Dynamic Portfolio Theory and Management: Using Active Asset Allocation to Improve Profits and Reduce RiskMcGraw Hill Professional, 2004 - 323 ページ Introduces a time-adaptive procedure that addresses the issue and simplifies the decision-making process. This book reveals a model that: helps investors change allocations based on economic factors; optimizes multi-time periods into a single future time period; and assists forecasting of stock prices, bond prices, and interest rates. |
目次
Static Portfolio Theory | 1 |
Arbitrage Pricing Theory | 27 |
Factors Influencing Stock Returns | 39 |
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多く使われている語句
1-month Annual Return arbitrage Arbitrage Pricing Theory average bond returns bond yield capacity utilization cash Consensus considered Convertible Arbitrage corporate bond correlation date range default spread determined dividend discount model dividend yield dynamic asset allocation dynamic portfolio DynaPorte Economic employed equation estimates evaluated expected return federal funds rate forecasting formulation future global macro government bond hedge fund categories hedge fund index horizon impact indicate inflation influence interest rates interval investment returns investor Journal of Financial long-term government bond Low Low Low macroeconomic factors market timing models Markowitz model mean absolute deviation measures monthly objective function out-of-sample output gap performance month period policy reaction function predictability problem rate of return regression relationship S&P 500 performance shown in Table skewness standard deviation statistical stock and bond stock market returns stock returns T-bill rate T-Bills Model term spread transaction costs Treasury bill variables zero