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Strategic Asset Allocation 1st Edition

4.1 out of 5 stars 7 customer reviews
ISBN-13: 978-0198296942
ISBN-10: 0198296940
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Editorial Reviews

Review

`In Strategic Asset Allocation John Campbell and Luis Viceira go beyond the usual capital-markets research monographs that survey a broad swath of asset pricing and investment theory. Instead, they dig deeply and insightfully into how an individual investor would best allocate wealth into broad asset classes over a lifetime, bearing in mind age, risk preferences, changing market conditions, and uninsurable income shocks. With this clearly written synthesis of the best recent research on the topic, much of it their own, Campbell and Viceira have achieved excellence!' Darrell Duffie, Graduate School of Business, Stanford University

`At last we have a book that lays out how we should use the basic insights of mean-variance analysis to advise investors on their their lifetime portfolio problem. It is a pleasure to read when one sees such sensible and lucid application of highbrow financial theory to the most practical and important of problems. This book represents a major theoretical breakthrough that allows us to translate the principles of intertemporal financial and econometric theory into concrete advice for investing.' Robert J. Shiller, Yale University

About the Author

John Y. Campbell is a Harvard College Professor and the Morton L. and Carole S. Olshan Professor of Economics at Harvard University and a research associate of the NBER. He is the author of "The Econometrics of Financial Markets," "Strategic Asset Allocation," and "Risk Aspects of Investment-Based Social Security Reform," the latter also published by the University of Chicago Press.
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Product Details

  • Series: Clarendon Lectures in Economics
  • Hardcover: 274 pages
  • Publisher: Oxford University Press; 1 edition (March 15, 2002)
  • Language: English
  • ISBN-10: 0198296940
  • ISBN-13: 978-0198296942
  • Product Dimensions: 8.6 x 0.9 x 5.6 inches
  • Shipping Weight: 14.4 ounces (View shipping rates and policies)
  • Average Customer Review: 4.1 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Best Sellers Rank: #1,249,003 in Books (See Top 100 in Books)

Customer Reviews

Top Customer Reviews

Format: Hardcover Verified Purchase
This book sums up recent research on the "strategic" (as opposed to "tactical", see eg Wai Lee's recent good book) asset allocation decisions - those of people wanting to design a portfolio for the very long term.
I am a practitioner, but this is not a practicioners' book on many counts: some of the formalism is hard (eg chap 5 on continuous-time models), it does not include rules of thumb, its basic framework requires a lot of effort to translate into numeric advice (10% cash, 40% bonds, 50% equity or suchlike). A PFP system based on this is some way off (also because real estate is left out).
Yet: (a) the book saves you a lot of time catching up with the literature; (b) it does dispel some bad criticisms of modern portfolio theory, especially in the first two chapters which are extremely useful as a reminder of basic dynamic theory; (c) it does throw in real-world considerations such as why do we advise older people to hold more conservative portfolios, what does labor income do to the basic model, why are bonds advised at all, the "asset allocation puzzle" etc.
You end up your quest for knowledge much the wiser having read this - and my quest was not effortless. I read this book (actually the Web version) while on a summer vacation. Got up every morning at 7 and worked about one hour at a time, first reading, the following day taking notes. In two weeks I sweated it out. It was worth it, and I bought the book too (the physical book is much leaner than the printout).
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By A Customer on May 13, 2004
Format: Hardcover
This is a relatively good book on the consumption/investment problem for long-term investing.
To know whether it is appropriate for you, you need to realize that the "problem" the book addresses is the (now classical) consumption/investment problem from the standpoint of financial economics.
I would say it is not a practioner's book....mostly because practitioners usually do not have the specific background in math and economics, not because the ideas cannot be applied.
The ideas you will take away are at a very fundamental level. Not at the "how to" level.
I agree that most of what is covered in the book cannot be implemented in Excel. However, that statement applies to most of the interesting (and practical) problems in finance.
No one who uses Amazon's "search" feature to examine the book will be disappointed. If you bought this based on title alone, you could easily be let down.
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Format: Hardcover
I just finished a Master's degree in Finance at MIT. For me, this book was a superb review in depth of what I had studied and I was very pleased that I could follow the math and the theory as well as recognizing many of the names and works cited. Without this preparation, however, I wouldn't have gotten past the Introduction.

The book addresses the very important question of what modern finance has to say about asset allocation and how this may differ from the conventional advice provided by practitioners to their clients.
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Format: Hardcover
Having taken only two semesters of undergraduate econometrics, I still understood the vast majority of the material. This is an excellent book that shows how a wide variety of trading strategies are implemented, in theory and in practice. It is well-written and fascinating, and I urge anyone interested in quantitative trading to read it.
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