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Return Targets and Shortfall Risk: Studies in Strategic Asset Allocation
Martin L. Leibowitz ,
Lawrence N. Bader , and
Stanley Kogelman
Manufacturer: Irwin Professional Publishing
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ASIN: 1557389160 |
Book Description
Return Targets and Shortfall Risks explores how to maintain a consistent risk/reward posture as interest rates and other fundamental market conditions change. It covers several critical investment issues, from hedging to yield curve positioning and many others.
Book Description
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors---both individuals and institutions such as charitable foundations or universities---seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities---both interest rates and risk premia on bonds and stocks---vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Customer Reviews:
An Excellent Book.......2007-01-12
Having taken only two semesters of undergraduate econometrics, I still understood the vast majority of the material. This is an excellent book that shows how a wide variety of trading strategies are implemented, in theory and in practice. It is well-written and fascinating, and I urge anyone interested in quantitative trading to read it.
Very nice, theoretical book.......2004-05-13
This is a relatively good book on the consumption/investment problem for long-term investing.
To know whether it is appropriate for you, you need to realize that the "problem" the book addresses is the (now classical) consumption/investment problem from the standpoint of financial economics.
I would say it is not a practioner's book....mostly because practitioners usually do not have the specific background in math and economics, not because the ideas cannot be applied.
The ideas you will take away are at a very fundamental level. Not at the "how to" level.
I agree that most of what is covered in the book cannot be implemented in Excel. However, that statement applies to most of the interesting (and practical) problems in finance.
No one who uses Amazon's "search" feature to examine the book will be disappointed. If you bought this based on title alone, you could easily be let down.
Too theoretical.......2003-01-11
This 200-page volume is better described as an academic monograph that extends the classic mean-variance asset allocation model in a multiple-period setting, hence the marketing claim "portfolio choice for long-term investors." The book will be interesting to those studying finance Ph.D. looking for a good survey -- the latter chapters resember papers in academic journals -- but is entirely impractical to the average investor or even, IMHO, most money managers. Much of the stuff cannot even be implemented on your Excel spreadsheet! So what you have is a very boring and inaccessible book that won't teach you a thing about how to practice strategic asset allocation.
Not for the average investor.......2002-08-29
I bought this book based on a brief review in the Economist. It was way over my head. I'm a serious individual investor with training in math but found the tone of the book to be fairly esoteric and of little practical use.
Just very good.......2002-04-09
This book sums up recent research on the "strategic" (as opposed to "tactical", see eg Wai Lee's recent good book) asset allocation decisions - those of people wanting to design a portfolio for the very long term.
I am a practitioner, but this is not a practicioners' book on many counts: some of the formalism is hard (eg chap 5 on continuous-time models), it does not include rules of thumb, its basic framework requires a lot of effort to translate into numeric advice (10% cash, 40% bonds, 50% equity or suchlike). A PFP system based on this is some way off (also because real estate is left out).
Yet: (a) the book saves you a lot of time catching up with the literature; (b) it does dispel some bad criticisms of modern portfolio theory, especially in the first two chapters which are extremely useful as a reminder of basic dynamic theory; (c) it does throw in real-world considerations such as why do we advise older people to hold more conservative portfolios, what does labor income do to the basic model, why are bonds advised at all, the "asset allocation puzzle" etc.
You end up your quest for knowledge much the wiser having read this - and my quest was not effortless. I read this book (actually the Web version) while on a summer vacation. Got up every morning at 7 and worked about one hour at a time, first reading, the following day taking notes. In two weeks I sweated it out. It was worth it, and I bought the book too (the physical book is much leaner than the printout).
Book Description
This digital document is a journal article from Journal of Empirical Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In this paper, we report the first empirical tests concerning the international investment strategies of a panel of investment houses from 1982 through 1999. The previously untapped data for this study comes from surveys published in the Financial Report, a confidential newsletter purchased by The Economist Newspaper, in 1989. In the surveys, the investment houses recommend portfolio allocations among equity, bonds, and cash, as well as equity holdings across six country categories. We test whether changes in these portfolio weights are consistent with the notion of momentum trading. That is, we test whether the recommended weights change in response to relative asset return performance in previous periods. We find evidence of momentum trading for strategic asset allocations to equities and cash as well as evidence of momentum trading for country-specific, or tactical, equity allocations. In addition, we find the results differ conditional upon the recommended weights to bonds. Specifically, investment houses that recommend a lower percentage to bonds, on average, are more likely to engage in momentum trading for equities. We find no evidence that changes in portfolio weights are consistent with changes in value-investing variables or with changes in macroeconomic variables.
Book Description
This digital document is a journal article from Journal of Economic Dynamics and Control, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a risky asset follows an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.
