the two sides--and between theory and practice--remains embarrassingly large. This book synthesizes cutting-edge developments in corporate finance and related fields--in particular, real options and game theory--to help bridge this gap. In clear, straightforward exposition and through numerous examples and applications from various industries, Han Smit and Lenos Trigeorgis set forth an extended valuation framework for competitive strategies. The book follows a problem-solving approach that synthesizes ideas from game theory, real options, and strategy. Thinking in terms of options-games can help managers address questions such as: When is it best to invest early to preempt competitive entry, and when to wait? Should a firm compete in R&D or adopt an accommodating stance? How does one value growth options or infrastructure investments? The authors provide a wide range of valuation examples, such as acquisition strategies, R&D investment in high-tech sectors, joint research ventures, product introductions in consumer electronics, infrastructure, and oil exploration investment. Representing a major step beyond standard real options or strategy analysis, and extending the power of real options and strategic thinking in a rigorous fashion, Strategic Investment will be an indispensable guide and resource for corporate managers, MBA students, and academics alike.

Download or read book 7Twelve written by Craig L. Israelsen and published by John Wiley & Sons. This book was released on 2010-07-02 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: A proven way to put together a portfolio that enhances performance and reduces risk Professor Craig Israelsen of Brigham Young University is an important voice in the area of asset allocation. The reason? He keeps things simple. Now, in 7Twelve, he shows you how to do the same, and demonstrates how his approach to investing can help you grow your money as well as protect it. 7Twelve outlines a multi-asset balanced portfolio that is a logical starting point when assembling a portfolio-either as the blueprint for the entire portfolio or as a significant building block. Page by page, he will show you how to create a balanced portfolio utilizing multiple asset classes to enhance performance and reduce risk. Discusses how the 7Twelve portfolio includes seven core asset classes and utilizes twelve specific mutual funds or exchange traded funds Details the tax efficiency of this specific investment approach Shows you how to use the 7Twelve portfolio as a pre-retirement accumulation portfolio or a post-retirement distribution portfolio If you want to build a well-balanced, multi-asset portfolio, 7Twelve is the book for you.

Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.