Asset Allocation

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The Intelligent Asset Allocator: How to Build Your Portfolio to Maximize Returns and Minimize Risk

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“Bernstein has become a guru to a peculiarly '90s group: well-educated, Internet-powered people intent on investing well--and with minimal ‘help' from professional Wall Street.”--Robert Barker, BusinessWeek William Bernstein is one of today's most unlikely financial heroes. A practicing neurologist, he used his self-taught investment knowledge and research to build a popular investor's website. Now, in the plain-spoken The Intelligent Asset Allocator, he shows independent investors how to build a diversified portfolio--without the help of a financial advisor.

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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

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Mathematically rigorous and meticulously organized, ACTIVE PORTFOLIO MANAGEMENT broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk--i.e., portfolios that consistently beat the market--this hallmark book helped thousands of investment managers. ACTIVE PORTFOLIO MANAGEMENT, SECOND EDITION, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems--and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of--and increasing the profits from--active investment management.

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Efficient Asset Management : A Practical Guide to Stock Portfolio Optimization and Asset Allocation

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In his new book, Michaud argues that the problem lies with the conventional perception of optimization as a numerical computation; this view has severely restricted the typical manager's understanding of inherent limitations--and resulted in optimized portfolios that frequently fall short of their potential. If, instead, managers approach optimization as a statistical estimation, Michaud argues, they can resolve many of the serious limitations. Michaud identifies and explains five powerful techniques--improved estimation, application of benchmark priors, integration of active forecasts, tests for efficiency, and tests for portfolio weights--that portfolio managers can use to reduce errors, increase precision, and enhance the value of seemingly optimized portfolios, and he illustrates the impact of each method with a simple asset allocation problem.

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Portfolio Theory and Capital Markets

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William Sharpe's seminal work, Portfolio Theory and Capital Markets, is as relevant today as it was when it was first published in 1970. This important book synthesized several related areas of portfolio theory and the theory of capital markets, and not only expalined portfolio construction and capital markets, but also discussed the economics of uncertainty (risk) and investments. Today a person cannot study finance and investments without learning about William Sharpe, Portfolio Theory, CAPM, and the Sharpe ratio. Dr. Sharpe has written a new foreword that will help place this important work in a meaningful context in today's financial world. In 1990, Dr. Sharpe was awarded the Nobel Prize in Economics with Harry Markowitz and Merton Miller for the development of the CAPM (the Capital Asset Pricing Model). Sharpe's theoretical insights into CAPM became the basis for modern portfolio theory, derivatives, and equity-index funds, three of today's most important topics and financial instruments. Dr. Sharpe has continuously crafted several financial tools that portfolio managers and individuals use routinely to better comprehend investment risk, including return-based style analysis (the Sharpe ratio).

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Equity Management: Quantitative Analysis for Stock Selection

Editorial Reviews
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Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing.

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Modern Investment Theory

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This text offers accurate and intuitive coverage of investments, with an emphasis on portfolio theory. It includes extensive discussion of capital asset pricing, arbitrage pricing, pricing of derivative securities, interest rates, and bond management. Stock valuation, estimating future earnings and dividends, and fixed income markets are examined closely.

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Global Asset Allocation : Techniques for Optimizing Portfolio Management (Wiley Finance Edition)

Editorial Reviews
From AMAZON.COM

Discusses the most promising portfolio management strategies in use today—from asset liability forecasting and target asset allocation to the critical time-horizon and implementing overlay strategies. Contains the latest global asset allocation models, forecasting techniques and optimization methods, including passive and active portfolio strategies. Features a special section on chaos theory and its applications to global allocation techniques.

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