Dynamic Portfolio Theory and Management: Using Active Asset Allocation to Improve Profits and Reduce Risk

前表紙
McGraw Hill Professional, 2004 - 323 ページ
An exciting new model for improved asset allocation accuracy in every market environment Modern Portfolio Theory (MPT) and asset allocation are the foundations on which most institutional investors base their decisions. But many aspects of MPT weren't designed for today's fast-changing markets. Dynamic Portfolio Theory and Management introduces a time-adaptive procedure that addresses this issue and simplifies the decision-making process. While asset allocation programs must adapt themselves to changing market conditions to succeed, how to accomplish that has been another matter. This book reveals a new model that: Helps investors change allocations based on economic factors Optimizes multi-time periods into a single future time period Assists forecasting of stock prices, bond prices, and interest rates

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目次

Static Portfolio Theory
1
Arbitrage Pricing Theory
27
Factors Influencing Stock Returns
39
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著者について (2004)

Richard Oberuc is chairman of the Foundation for Managed Derivatives Research, whose sponsors include Morgan Stanley, Goldman Sachs, and other firms. A veteran of more than 25 years in the financial industry, he is also the founder and owner of Burlington Hall Asset Management.

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