Book Description
This digital document is an article from National Underwriter Life & Health, published by The National Underwriter Company on August 23, 2004. The length of the article is 1257 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
Citation Details
Title: Using variable universal life in a tactical asset allocation strategy: it is different and less familiar than strategic asset allocation.(Focus VUL)(variable universal life insurance)
Author: Brett W. Berg
Publication:
National Underwriter Life & Health (Magazine/Journal)
Date: August 23, 2004
Publisher: The National Underwriter Company
Volume: 108
Issue: 32
Page: 17(2)
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The art of lifetime speculation: Strategic asset allocation
Edward A Nargizian
Manufacturer: Flagship Press
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Binding: Unknown Binding
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ASIN: B0006FDI3A |
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Euro-Par 2001 Parallel Processing: 7th International Euro-Par Conference Manchester, UK August 28-31, 2001 Proceedings (Lecture Notes in Computer Science)
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback
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ASIN: 3540424954 |
Book Description
This book constitutes the refereed proceedings of the 7th European Conference on Parallel Computing, Euro-Par 2001, held in Manchester, UK in August 2001. The 69 revised regular papers and 39 research notes presented together with five invited contributions were carefully reviewed and selected from a total of 207 submissions. All aspects of parallel computing and its applications are addressed. There is section on tools and environments, performance evaluation, scheduling and load balancing, compilers, databases and knowledge discovery, complexity theory, high-performance computing applications, architecture, distributed systems and algorithms, programming, numerical algorithms, routing and interconnection networks, cluster computing, metacomputing and grid computing, parallel and distributed embedded systems, etc.
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Euro-Par'98 Parallel Processing: 4th International Euro-Par Conference, Southampton, UK, September 1-4, 1998, Proceedings (Lecture Notes in Computer Science)
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback
Parallel Processing Computers
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ASIN: 3540649522 |
Book Description
This book constitutes the refereed proceedings of the 4th International Conference on Parallel Processing, Euro-Par'98, held in Southampton, UK, in September 1998.The Euro-Par'98 conference is organized in initially 23 workshops addressing all current topics in parallel processing ranging from hardware via software and algorithms to applications. The book presents a total of 134 revised papers selected from a total of 238 submissions from 33 countries. The selection of the papers is based on more than 850 individual reviews. The book presents the state of the art in parallel processing research and development.
Book Description
Word count: 463.
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The UK and the Euro
Paul Temperton
Manufacturer: Wiley
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Binding: Hardcover
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ASIN: 0471499552 |
Book Description
Should the UK adopt the euro? One of the key questions currently facing the country. The answer has implications for the UK, Europe and the world economy. Without using economic jargon, Paul Temperton clearly explains for the general reader the case for and against the UK adopting the euro and what the likely affects of each course of action will be. With the help of cartoons and a clear style that make complex economic ideas understandable, The UK and the Euro details all of the key issues in the controversy, while offering a clear and impartial look at both sides.
Book Description
This digital document is an article from Quick Frozen Foods International, published by Thomson Gale on October 1, 2006. The length of the article is 4321 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
Citation Details
Title: Frozen food growth spreads eastward; sales fall 5.3% in UK, basics decline: industry falters in Britain and in such basic categories as potato products and ready meals. Chilled meals challenge frozen. Eastern Europe shows stronger growth, but consumption levels remain far below those for Western Europe.(2006 GLOBAL FROZEN FOODS ALMANAC)
Author: John J. Pierce
Publication:
Quick Frozen Foods International (Magazine/Journal)
Date: October 1, 2006
Publisher: Thomson Gale
Volume: 48
Issue: 2
Page: 114(6)
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Preparing for the Euro: What Uk Companies Must Do to Be Ready (Executive Briefings)
Colin Stringer
Manufacturer: Financial Times Management
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Binding: Paperback
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ASIN: 0273659138 |
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This digital document is an article from Household & Personal Products Industry, published by Thomson Gale on November 1, 2006. The length of the article is 1884 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
Citation Details
Title: UK & Spain post gains, in a weak color segment.(Euro Trends)
Author: Georgina Caldwell
Publication:
Household & Personal Products Industry (Magazine/Journal)
Date: November 1, 2006
Publisher: Thomson Gale
Volume: 43
Issue: 11
Page: 40(3)
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This digital document is an article from Food Trade Review, published by Food Trade Press Ltd. on September 1, 2003. The length of the article is 483 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
Citation Details
Title: Websites and events.(informalia; Euro Daewoo UK Ltd.--Lift Truck Division www.eurodaewoo.co.uk; Royal Institute of Public Health seminar)
Publication:
Food Trade Review (Magazine/Journal)
Date: September 1, 2003
Publisher: Food Trade Press Ltd.
Volume: 73
Page: 523(1)
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