Theory and Methodology of Tactical Asset Allocation

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John Wiley & Sons, Aug 15, 2000 - Business & Economics - 159 pages
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.

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A Portfolio Theory Perspective
Performance Measures
Performance Characteristics Under Imperfect Information
Theory of Signal Filtering
Optimal Aggressiveness Factors
BlackLitterman Approach
Epilogue on Portfolio Construction

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Page 143 - J., and 0. Morgenstern, Theory of Games and Economic Behavior, 2nd edition, 1947, Princeton University Press, Princeton, New Jersey. [89] Perold, Andre, "Constant Proportion Portfolio Insurance," August 1986, Harvard Business School, working paper.
Page 143 - Dynamic Strategies for Asset Allocation," Financial Analysts Journal, January/February 1988, pp. 1627. [91] Philips,Thomas K., Greg T. Rogers, and Robert E. Capaldi, "Tactical Asset Allocation: 1977-1994," Journal of Portfolio Management, Fall 1996, pp.

About the author (2000)

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.

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