Modern asset allocation for wealth management. (2020)

• Record Type: Book
• Further Information: Note: Edited by David Berns.
• Authors: Berns, David M
• Editors: Berns, David
• Contents: Preface vii Acknowledgments xiii Chapter 1 Preliminaries 1 Expected Utility 2 Introduction 2 MPT is an Approximation 5 Higher Moment Motivation 8 Modernized Preference Motivation 13 A Modern Utility Function 15 Returns-Based EU Maximization 21 Estimation Error 23 Introduction 23 Minimizing Estimation Error 24 Reducing Sensitivity to Estimation Error 28 A Modern Definition of Asset Allocation 30 Chapter 2 The Client Risk Profile 33 Introduction 33 Measuring Preferences 34 Risk Aversion 34 Loss Aversion 39 Reflection 41 Lottery Question Sizing 43 Incorporating Goals 43 Preference Moderation via SLR 43 Discretionary Wealth 48 Comparison with Monte Carlo 51 Comparison with Glidepaths 52 Chapter 3 Asset Selection 55 Introduction 55 Moment Contributions 57 Overview 57 Calculation 59 Utility Contribution 62 Mimicking Portfolios 63 A New Asset Class Paradigm 66 Overview 66 A Review of Risk Premia 67 From Assets to Asset Classes 73 Chapter 4 Capital Market Assumptions 79 Introduction 79 Using History as Our Forecast 81 Background 81 Estimation Error and Sample Size 83 Stationarity: Does History Repeat? 89 Adjusting Forecasts 91 Pre-Tax Adjustments 91 Post-Tax Adjustments 93 Chapter 5 Portfolio Optimization 97 Introduction 97 Optimization Results 98 To MPT or Not to MPT? 103 Asset Allocation Sensitivity 105 Final Remarks 109 Bibliography 111 Index 113
• Edition: 1st
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2020
• Extent: 1 online resource
• Subjects: 332.6; Asset allocation; Investments; Portfolio management
• Languages: English
• ISBNs: 9781119566977; 9781119567004
• Related ISBNs: 9781119566946
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.