A Practitioner's Guide to Asset Allocation. (Record no. 125998)
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| fixed length control field | 06494nam a22005173i 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC4856141 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240729131230.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240724s2017 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119402459 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781119397809 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC4856141 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL4856141 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaPaEBR)ebr11382766 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaONFJC)MIL1009584 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)983786794 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG4529.5.K565 2017 |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Kinlaw, William. |
| 245 12 - TITLE STATEMENT | |
| Title | A Practitioner's Guide to Asset Allocation. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | New York : |
| Name of producer, publisher, distributor, manufacturer | John Wiley & Sons, Incorporated, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2017. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2017. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (258 pages) |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley Finance Series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Section One: Basics of Asset Allocation -- Chapter 1: What Is an Asset Class? -- Stable Aggregation -- Investable -- Internally Homogeneous -- Externally Heterogeneous -- Expected Utility -- Selection Skill -- Cost-Effective Access -- Potential Asset Classes -- References -- Notes -- Chapter 2: Fundamentals of Asset Allocation -- The Foundation: Portfolio Theory -- Practical Implementation -- References -- Notes -- Section Two: Fallacies of Asset Allocation -- Chapter 3: The Importance of Asset Allocation -- Fallacy: Asset Allocation Determines More Than 90 Percent of Performance -- The Determinants of Portfolio Performance -- The Behavioral Bias of Positive Economics -- The Samuelson Dictum -- References -- Notes -- Chapter 4: Time Diversification -- Fallacy: Time Diversifies Risk -- Samuelson's Bet -- Time, Volatility, and Probability of Loss -- Time and Expected Utility -- Within-Horizon Risk -- A Preference-Free Contradiction to Time Diversification -- The Bottom Line -- References -- Notes -- Chapter 5: Error Maximization -- Fallacy: Optimized Portfolios Are Hypersensitive to Input Errors -- The Intuitive Argument -- The Empirical Argument -- The Analytical Argument -- The Bottom Line -- References -- Notes -- Chapter 6: Factors -- Fallacy: Factors Offer Superior Diversification and Noise Reduction -- What Is a Factor? -- Equivalence of Asset Class and Factor Diversification -- Noise Reduction -- Where Does This Leave Us? -- References -- Notes -- Chapter 7: 1/N -- Fallacy: Equally Weighted Portfolios Are Superior to Optimized Portfolios -- The Case for 1/N -- Setting the Record Straight -- Empirical Evidence in Defense of Optimization -- Practical Problems with 1/N -- Broken Clock -- The Bottom Line -- References -- Note -- Section Three: Challenges to Asset Allocation. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Chapter 8: Necessary Conditions for Mean-Variance Analysis -- The Challenge -- Departures from Elliptical Distributions -- Departures from Quadratic Utility -- Full-Scale Optimization -- The Curse of Dimensionality -- Applying Full-Scale Optimization -- Summary -- References -- Notes -- Chapter 9: Constraints -- The Challenge -- Wrong and Alone -- Mean-Variance-Tracking Error Optimization -- References -- Note -- Chapter 10: Currency Risk -- The Challenge -- Why Hedge? -- Why Not Hedge Everything? -- Linear Hedging Strategies -- Nonlinear Hedging Strategies -- Economic Intuition -- References -- Notes -- Chapter 11: Illiquidity -- The Challenge -- Shadow Assets and Liabilities -- Expected Return and Risk of Shadow Allocations -- Other Considerations -- Case Study -- The Bottom Line -- Appendix -- References -- Notes -- Chapter 12: Risk in the Real World -- The Challenge -- End-of-Horizon Exposure to Loss -- Within-Horizon Exposure to Loss -- Regimes -- The Bottom Line -- References -- Notes -- Chapter 13: Estimation Error -- The Challenge -- Traditional Approaches to Estimation Error -- Stability-Adjusted Optimization -- Building a Stability-Adjusted Return Distribution -- Determining the Optimal Allocation -- Empirical Analysis -- The Bottom Line -- References -- Notes -- Chapter 14: Leverage versus Concentration -- The Challenge -- Leverage in Theory -- Leverage in Practice -- The Bottom Line -- References -- Notes -- Chapter 15: Rebalancing -- The Challenge -- The Dynamic Programming Solution -- The Markowitz-van Dijk Heuristic -- The Bottom Line -- References -- Notes -- Chapter 16: Regime Shifts -- The Challenge -- Predictability of Return and Risk -- Regime-Sensitive Allocation -- Tactical Asset Allocation -- The Bottom Line -- Appendix: Baum-Welch Algorithm -- References -- Notes -- Section Four: Addendum -- Chapter 17: Key Takeaways. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Chapter 18: Statistical and Theoretical Concepts -- Discrete and Continuous Returns -- Arithmetic and Geometric Average Returns -- Standard Deviation -- Correlation -- Covariance -- Covariance Invertibility -- Maximum Likelihood Estimation -- Mapping High-Frequency Statistics onto Low-Frequency Statistics -- Portfolios -- Probability Distributions -- The Central Limit Theorem -- The Normal Distribution -- Higher Moments -- The Lognormal Distribution -- Elliptical Distributions -- Probability of Loss -- Value at Risk -- Utility Theory -- Sample Utility Functions -- Alternative Utility Functions -- Expected Utility -- Certainty Equivalents -- Mean-Variance Analysis for More Than Two Assets -- Equivalence of Mean-Variance Analysis and Expected Utility Maximization -- Monte Carlo Simulation -- Bootstrap Simulation -- References -- Note -- Chapter 19: Glossary of Terms -- Index -- EULA. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) | |
| Local note | Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Asset allocation. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kritzman, Mark P. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Turkington, David. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Markowitz, Harry M. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Kinlaw, William |
| Title | A Practitioner's Guide to Asset Allocation |
| Place, publisher, and date of publication | New York : John Wiley & Sons, Incorporated,c2017 |
| International Standard Book Number | 9781119397809 |
| 797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN) | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley Finance Series |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4856141">https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4856141</a> |
| Public note | Click to View |
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