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Books on the topic 'Dynamic portfolio'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Nielsen, Lars Tyge. Performance measures for dynamic portfolio management. Fontainebleau: INSEAD, 1998.

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2

Bansal, Ravi. Dynamic trading strategies and portfolio choice. Cambridge, MA: National Bureau of Economic Research, 2004.

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3

Bansal, Ravi. Dynamic trading strategies and portfolio choice. Cambridge, Mass: National Bureau of Economic Research, 2004.

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4

Chiarella, Carl, Willi Semmler, Chih-Ying Hsiao, and Lebogang Mateane. Sustainable Asset Accumulation and Dynamic Portfolio Decisions. Berlin, Heidelberg: Springer Berlin Heidelberg, 2016. http://dx.doi.org/10.1007/978-3-662-49229-1.

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5

Brandt, Michael W. Dynamic portfolio selection by augmenting the asset space. Cambridge, MA: National Bureau of Economic Research, 2004.

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6

Liu, Jun. Dynamic asset allocation with event risk. Cambridge, MA: National Bureau of Economic Research, 2002.

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7

Didier, Tatiana. The current account as a dynamic portfolio choice problem. [Washington, D.C: World Bank, 2009.

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8

Duffie, Darrell. Dynamic asset pricing theory. 2nd ed. Princeton, N.J: Princeton University Press, 1996.

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9

Dynamic asset pricing theory. Princeton, N.J: Princeton University Press, 1992.

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10

Duffie, Darrell. Dynamic asset pricing theory. 3rd ed. Princeton, N.J: Princeton University Press, 2001.

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11

Dynamic asset allocation: Modern portfolio theory updated for the smart investor. New York: Bloomberg Press, 2010.

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12

Picerno, James. Dynamic asset allocation: Modern portfolio theory updated for the smart investor. New York: Bloomberg Press, 2010.

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13

Lehmann, Bruce N. Notes on dynamic factor pricing models. Cambridge, MA: National Bureau of Economic Research, 1991.

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14

Chacko, George. Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets. Cambridge, MA: National Bureau of Economic Research, 1999.

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15

Dokuchaev, Nikolai. Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information. Boston, MA: Springer US, 2002. http://dx.doi.org/10.1007/978-1-4615-0921-9.

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16

Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information. Boston: Kluwer Academic Publishers, 2002.

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17

Dynamic asset allocation: Strategies for the stock, bond, and money markets. New York: Wiley, 1991.

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18

The value and momentum trader: Dynamic stock selection models to beat the market. Hobeken, N.J: Wiley, 2010.

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19

Empirical dynamic asset pricing: Model specification and econometric assessment. Princeton, NJ: Princeton University Press, 2005.

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20

Ostermark, Ralf. Portfolio Efficiency of a Dynamic Capital Asset Princing Model: Empiral evidence on Finnish and Sedish stock data. Abo: Abo Akademis, 1988.

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21

Langan, Anny. Management of an educational property portfolio and capital programme under dynamic circumstances: Royal Borough of Kensington and Chelsea. London: Polytechnic of East London, 1992.

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22

Shahid, A. B. Management of leasing operations: A handbook of operating procedures and practices for maintaining a healthy lease portfolio in today's dynamic markets. [Karachi]: Institute of Bankers, 2005.

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23

Brian, Hobbs, ed. Project portfolios in dynamic environments: Organizing for uncertainty. Newtown Square, Pa: Project Management Institute, 2012.

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24

Corey, Peck, Valant Jason, and Paich Mark, eds. Pharmaceutical product branding strategies: Simulating patient flow and portfolio dynamics. 2nd ed. New York: Informa Healthcare USA, 2009.

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25

Lynch, Anthony W. Labor income dynamics at business-cycle frequencies: Implications for portfolio choice. Cambridge, MA: National Bureau of Economic Research, 2004.

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26

Hau, Harald. Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates? Cambridge, MA: National Bureau of Economic Research, 2004.

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27

Pratap, Sangeeta. Firm dynamics, investment, and debt portfolio: Balance sheet effects of the mexican crisis of 1994. Cambridge, MA: National Bureau of Economic Research, 2004.

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28

Pratap, Sangeeta. Firm dynamics, investment, and debt portfolio: Balance sheet effects of the Mexican crisis of 1994. Cambridge, Mass: National Bureau of Economic Research, 2004.

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29

Back, Kerry E. Dynamic Portfolio Choice. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0009.

