Dynamic portfolio theory and management

Richard E. Oberuc

334 pages, parution le 27/10/2003

Ajouter à une liste

Indisponible

Résumé

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 werent designed for todays 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

Static Portfolio Theory
Arbitrage Pricing Theory
Factors Influencing Stock Returns
Factors Influencing Bond Returns
Factors Influencing Interest Rates
Factors Influencing Hedge Fund Returns
Predictability of Market Returns
Market Timing Methods and Results
Multiperiod Portfolio Theory
DynaPorte1" Model Description
DynaPorte1" Model Examples
Mean Absolute Deviation
Index

L'auteur - Richard E. Oberuc

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.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Mc Graw Hill
Auteur(s)	Richard E. Oberuc
Parution	27/10/2003
Nb. de pages	334
Format	16 x 23,5
Couverture	Relié
Poids	590g
Intérieur	Noir et Blanc
EAN13	9780071426695