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THE PRINCIPAL APPROACHES
DYNAMIC HEDGING STRATEGIES
TACTICAL ASSET ALLOCATION
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20 percent add value American Fabric asset allocation strategies asset class asset value asset weights assets and liabilities Betsy buy-and-hold strategy call option cash flows Chapter coefficient between asset compute correlation coefficient cost CPPI currency exposure deviation of asset domestic asset dynamic hedging strategy efficient frontier efficient portfolios estimate example expected return f-statistic floor value foreign asset foreign currency futures contract increase interest rates invested in asset investment horizon investors linear investment rule mean reversion normal distribution optimal option strategy Paine pension fund pension liabilities portfolio insurance strategy portfolio value present value protective put option return and risk return equals return of asset riskless asset riskless rate risky asset serially correlated short-term securities shown in Formula Standard & Poor's standard deviation stocks and bonds strategic asset allocation strike price Suppose systematic risk tactical asset allocation target return trade Treasury bills underlying asset utility curve volatility yield to maturity