DYNAMIC PORTFOLIO THEORY N MANAGEMENT

THE FIRST ASSET ALLOCATION MODEL TO ACCURATELY TAKE INTO ACCOUNT—AND ADAPT TO—CHANGING MARKET CONDITIONS

Modern Portfolio Theory (MPT) and asset allocation are the foundations upon which institutional investors account for the impact of changes in risk on changes in expected return. But legitimate questions remain over methods currently used to determine the inputs required to drive the model. How can professional investors trust the results obtained when they are often uncertain over the input numbers used to arrive at those results?

Until now, they could not. Dynamic Portfolio Theory and Management introduces an all-new model that, unlike the static nature of MPT, adapts to changing market conditions as they occur. This breakthrough approach:

‧ Provides a procedure to evaluate which factors truly influence the performance of most major asset classes

‧ Allows investors to modify allocations based on changing economic conditions and factors

‧ Dramatically increases accuracy by optimizing multiple past time periods into a single future time period

In today’s complex investing arena, investors must account for multiple time periods when periodically reallocating their portfolios. Dynamic Portfolio Theory and Management provides a time-adaptive asset allocation model that, for the first time, provides that flexibility. It explains in straightforward and practical language how investors can implement and apply a dynamic asset allocation procedure—in an increasingly uncertain marketplace.

Richard Oberuc is chairman of the Foundation for Managed Derivatives Research, whose sponsors include Morgan Stanley, Goldman Sachs, and other firms. A veteran of more than 25 years in the financial industry, he is also the founder and owner of Burlington Hall Asset Management.