- Page 2 and 3: Modern AssetAllocationfor WealthMan
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- Page 6 and 7: Table of ContentsPrefaceAcknowledgm
- Page 8 and 9: PrefaceModern portfolio theory (MPT
- Page 10 and 11: Prefaceixpreliminary concepts and p
- Page 12: Prefacexipremium need not be consid
- Page 18 and 19: CHAPTER 1PreliminariesThe chapter b
- Page 20 and 21: Preliminaries 3where p i is the pro
- Page 22 and 23: Preliminaries 5we must be in access
- Page 24 and 25: Preliminaries 7skew, and κ port is
- Page 26 and 27: Preliminaries 92520Normal Distribut
- Page 28 and 29: Preliminaries 111.513 Month Treasur
- Page 30 and 31: Preliminaries 13motivated the fact
- Page 32 and 33: Preliminaries 15requires us to full
- Page 34 and 35: Preliminaries 17This function fulfi
- Page 36 and 37: Preliminaries 19features require a
- Page 38 and 39: Preliminaries 21defined in Eq. (1.8
- Page 40 and 41: Preliminaries 23client. This approa
- Page 42 and 43: Preliminaries 25Using historical da
- Page 44 and 45: Preliminaries 27are generally less
- Page 46 and 47: Preliminaries 29forecast into our o
- Page 48: Preliminaries 31Second, the maximiz
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48 MODERN ASSET ALLOCATION FOR WEAL
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50 MODERN ASSET ALLOCATION FOR WEAL
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52 MODERN ASSET ALLOCATION FOR WEAL
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CHAPTER 4Capital Market Assumptions
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Capital Market Assumptions 81(6-12
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Capital Market Assumptions 83enough
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Capital Market Assumptions 850.021.
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Capital Market Assumptions 87sensit
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Capital Market Assumptions 89always
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Capital Market Assumptions 91three
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Capital Market Assumptions 93this s
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Capital Market Assumptions 95Step 1
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CHAPTER 5Portfolio OptimizationStep
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Portfolio Optimization 99φ = 0γ =
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Portfolio Optimization 101Third, th
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Portfolio Optimization 103preferenc
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Portfolio Optimization 105In additi
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Portfolio Optimization 107On this p
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Portfolio Optimization 109core long
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112 BIBLIOGRAPHYIlmanen. (2012). Ex
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114 INDEXCapital gains taxes, 93for
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116 INDEXJarque-Bera test, 10Joint
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118 INDEXPortfolio (Continued)expec
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120 INDEXThree-dimensional risk pre