Advances in Active Portfolio Management: New Developments in Quantitative Investing

<p>Acknowledgments <br>Preface </p><p>1 Introduction: Advances in Active Portfolio Management </p><p>SECTION 1<br>Recap of Active Portfolio Management</p><p>2 Introduction to the Recap of<br>Active Portfolio Management Section </p><p>3 Seven Insights into Active Management </p><p>4 A Retrospective Look at the<br>Fundamental Law of Active Management </p><p>5 Breadth, Skill, and Time </p><p>SECTION 2<br>Advances in Active Portfolio Management<br>SECTION 2.1 Dynamic Portfolio Management</p><p>6 Introduction to the Dynamic Portfolio Management Section </p><p>7 Implementation Efficiency </p><p>8 Dynamic Portfolio Analysis </p><p>9 Signal Weighting </p><p>10 Linear Trading Rules for Portfolio Management </p><p>11 Nonlinear Trading Rules for Portfolio Management </p><p>SECTION 2.2 Portfolio Analysis and Attribution</p><p>12 Introduction to the Portfolio Analysis and Attribution Section </p><p>13 Attribution </p><p>14 The Description of Portfolios </p><p>SECTION 3<br>Applications of Active Portfolio Management<br>SECTION 3.1 Expected Return: The Equity Risk Premium<br>and Market Efficiency</p><p>15 Introduction to “A Supply Model of the Equity Premium” </p><p>16 A Supply Model of the Equity Premium </p><p>17 Introduction to “Is Beta Dead Again?” </p><p>18 Is Beta Dead Again? </p><p>19 Introduction to “Are Benchmark Portfolios Efficient?” </p><p>20 Are Benchmark Portfolios Efficient? </p><p>SECTION 3.2 Expected Return: Smart Beta</p><p>21 Introduction to the Smart Beta Section </p><p>22 Who Should Buy Smart Beta? </p><p>23 Smart Beta: The Owner’s Manual </p><p>24 Smart Beta Illustrated </p><p>25 The Asset Manager’s Dilemma </p><p>SECTION 3.3 Risk</p><p>26 Introduction to the Risk Section </p><p>27 Heat, Light, and Downside Risk </p><p>SECTION 3.4 Portfolio Construction</p><p>28 Introduction to the Portfolio Construction Section </p><p>29 Optimal Gearing </p><p>30 The Dangers of Diversification </p><p>31 The Surprisingly Small Impact of Asset Growth<br>on Expected Alpha </p><p>32 Mean-Variance and Scenario-Based Approaches<br>to Portfolio Selection </p><p>33 Five Myths About Fees </p><p>SECTION 4<br>Extras</p><p>34 Introduction to the Extras Section </p><p>35 Presentations upon Receiving the James R. Vertin Award </p><p>36 What Investors Can Learn from a Very Alternative Market </p><p>37 UCLA Master of Financial Engineering<br>Commencement Address </p><p>SECTION 5<br>Conclusion</p><p>38 Advances in Active Portfolio Management Conclusions </p><p>Index <br></p>