Dynamic asset allocation: strategies for the stock, bond, and money markets
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York u.a.
Wiley
1991
|
| Schriftenreihe: | Wiley finance editions
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 336 S. graph. Darst. |
| ISBN: | 047153028X |
Internformat
MARC
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| 100 | 1 | |a Hammer, David A. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Dynamic asset allocation |b strategies for the stock, bond, and money markets |c David A. Hammer |
| 264 | 1 | |a New York u.a. |b Wiley |c 1991 | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
1 Number Series: A Wealth of Information 1
Heads or Tails? Surprise! 1
Why Fly on Separate Planes? 2
Case of the Worn Roulette Wheel 3
Concerning Winning Streaks 4
The Odds of Losing 6
What Does Average Really Mean? 7
The Arithmetic Mean 8
The Geometric Mean 8
The Harmonic Mean 9
Normal Distribution 10
Variance and Standard Deviation 12
Fact versus Probability 15
An Experiment 16
What Do Random Numbers Look Like? 18
Why Some Market Timers Are Good 21
Beating the Market by Chance 22
Random Walk Theory 24
Testing for Randomness 25
Chaos Theory 28
2 Analyzing Risk 33
The Last Heyday 33
The Derivation of Beta 34
Understanding Correlation 38
Covariance and Correlation 40
Measuring Volatility 43
How Patience Reduces Risk 48
xi
xii CONTENTS
What Makes Securities Prices Fluctuate? 49
Risk Creates Return 54
The Supply/Demand Fallacy 54
3 The Importance of Asset Allocation 57
Are You a Risk Taker? 57
Asset Allocation Improves Expected Return 59
Asset Allocation Reduces Risk 63
The Importance of Low Cross Correlation 65
Strategy versus Tactics 67
Risk Profile Questionnaire 68
Risk Aversion Is Peculiar 70
Satisfaction with Return 71
Historic Returns 72
4 Forecasting the Return from Stocks 73
Genesis of a Model 73
Yield to Maturity of a Stock? 75
The Significance of Earnings Yield 76
Limits of Expected Return 77
TheT Value 78
Implementing the DDM 79
Applying the DDM to the Market 81
Traditional Valuation Methods 81
Other Methods that Don t Work 87
Asset Value Methods 88
Cash Flow Return on Investment 89
Forecasting the S P 500 90
5 Forecasting the Return from Bonds 93
An Afternoon at the Rat 93
Limitations of Maturity 94
Advantages of Duration 95
Shifts in the Yield Curve 96
Importance of Reinvestment 98
The Impact of Time 100
Credit Risk 101
The Treasury Yield Curve 102
CONTENTS xiii
The Risk Element 103
The Forward Rate Element 104
On the Road to Asset Allocation 108
Riding the Yield Curve 109
Forward Rate Theory 111
Forward Rates in the Real World 112
Confidence as the Key 114
6 Forecasting Money Market Returns 116
Watch Out! 116
Are T Bills Really Risk Free? 117
The Significance of Time 118
Projecting Short Term Rates 118
Distribution of Cash Returns 119
The Concept of Normal Deviation 121
Cash Returns Have No Variance! 121
The Real Role of Cash Equivalents 122
Types of Cash Equivalents 123
The Diverse Nature of Money Market Funds 124
How Guaranteed Are GICs? 125
7 Asset Allocation: Risk Premium Models 127
Episode of the Storage Company Salesman 127
IRR: The Most Importance Concept of Return 128
IRR as the Common Thread 129
Historic Relationships of Actual Returns 129
Historic Relationships of Expected Returns 130
Creating a Model 131
Improving the Model 133
Improving the Measurement 136
Using a Terminal Value in a DDM 136
Equity Risk Premiums 139
The Role of Investor Confidence 140
Hammer s Confidence Curves 140
Improving the Forecasts 141
The Crash of 1987 143
Changing Allocation Too Soon 144
Fine Tuning Expected Returns 144
xiv CONTENTS
Setting the Asset Mix 145
Conclusions 147
8 Asset Allocation: Probability Models 149
The Evening Before a Day at the Racetrack 149
Calculating the Odds for Securities 152
What Is Calculus? 153
The Calculus of Probability Simplified 155
Odds of Stocks Beating Bonds 157
Odds of Bonds Beating Stocks 158
Mean versus Mode 159
Odds of Stocks and Bonds Beating a Target 162
Odds of Stocks and Bonds Beating Each Other 163
Some Rules of Thumb 164
Let s Throw in Some Cash 165
Method 1: Correlation Analysis 166
Method 2: The Stock Cash Mix 167
Method 3: The Horse Race 167
9 Asset Allocation: Building a Dynamic Model 170
Einstein Might Have Had a Tough Time 170
Dynamic Asset Allocation Defined 172
A Day at the Racetrack 173
Weighting the Probabilities 174
Step 1: Computing Investor Confidence 177
Step 2: Forecasting Forward Rates 178
Step 3: Projecting Future Stock Dividends and Book
Values 179
Step 4: Forecasting Future Stock Market Levels 181
Step 5: Computing the Expected Returns for Equities 183
Step 6: Calculating the Probabilities . 184
Step 7: Converting Probabilities to an Asset Mix 186
Conclusions 187
10 Asset Allocation: The Efficient Frontier 190
An Interesting Wager 190
How Useful Is Cross Correlation? 193
The Efficient Frontier Defined 195
Measuring Volatility of an Asset Mix 196
CONTENTS xv
Projecting Cross Correlation 198
Optimization and the Risk Free Rate 199
