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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
