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資產配置從業者指南 英文原版 A Practitioner's Guide to Asset Allocation Wi

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    A Practitioner's Guide to Asset Allocation


    Harry M. Markowitz (序言), William Kinlaw (作者), Mark P. Kritzman (作者), David Turkington (作者) 

    出版社: Wiley; 1 (2017年5月22日)

    叢書名: Wiley Finance

    精裝: 256頁

    語種: 英語

    ISBN: 1119397804

    條形碼: 9781119397809

    商品尺寸: 15.2 x 2.8 x 23.1 cm

    商品重量: 431 g

    ASIN: 1119397804


    商品描述

    作者簡介


    William Kinlaw, CFA, is a Senior Managing Di??rector and Global Head of State Street's academic affiliate, State Street Associates, a unique partnership that bridges the worlds of financial theory and practice.


    Mark P. Kritzman, CFA, is a Founding Partner and Chief Executive Officer of Windham Capital Management, LLC and the Chairman of Windham's investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates, and teaches a graduate course at the Massachusetts Institute of Technology.


    David Turkington, CFA, is a Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates.

    目錄


    Foreword by Harry Markowitz xi


    Preface xiii


    SECTION ONE Basics of Asset Allocation


    CHAPTER 1 What Is an Asset Class? 3


    Stable Aggregation 3


    Investable 4


    Internally Homogeneous 4


    Externally Heterogeneous 5


    Expected Utility 5


    Selection Skill 6


    Cost-Effective Access 6


    Potential Asset Classes 7


    References 8


    Notes 8


    CHAPTER 2 Fundamentals of Asset Allocation 9


    The Foundation: Portfolio Theory 9


    Practical Implementation 12


    References 23


    Notes 23


    SECTION TWO Fallacies of Asset Allocation


    CHAPTER 3 The Importance of Asset Allocation 27


    Fallacy: Asset Allocation Determines More Than 90 Percent of Performance 27


    The Determinants of Portfolio Performance 27


    The Behavioral Bias of Positive Economics 30


    The Samuelson Dictum 34


    References 34


    Notes 35


    CHAPTER 4 Time Diversification 36


    Fallacy: Time Diversifies Risk 36


    Samuelson’s Bet 36


    Time, Volatility, and Probability of Loss 36


    Time and Expected Utility 37


    Within-Horizon Risk 40


    A Preference-Free Contradiction to Time Diversification 41


    The Bottom Line 41


    References 42


    Notes 42


    CHAPTER 5 Error Maximization 43


    Fallacy: Optimized Portfolios Are Hypersensitive to Input Errors 43


    The Intuitive Argument 43


    The Empirical Argument 44


    The Analytical Argument 48


    The Bottom Line 52


    References 53


    Notes 53


    CHAPTER 6 Factors 54


    Fallacy: Factors Offer Superior Diversification and Noise Reduction 54


    What Is a Factor? 54


    Equivalence of Asset Class and Factor Diversification 55


    Noise Reduction 57


    Where Does This Leave Us? 59


    References 59


    Notes 59


    CHAPTER 7 1/N 60


    Fallacy: Equally Weighted Portfolios Are Superior to Optimized Portfolios 60


    The Case for 1/N 60


    Setting the Record Straight 61


    Empirical Evidence in Defense of Optimization 61


    Practical Problems with 1/N 62


    Broken Clock 63


    The Bottom Line 64


    References 64


    Note 64


    SECTION THREE Challenges to Asset Allocation


    CHAPTER 8 Necessary Conditions for Mean-Variance Analysis 67


    The Challenge 67


    Departures from Elliptical Distributions 68


    Departures from Quadratic Utility 71


    Full-Scale Optimization 73


    The Curse of Dimensionality 75


    Applying Full-Scale Optimization 77


    Summary 78


    References 79


    Notes 79


    CHAPTER 9 Constraints 80


    The Challenge 80


    Wrong and Alone 80


    Mean-Variance-Tracking Error Optimization 81


    References 85


    Note 85


    CHAPTER 10 Currency Risk 86


    The Challenge 86


    Why Hedge? 86


    Why Not Hedge Everything? 87


    Linear Hedging Strategies 90


    Nonlinear Hedging Strategies 96


    Economic Intuition 100


    References 101


    Notes 102


    CHAPTER 11 Illiquidity 103


    The Challenge 103


    Shadow Assets and Liabilities 103


    Expected Return and Risk of Shadow Allocations 105


    Other Considerations 107


    Case Study 108


    The Bottom Line 118


    Appendix 119


    References 120


    Notes 120


    CHAPTER 12 Risk in the Real World 121


    The Challenge 121


    End-of-Horizon Exposure to Loss 121


    Within-Horizon Exposure to Loss 123


    Regimes 124


    The Bottom Line 127


    References 127


    Notes 127


    CHAPTER 13 Estimation Error 128


    The Challenge 128


    Traditional Approaches to Estimation Error 129


    Stability-Adjusted Optimization 131


    Building a Stability-Adjusted Return Distribution 140


    Determining the Optimal Allocation 142


    Empirical Analysis 143


    The Bottom Line 146


    References 146


    Notes 147


    CHAPTER 14 Leverage versus Concentration 148


    The Challenge 148


    Leverage in Theory 148


    Leverage in Practice 150


    The Bottom Line 156


    References 157


    Notes 157


    CHAPTER 15 Rebalancing 158


    The Challenge 158


    The Dynamic Programming Solution 159


    The Markowitz–van Dijk Heuristic 163


    The Bottom Line 166


    References 167


    Notes 167


    CHAPTER 16 Regime Shifts 168


    The Challenge 168


    Predictability of Return and Risk 169


    Regime-Sensitive Allocation 169


    Tactical Asset Allocation 174


    The Bottom Line 179


    Appendix: Baum-Welch Algorithm 180


    References 181


    Notes 182


    SECTION FOUR Addendum


    CHAPTER 17 Key Takeaways 185


    CHAPTER 18 Statistical and Theoretical Concepts 192


    Discrete and Continuous Returns 192


    Arithmetic and Geometric Average Returns 193


    Standard Deviation 194


    Correlation 195


    Covariance 196


    Covariance Invertibility 196


    Maximum Likelihood Estimation 198


    Mapping High-Frequency Statistics onto Low-Frequency Statistics 198


    Portfolios 199


    Probability Distributions 200


    The Central Limit Theorem 201


    The Normal Distribution 201


    Higher Moments 201


    The Lognormal Distribution 202


    Elliptical Distributions 202


    Probability of Loss 203


    Value at Risk 203


    Utility Theory 204


    Sample Utility Functions 204


    Alternative Utility Functions 204


    Expected Utility 206


    Certainty Equivalents 206


    Mean-Variance Analysis for More Than Two Assets 207


    Equivalence of Mean-Variance Analysis and Expected Utility Maximization 208


    Monte Carlo Simulation 208


    Bootstrap Simulation 209


    References 210


    Note 210


    CHAPTER 19 Glossary of Terms 211


    Index 233

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