000865953 000__ 05502cam\a2200505Ii\4500
000865953 001__ 865953
000865953 005__ 20230306145803.0
000865953 006__ m\\\\\o\\d\\\\\\\\
000865953 007__ cr\cn\nnnunnun
000865953 008__ 180724s2018\\\\sz\\\\\\ob\\\\001\0\eng\d
000865953 019__ $$a1046098349
000865953 020__ $$a9783319895543$$q(electronic book)
000865953 020__ $$a3319895540$$q(electronic book)
000865953 020__ $$z9783319895536
000865953 020__ $$z3319895532
000865953 035__ $$aSP(OCoLC)on1045629735
000865953 035__ $$aSP(OCoLC)1045629735$$z(OCoLC)1046098349
000865953 040__ $$aN$T$$beng$$erda$$epn$$cN$T$$dN$T$$dEBLCP$$dYDX$$dOCLCF$$dFIE$$dNLE$$dUKMGB$$dMERER$$dOCLCQ$$dGW5XE
000865953 049__ $$aISEA
000865953 050_4 $$aHG4529.5
000865953 08204 $$a332.6$$223
000865953 1001_ $$aLumholdt, Henrik,$$eauthor.
000865953 24510 $$aStrategic and tactical asset allocation :$$ban integrated approach /$$cHenrik Lumholdt.
000865953 24614 $$aStrategic & tactical asset allocation
000865953 264_1 $$aCham, Switzerland :$$bPalgrave Macmillan,$$c[2018]
000865953 300__ $$a1 online resource.
000865953 336__ $$atext$$btxt$$2rdacontent
000865953 337__ $$acomputer$$bc$$2rdamedia
000865953 338__ $$aonline resource$$bcr$$2rdacarrier
000865953 504__ $$aIncludes bibliographical references and index.
000865953 5050_ $$aIntro; Preface; Acknowledgments; Contents; About the Author; List of Figures; List of Tables; Part I: Foundations; 1: Introduction toAsset Allocation; 1.1 Asset Allocation andAsset Classes; 1.2 The Asset Allocation Process; 1.3 Strategic andTactical Asset Allocation; 1.4 The Investment Process; Deviations fromtheTarget Weights oftheSAA; 1.5 Rebalancing; Buy-and-Hold; Constant Mix; Constant Proportion Portfolio Insurance; Why theNeed foraRebalancing Strategy?; An Empirical Study; 1.6 Conclusion; References; 2: Performance Evaluation; 2.1 Benchmarks; Broad Market Indices
000865953 5058_ $$aFundamentally Based IndicesStyle-Based Indices; Customized Indices; Asset Allocation Benchmarks; 2.2 Risk-Adjusted Performance; The Treynor Ratio; The Sharpe Ratio; Jensen's Alpha; The Information Ratio; M2; Practical Issues; 2.3 Performance Attribution; Calculating Differential Returns; The Brinson, Hood andBeebower ("BHB") Model; The Interaction Effect; An Example; The Brinson-Fachler ("BF") Model; 2.4 Conclusion; References; 3: Strategic Versus Tactical Asset Allocation; 3.1 Absolute Versus Relative Risk; The SAA asaDecision; 3.2 Market Efficiency; Micro-Efficiency
000865953 5058_ $$aMacro-Inefficiency3.3 The Importance ofAsset Allocation; 3.4 Time Diversification; The Importance ofTime Horizon; Terminal Wealth; Within-Horizon Risk; The Price ofOptions; Human Capital; 3.5 Conclusion; References; Part II: Strategic Asset Allocation; 4: Long-Term Return Expectations; 4.1 The Record; The Very Long Term; The Recent Past; Time Variation; 4.2 Macro-Fundamentals; 4.3 Default-Free Government Bonds; The Yield Curve; Central Bank Policy; Bond Returns: TheHistorical Record; How Do WeCreate Expectations AbouttheReturn onGovernment Bonds?; 4.4 The Credit Market
000865953 5058_ $$a4.5 EquitiesHow Important Are Macro-Fundamentals?; The Equity Risk Premium; The Dividend Discount Model; The Bogle Approach toDecomposing theEquity Return; Using Historical Valuations; The "Fed Model"; 4.6 Asset Returns Over theNext Ten Years; 4.7 Conclusion; References; 5: Optimizing theStrategic Asset Allocation; 5.1 Modern Portfolio Theory; 5.2 Problems withMVO; The Normality Assumption; Correlations; The Data Input; 5.3 Suggested Solutions; Risk Management; Alternative Return Distributions; Checking forRobustness; Imposing Portfolio Constraints; 5.4 Alternative Approaches
000865953 5058_ $$aEqual Weighting: 1/N ApproachRisk Parity; Factor-Based Optimization; 5.5 Conclusion; Technical Note: Finding Risk Parity Weights; References; 6: Factor Investing I; 6.1 Classification ofFactors; Overview; Factor Analysis; 6.2 The Theoretical Framework; From Single toMultifactor Models; 6.3 Empirical Research: Macro-Factors; 6.4 Empirical Research: Equity Style Factors; Value; Size; A Three-Factor Model; Momentum; Low Volatility; Quality; Liquidity; 6.5 Empirical Research: Corporate Bond Style Factors; References; 7: Factor Investing II; 7.1 What Explains Factor Rewards?
000865953 506__ $$aAccess limited to authorized users.
000865953 520__ $$aThis 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.--$$cProvided by publisher.
000865953 588__ $$aOnline resource; title from PDF title page (viewed July 25, 2018).
000865953 650_0 $$aAsset allocation.
000865953 650_0 $$aStrategic planning.
000865953 77608 $$iPrint version: $$z3319895532$$z9783319895536$$w(OCoLC)1028585657
000865953 852__ $$bebk
000865953 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-89554-3$$zOnline Access$$91397441.1
000865953 909CO $$ooai:library.usi.edu:865953$$pGLOBAL_SET
000865953 980__ $$aEBOOK
000865953 980__ $$aBIB
000865953 982__ $$aEbook
000865953 983__ $$aOnline
000865953 994__ $$a92$$bISE