Advances in Active Portfolio Management: New Developments in Quantitative Investing

Acknowledgments
Preface

1 Introduction: Advances in Active Portfolio Management

SECTION 1
Recap of Active Portfolio Management

2 Introduction to the Recap of
Active Portfolio Management Section

3 Seven Insights into Active Management

4 A Retrospective Look at the
Fundamental Law of Active Management

5 Breadth, Skill, and Time

SECTION 2
Advances in Active Portfolio Management
SECTION 2.1 Dynamic Portfolio Management

6 Introduction to the Dynamic Portfolio Management Section

7 Implementation Efficiency

8 Dynamic Portfolio Analysis

9 Signal Weighting

10 Linear Trading Rules for Portfolio Management

11 Nonlinear Trading Rules for Portfolio Management

SECTION 2.2 Portfolio Analysis and Attribution

12 Introduction to the Portfolio Analysis and Attribution Section

13 Attribution

14 The Description of Portfolios

SECTION 3
Applications of Active Portfolio Management
SECTION 3.1 Expected Return: The Equity Risk Premium
and Market Efficiency

15 Introduction to “A Supply Model of the Equity Premium”

16 A Supply Model of the Equity Premium

17 Introduction to “Is Beta Dead Again?”

18 Is Beta Dead Again?

19 Introduction to “Are Benchmark Portfolios Efficient?”

20 Are Benchmark Portfolios Efficient?

SECTION 3.2 Expected Return: Smart Beta

21 Introduction to the Smart Beta Section

22 Who Should Buy Smart Beta?

23 Smart Beta: The Owner’s Manual

24 Smart Beta Illustrated

25 The Asset Manager’s Dilemma

SECTION 3.3 Risk

26 Introduction to the Risk Section

27 Heat, Light, and Downside Risk

SECTION 3.4 Portfolio Construction

28 Introduction to the Portfolio Construction Section

29 Optimal Gearing

30 The Dangers of Diversification

31 The Surprisingly Small Impact of Asset Growth
on Expected Alpha

32 Mean-Variance and Scenario-Based Approaches
to Portfolio Selection

33 Five Myths About Fees

SECTION 4
Extras

34 Introduction to the Extras Section

35 Presentations upon Receiving the James R. Vertin Award

36 What Investors Can Learn from a Very Alternative Market

37 UCLA Master of Financial Engineering
Commencement Address

SECTION 5
Conclusion

38 Advances in Active Portfolio Management Conclusions

Index

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.