Modern Asset Allocation for Wealth Management

ISBN-13: 9781119566946 / Angielski / Twarda / 2020 / 144 str.

David M. Berns

Spis treści

Preface viiAcknowledgments xiiiChapter 1 Preliminaries 1Expected Utility 2Introduction 2MPT is an Approximation 5Higher Moment Motivation 8Modernized Preference Motivation 13A Modern Utility Function 15Returns-Based EU Maximization 21Estimation Error 23Introduction 23Minimizing Estimation Error 24Reducing Sensitivity to Estimation Error 28A Modern Definition of Asset Allocation 30Chapter 2 The Client Risk Profile 33Introduction 33Measuring Preferences 34Risk Aversion 34Loss Aversion 39Reflection 41Lottery Question Sizing 43Incorporating Goals 43Preference Moderation via SLR 43Discretionary Wealth 48Comparison with Monte Carlo 51Comparison with Glidepaths 52Chapter 3 Asset Selection 55Introduction 55Moment Contributions 57Overview 57Calculation 59Utility Contribution 62Mimicking Portfolios 63A New Asset Class Paradigm 66Overview 66A Review of Risk Premia 67From Assets to Asset Classes 73Chapter 4 Capital Market Assumptions 79Introduction 79Using History as Our Forecast 81Background 81Estimation Error and Sample Size 83Stationarity: Does History Repeat? 89Adjusting Forecasts 91Pre-Tax Adjustments 91Post-Tax Adjustments 93Chapter 5 Portfolio Optimization 97Introduction 97Optimization Results 98To MPT or Not to MPT? 103Asset Allocation Sensitivity 105Final Remarks 109Bibliography 111Index 113