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The first‐order condition for optimal portfolio choice is called the Euler equation. Optimal consumption can be computed by a static approach in a dynamic complete market and by orthogonal projection for a quadratic utility investor. Dynamic programming and the Bellman equation are explained. The envelope condition and hedging demands are explained. Investors with CRRA utility have CRRA value functions. Whether the marginal value of wealth is higher for a CRRA investor in good states or in bad states depends on whether risk aversion is less than or greater than 1. With IID returns, the optimal portfolio for a CRRA investor is the same as the optimal portfolio in a single‐period model.

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30

Dynamic Portfolio Theory and Management. McGraw-Hill, 2003.

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31

Oberuc, Richard. Dynamic Portfolio Theory and Management. McGraw-Hill, 2003.

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32

NA. Dynamic Socl Studies Constrctv&portfolio Pk. Addison Wesley Longman, 2006.

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33

L, Tuttle Donald, Maginn John L. 1940-, and Institute of Chartered Financial Analysts., eds. Managing investment portfolios.: A dynamic process. Boston: Warren, Gorham & Lamont, 1985.

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34

1940-, Maginn John L., ed. Managing investment portfolios: A dynamic process. 3rd ed. Hoboken, N.J: John Wiley & Sons, 2007.

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35

L, Tuttle Donald, Maginn John L. 1940-, and Institute of Chartered Financial Analysts., eds. Managing investment portfolios: A dynamic process. 2nd ed. Boston: Warren, Gorham & Lamont, 1990.

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36

L, Luskin Donald, ed. Portfolio insurance: A guide to dynamic hedging. New York: Wiley, 1988.

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37

Luskin, Donald L. Portfolio Insurance: A Guide to Dynamic Hedging. Wiley, 1988.

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38

Semmler, Willi, Chih-Ying Hsiao, Lebogang Mateane, and Carl Chiarella. Sustainable Asset Accumulation and Dynamic Portfolio Decisions. Springer, 2016.

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39

Semmler, Willi, Chih-Ying Hsiao, Lebogang Mateane, and Carl Chiarella. Sustainable Asset Accumulation and Dynamic Portfolio Decisions. Springer, 2018.

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40

John L., CFA Maginn (Editor), Donald L., CFA Tuttle (Editor), Jerald E., CFA Pinto (Editor), and Dennis W., CFA McLeavey (Editor), eds. Managing Investment Portfolios: A Dynamic Process (CFA Institute Investment Series). Wiley, 2007.

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41

J, Horneff Wolfram, and National Bureau of Economic Research., eds. Money in motion: Dynamic portfolio choice in retirement. Cambridge, Mass: National Bureau of Economic Research, 2007.

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42

Didier, Tatiana, and Alexandre Lowenkron. The current account as a dynamic portfolio choice problem. The World Bank, 2009. http://dx.doi.org/10.1596/1813-9450-4861.

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43

Duffie, Darrell. Dynamic Asset Pricing Theory. Princeton University Press, 2010.

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44

Philbrick, Michael, Adam Butler, and Rodrigo Gordillo. Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times - and Bad. Wiley & Sons, Incorporated, John, 2016.

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45

Philbrick, Michael, Adam Butler, and Rodrigo Gordillo. Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times - and Bad. Wiley & Sons, Incorporated, John, 2016.

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46

Butler, Adam. Adaptive asset allocation: Dynamic global portfolios to profit in good times - and bad. 2016.

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47

John L., CFA Maginn (Editor), Donald L., CFA Tuttle (Editor), Jerald E., CFA Pinto (Editor), and Dennis W., CFA McLeavey (Editor), eds. Managing Investment Portfolios Workbook: A Dynamic Process (CFA Institute Investment Series). Wiley, 2007.

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48

A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Cambridge, MA: National Bureau of Economic Research, 2004.

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49

Back, Kerry E. Continuous-Time Portfolio Choice and Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0014.

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The Euler equation is defined. The static approach can be used to derive an optimal portfolio in a complete market and when the investment opportunity set is constant. In the latter case, the optimal portfolio is proportional to the growth‐optimal portfolio and two‐fund separation holds. Dynamic programming and the Hamilton‐Jacobi‐Bellman equation are explained. An optimal portfolio consists of myopic and hedging demands. The envelope condition is explained. CRRA utility implies a CRRA value function. The CCAPM and ICAPM are derived.

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50

Henning, Grant. Value and Momentum Trader: Dynamic Stock Selection Models to Beat the Market. Wiley & Sons, Incorporated, John, 2009.

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