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John Wiley & Sons Theory and Methodology of Tactical Asset Allocation Cover Asset allocation has long been viewed as a safe bet for reducing risk in a portfolio. Asset allocato.. Product #: 978-1-883249-72-4 Regular price: $91.50 $91.50 In Stock

Theory and Methodology of Tactical Asset Allocation

Lee, Wai

Frank J. Fabozzi Series

Cover

1. Edition August 2000
X, 150 Pages, Hardcover
Wiley & Sons Ltd

ISBN: 978-1-883249-72-4
John Wiley & Sons

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Asset allocation has long been viewed as a safe bet for reducing risk in a portfolio. Asset allocators strive to buy when prices are low and sell when prices rise. Tactical asset allocation (TAA) practitioners tend to emphasize shorter-term adjustments, reducing exposure when recent market performance has been good, and increasing exposure in a slipping market (in contrast to dynamic asset allocation, or portfolio insurance). As interest in this technique continues to grow, J.P. Morgan's Wai Lee provides comprehensive coverage of the analytical tools needed to successfully implement and monitor tactical asset allocation.

Preface.

Acknowledgments.

About the Author.

1. Introduction.

2. Tactical Asset Allocation: A Portfolio Theory Perspective.

3. Performance Measures.

4. Performance Characteristics Under Imperfect Information.

5. Bias Therapy: Theory of Signal Filtering.

6. Portfolio Construction I: Optimal Aggressiveness Factors.

7. Portfolio Construction II: Black-Litterman Approach.

8. Epilogue on Portfolio Construction.

Bibliography.

Index.
Wai Lee is Director with the Global Structured Products Group of Credit Suisse Asset Management. He has published work on asset allocation, asset pricing, currency, interest rates, and quantitative methods in seven referred financial economics journals, and contributed chapters to books on fixed-income securities. Abstracts of his research appear in The CFA Digest. He is an Advisory Board member of the Journal of Portfolio Management. Prior to joining Credit Suisse Asset Management, Dr. Lee was the Head of Quantitative Research for the Global Balanced Group at J.P. Morgan Investment Management. Prior to joining J.P. Morgan, he was a Senior Research Associate in the Division of Research at Harvard Business School. Dr. Lee has taught finance and economics at both the graduate and undergraduate level, and in executive management programs. He holds a B.Sc.(Hon.) degree in mechanical engineering from the University of Hong Kong, and M.B.A. and Ph.D. degrees in finance and quantitative methods from Drexel University, and has done postdoctoral work at Harvard University.