Optimization and Investor Risk Tolerance 201
11 Asset Allocation: Completing the Process 204
Once Upon a Time at an Investment Committee
Meeting 204
Who Should Make the Allocation Decision? 206
Portfolio Structure versus Economic Structure 206
Measuring Real Estate Risk and Return 209
Forecasting Real Estate Returns 211
Investing in Foreign Equities 213
Investing in Precious Metals 216
Building an Efficient Frontier Portfolio 218
Four or More Asset Classes 223
Using a Probability Optimizer 225
12 Asset Allocation: The Implementation 229
The World Shaking Events of 1776 229
Pioneering the Determinism of Social History 232
The Self Correcting Nature of the Marketplace 234
The Universal Law of Laziness 235
Simplifying the Investment Process with Derivatives 237
Hedging with Market Baskets 239
Hedging with Index Futures 241
Hedging with Index Options 244
Producing a Neutral Hedge 247
Creating Synthetic Futures 251
Conclusions 255
13 Alternative to Allocation: Immunization 259
How to Lose Money on a Risk Free Investment 259
What Really is Being Immunized? 262
Immunization Using Cash Flows 263
Immunization Using Average Duration 267
Advantages of Duration Matching 268
Disadvantages of Duration Matching 271
Apportioning a Portfolio: Combined Strategies 276
Insurance Company Asset Management 278
xvi CONTENTS
14 Why the Experts Underperform 282.
An Investments Retreat with Mackinaw Mel 282
The Overwhelming Factor of Emotion 285
The Herd Instinct 287
Misinterpreting One s Own Performance Record 289
Selling Stocks That Aren t Acting Well 291
Holding On Too Long 292
The Forest and the Trees 293
Preoccupation with Short Term Performance 294
The Pros and Cons of Sticking to One Philosophy 295
Magic Formulas and Black Boxes 298
15 Performance Measurement 302
A Presentation to the Alaskan Natives 302
How Meaningful Are Past Results? 304
The Implications of Normal Distribution 307
Games Played with Performance Numbers 308
The Concept of Time Weighted Returns 310
When to Begin the Measurement Process 314
The Various Yardsticks: New Concepts 315
How Many Tiers of Fees Should the Client Incur? 317
16 Choosing an Investments Adviser 319
How to Put a Black Box to Good Use 319
Is the Adviser s Philosophy a Sound One? 320
Is the Adviser Honest and Reputable? 320
What Kind of Turnover Should You Expect? 322
Are You Comfortable with the Adviser s Style? 323
How Much Service Should a Client Expect? 324
Is the Investment Adviser Stable? 324
When to Fire (or Not Fire) an Adviser 326
Why Being Unique is Important 328
Index 333
|
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| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV005540176 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:31:22Z |
| institution | BVB |
| isbn | 047153028X |
| language | English |
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| publishDate | 1991 |
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| publisher | Wiley |
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| series2 | Wiley finance editions |
| spelling | Hammer, David A. Verfasser aut Dynamic asset allocation strategies for the stock, bond, and money markets David A. Hammer New York u.a. Wiley 1991 XVI, 336 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance editions Portfolio-analyse gtt Risicoanalyse gtt Asset allocation Investment analysis Portfolio management Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003474291&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hammer, David A. Dynamic asset allocation strategies for the stock, bond, and money markets Portfolio-analyse gtt Risicoanalyse gtt Asset allocation Investment analysis Portfolio management Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4073213-7 (DE-588)4115601-8 |
| title | Dynamic asset allocation strategies for the stock, bond, and money markets |
| title_auth | Dynamic asset allocation strategies for the stock, bond, and money markets |
| title_exact_search | Dynamic asset allocation strategies for the stock, bond, and money markets |
| title_full | Dynamic asset allocation strategies for the stock, bond, and money markets David A. Hammer |
| title_fullStr | Dynamic asset allocation strategies for the stock, bond, and money markets David A. Hammer |
| title_full_unstemmed | Dynamic asset allocation strategies for the stock, bond, and money markets David A. Hammer |
| title_short | Dynamic asset allocation |
| title_sort | dynamic asset allocation strategies for the stock bond and money markets |
| title_sub | strategies for the stock, bond, and money markets |
| topic | Portfolio-analyse gtt Risicoanalyse gtt Asset allocation Investment analysis Portfolio management Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Portfolio-analyse Risicoanalyse Asset allocation Investment analysis Portfolio management Portfolio Selection Kapitalanlage Portfoliomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003474291&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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