Table of contents for Dynamic portfolio theory and management : using active asset allocation to improve profits and reduce risk / by Richard E. Oberuc.


Bibliographic record and links to related information available from the Library of Congress catalog. Note: Contents data are machine generated based on pre-publication information provided by the publisher. Contents may have variations from the printed book or be incomplete or contain other coding.


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Contents
						
1. Static Portfolio Theory				
	The Markowitz Mean-Variance Model
	Basic Assumptions of the Markowitz Mean-Variance Model
	Perceived Difficulties with the Mean-Variance Model
	Other Static Asset Allocation Approaches
	Summary
	
2. Arbitrage Pricing Theory	
Description of the APT XE "APT" 	 "See Arbitrage pricing theory"  Model
Factor Analysis Approach
Fundamental Macroeconomic Factor Approach
Parameter Estimation Methodologies
Time-Varying Risk Premiums
Problems with Parameter Estimation
Must Risk Premia / Expected Returns be Determined?
Missing Final Step to Asset Allocation		
3. Factors Influencing Stock Returns	
Searching for a Fundamental Approach
Factors Investigated for an Equity Return Model
Dividend Yields
Industrial Production
Interest Rate	
Term Spread
Default Spread
Inflation
Exchange Rates
GNP or GDP
Trade or Trade Balance
Money Supply
Unemployment
Equity Returns Reversion to the Mean
January Effect
Other Factors Found to be Significant
Other Considerations
Annual Return Factor Model for Stocks
Monthly Return Factor Model for Stocks
4. Factors Influencing Bond Returns		
A Fundamental Approach
Factors Investigated for a Bond Return Model
Term Spread
Default Spread
Interest Rates
Inflation
Dividend Yield
Bond Returns or Bond Yield Reversion to the Mean
Equity Returns Reversion to the Mean
Other Factors Found to be Significant
Annual Return Factor Model for Bonds
Monthly Return Factor Model for Bonds
	
5. Factors Influencing Interest Rates		
Fundamental Approaches
Factors Investigated for an Interest Rate Return Model
Actual Inflation
Expected Inflation
Actual Output Gap
Expected Output Gap
Previous Federal Funds Rate
Money Supply
Unemployment Level
Unemployment Change
Other Factors Investigated
Monthly Return Factor Model for Interest Rates
6. Factors Influencing Hedge Fund Returns
Hedge Fund Categories Selected
Searching for a Fundamental Approach
Factors Investigated for Hedge Fund Return Models
Stock Market Return Index
Bond Market Return Index
Small Minus Big Stock Capitalization
High Minus Low Value Stocks
Up-Minus-Down or Return Momentum
Default Spread
Commodity Index
Currency Index
Stock Options or Stock Return Volatility
Summary of Factors Influencing Hedge Funds
Monthly Return Factor Model for Hedge Fund Categories
7. Predictability of Market Returns		
Measures of Predictability
Difficulties Leading to Poor Predictability
Reports of Good Predictability
Reports of Poor Predictability
Predictability Versus Profitability
What Can be Done to Increase Predictability?
8. Market Timing Methods and Results
Market Timing versus Dynamic Asset Allocation
Maximum Possible Gain from Market Timing
Market-Timing Model Performance
Market-Timing Money Manager Performance
Review	
9. Multi-Period Portfolio Theory
Multi-Period Models with Predictable Returns
Risk Measures
Merton (1969, 1971, 1973)
Brennan, Schwartz and Lagnado (1997)
Brandt(1999)
Barberis (2000)
Lynch and Balduzzi (2000)
Aït-Sahalia and Brandt (2001)
Campbell, Chan and Viceira (2003)
Brandt, Goyal and Santa-Clara (2001)
Klemkosky and Bharati (1995)
The Effect of Uncertainty in the Predictive Relationships	
10. DynaPorte Model Description
Model Objectives
DynaPorte Model Formulation
DynaPorte Advantages
DynaPorte Shortcomings
Perspective
11. DynaPorte Model Examples			
U.S. Stocks and T-Bill Model
Stocks, Bonds and T-Bill Model
Two Stocks, Two Bonds and T-Bill Model
Four Stock Sectors, Government Bonds and Cash Model
Stocks, Bonds and Five Hedge Fund Categories
Review of the DynaPorte Dynamic Model Performance			
12. Mean Absolute Deviation			
Advantages/Disadvantages of Least Squares
Advantages/Disadvantages of Mean Absolute Deviation
Do MAD and LS Obtain Similar Model Coefficients?
Does MAD Produce Better Forecasts than Least Squares?
Should we Prefer MAD to LS?
Author Index					
Subject Index	
 

Library of Congress Subject Headings for this publication: Portfolio management, Investment analysis