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Asset Allocation and Portfolio Optimization
Warren E. Bitters
Asset Allocation and Portfolio Optimization : Warren E. Bitters : Vision Books : Book (ISBN: 8170945712)
Pages: 212
Price: Rs. 395
Format: Paperback
ISBN13/10: / 8170945712
Availability: Yes
Latest Print in 2007
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Brinson, Hood, and
Beebower’s study of the late 1980s suggesting that asset allocation policy alone
explained as much as 93.6% of investment return stunned the professional
investing community. It implied that market timing and security selection are
far less influential factors in determining total return than asset allocation
policy. The startling conclusion led to tremendous focus on the importance of
asset allocation in the investment management process. This book provides a
penetrating survey of the increasingly sophisticated methods which have since
been developed and applied in this area. The book also dissects the many niche
subjects within asset allocation and offers new, rich insights, including:
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A critical review
of the validity and applicability of the Brinson, Hood and Beebower results.
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A number of new
models that look at the importance of asset allocation in different ways.
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The over-hyped
merits of dollar cost averaging and how it is actually an inferior alternative
to lump sum investing.
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The blending of new
findings about the importance of style analysis with the asset allocation
framework.
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Active asset
allocation: Cutting-edge findings on the ability of certain predictive
variables in determining future asset class returns.
The book also
explores important contemporary practices of portfolio optimization:
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The chances that
portfolio optimization improves the likelihood of achieving an investor’s
upside target.
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How Markowitz’s
portfolio theory can be modified to account for market imperfections.
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How Markowitz
theory can be combined with results from the exciting new field of behavioral
finance.
This book will help
professionals log on to the most important recent advancements in asset
allocation and portfolio optimization.
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Warren E. Bitters
Warren E. Bitters, CFA, is a Portfolio Manager with the Santa Barbara Bank & Trust where he is responsible for managing the investment portfolios of trust accounts, managed agencies, and qualified retirement plans.
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