Dynamic Asset Allocation: Modern Portfolio Theory Updated for the Smart Investor
Today’s modern portfolio theory is not your father’s MPT. It has undergone many changes in the past fifty years. Indeed, a new understanding of MPT has emerged, one that has a significant impact on managing asset allocation—especially in today’s turbulent markets. Dynamic Asset Allocation interprets and integrates the developments in modern portfolio theory: from the efficient-market hypothesis and indexing of decades past to strategies for building winning portfolios today. The book is...
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Today’s modern portfolio theory is not your father’s MPT. It has undergone many changes in the past fifty years. Indeed, a new understanding of MPT has emerged, one that has a significant impact on managing asset allocation—especially in today’s turbulent markets. Dynamic Asset Allocation interprets and integrates the developments in modern portfolio theory: from the efficient-market hypothesis and indexing of decades past to strategies for building winning portfolios today. The book is filled with practical, hands-on advice for investors, including guidance on approaching investment as a risk-management task."Picerno's look at modern portfolio theory's evolution offers a timely reminder that the design and management of asset allocation is still the critical element for successful investing." — Harold Evensky, CFPPresident, Evensky & Katz Wealth Management"What Peter Bernstein did for the history of portfolio theory in Capital Ideas, Picerno does for its real-world application. He captures the nuanced soup of theory, markets, and investor behavior better than any other writer on investing."— Patrick GeddesCofounder and Chief Investment Officer, Aperio GroupFormer CFO and Director of Quantitative Research, Morningstar Inc."Picerno puts the tires to the pavement on Peter Bernstein's 2003 proclamation that the policy portfolio is dead. Picerno masterfully articulates the implications that follow from the notion that although the market portfolio may be efficient, markets may not be."— Rodney N. Sullivan, CFAEditor, Financial Analysts Journal at CFA Institute"Dynamic Asset Allocation is cogently written in a very readable style. James Picerno presents readers with a wonderful history of the developments in asset allocation and then profides an excellent frameword for investors to utitilize the discipline of asset allocation in their own portfolio-composition process. Any serious investor will want to have this book in their library."— Gary P. BrinsonPresident, GP Brinson Investments
Introduction 11 In the Beginning 112 Inventing Portfolio Theory 203 Other Betas 414 Rethinking Random Walks and Efficient Markets 615 The Market Portfolio Is the Benchmark 936 Rebalancing 1237 Tactical Asset Allocation 1518 Customizing Asset Allocation 1879 Equilibrium, Economics, and Estimates 20410 What Have We Learned After Fifty Years? 232Bibliography 250Index 267
