Theory and Methodology of Tactical Asset Allocation [Hardcover]

Wai Lee (Author)

Book Description

Series: Frank J. Fabozzi Series | Publication Date: August 2000

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.

Editorial Reviews

From the Back Cover

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.

About the Author

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.

Product Details

• Hardcover: 159 pages
• Publisher: Wiley; 1 edition (August 2000)
• Language: English
• ISBN-10: 1883249724
• ISBN-13: 978-1883249724
• Product Dimensions: 9.3 x 6.2 x 0.6 inches
• Shipping Weight: 9.1 ounces (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #1,255,817 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

13 of 14 people found the following review helpful:

4.0 out of 5 stars Mathematical approach to tactical asset allocation, June 2, 2005

By 

Dr. Claude Diderich (Richterswil, Switzerland) - See all my reviews
(REAL NAME)   

This review is from: Theory and Methodology of Tactical Asset Allocation (Hardcover)

This book describles a very interesting approach to tactical asset allocation. Detailed mathematics are developed for processing information and allocating risk such as to maximize the expected information ratio of a given asset allocation. The book is very condensed and requires a very good understanding to fully appreciate the quality.