Modern Asset Allocation for Wealth Management

Modern Asset Allocation for Wealth Management

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Bibliographic Details
Main Author: Berns, David M.
Format: eBook
Language:English
Published: Newark : John Wiley & Sons, Incorporated, 2020.
Series:Wiley Finance Ser.
Subjects:
Investments > Management.
Portfolio management > Statistical methods.
Investments.
Investments > Management
Online Access:Click for online access
Table of Contents:
  • Cover
  • Title Page
  • Copyright
  • Contents
  • Preface
  • Acknowledgments
  • Chapter1 Preliminaries
  • Expected Utility
  • Introduction
  • MPT Is an Approximation
  • Higher Moment Motivation
  • Modernized Preference Motivation
  • A Modern Utility Function
  • Returns-Based EU Maximization
  • Estimation Error
  • Introduction
  • Minimizing Estimation Error
  • Reducing Sensitivity to Estimation Error
  • A Modern Definition of Asset Allocation
  • Chapter 2 The Client Risk Profile
  • Introduction
  • Measuring Preferences
  • Risk Aversion
  • Loss Aversion
  • Reflection
  • Lottery Question Sizing
  • Incorporating Goals
  • Preference Moderation via SLR
  • Discretionary Wealth
  • Comparison with Monte Carlo
  • Comparison with Glidepaths
  • Chapter3 Asset Selection
  • Introduction
  • Moment Contributions
  • Overview
  • Calculation
  • Utility Contribution
  • Mimicking Portfolios
  • A New Asset Class Paradigm
  • Overview
  • A Review of Risk Premia
  • From Assets to Asset Classes
  • Chapter 4 Capital Market Assumptions
  • Introduction
  • Using History as Our Forecast
  • Background
  • Estimation Error and Sample Size
  • Stationarity: Does History Repeat?
  • Adjusting Forecasts
  • Pre-Tax Adjustments
  • Post-Tax Adjustments
  • Chapter 5 Portfolio Optimization
  • Introduction
  • Optimization Results
  • To MPT or Not to MPT?
  • Asset Allocation Sensitivity
  • Final Remarks
  • Bibliography
  • Index
  • EULA

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