Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your email address or mobile phone number.
Dynamic Asset Allocation: Modern Portfolio Theory Updated for the Smart Investor Hardcover – February 17, 2010
See the Best Books of the Month
Want to know our Editors' picks for the best books of the month? Browse Best Books of the Month, featuring our favorite new books in more than a dozen categories.
Frequently Bought Together
Customers Who Bought This Item Also Bought
About the Author
More About the Author
Top Customer Reviews
Asset allocation is important. It determines much of the returns investors will receive.
This book goes into a long discussion of modern portfolio theory, and the author finds MPT to be valuable, but needs to be supplemented by other factors other than the market portfolio. Market capitalization, individual stock valuation, and overall market cheapness/dearness plays a role in asset allocation. This rectifies the main complaint of value investors regarding asset allocation, in that relatively lower prices should lead investors to allocate more to an asset class.
There are elements of my own view here, which says that asset allocation should look at sustainable yield levels adjusted for the likelihood of those yields occurring, and the potential for downside risk.
Also, the author spends time on the special situations of asset allocation for the individual or institution -- how old you are, or, what industry you are in. I experienced that at one firm I was at where I managed the profit sharing assets. We underweighted financials because our firm did well when financials did well. We did not want employees worrying about their assets if the firm was having a bad year.
I recommend the book, but it is not a popular book. Average people will not get a lot out of it. The book requires a moderate knowledge of finance to make it valuable to the reader.Read more ›
The first five chapters give the reader an overview of the development of the academic field of portfolio theory, but it doesn't begin with Harry Markowitz's Portfolio Selection in 1952 as would be customary. Picerno instead begins two decades earlier with the 1934 publication of Ben Graham's and David Dodd's book Security Analysis and the notion that the return on an investment depends on the price you pay for it. An obvious statement that was for a long time forgotten by financial academia. After this the author introduces the standard building blocks of MPT with a) Markowitz's notion that investors want to optimize returns and risk (measured as volatility); b) James Tobin's Security Market Line; c) Bill Sharpe's conclusion that the market cap weighted portfolio of all assets is the optimal portfolio and d) Paul Samuelson's research on the randomness of securities prices that lead Eugene Fama to proclaim markets efficient.
Enter the 80's and cracks in MTP start to emerge with the discoveries of numerous so called anomalies and the papers showing that CAPM doesn't do the job. Hence the current religious war amongst rationalist and behavioural explanations starts. The author is buried in the trenches of the rationalists. He even tries to make the crash in 1987 and the TMT-bubble into "rational bubbles".Read more ›
On the positive side, it summarizes what is important to consider on modern portfolio management, updated to current date.
On the negative side, the author is repetitive between chapters, the book could be half in size, but what really is missing is a more practical approach to implement the portfolio management strategy exposed.
Most Recent Customer Reviews
Book is an arduous review of the current state of Modern Portfolio Theory, including its recent modifications. Read morePublished on August 17, 2013 by Cultured Reader