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Sunday, July 17, 2011

Dynamic Asset Allocation

Author: Claus Munk
Type: Study Notes, Lecture Notes, e-book
Level: Advanced MSc(Fin),  MSc(Math Fin), Phd(Fin)

In chapter 1, Claus Munk introduces the reader to the concept of aaset allocation. Chapter 2 deals with Preferences, utility functions and risk aversion. The author covers one-period models and mean-variance analysis in chapter 3 and discrete-time multiperiod models in chapter 4. Chapter 5 is an introduction to continuous time modelling. Chapter 6 discusses asset allocation with constant investment opportunities and chapter 7 discusses stochastic investment opportunities. The martingale approach to solve the problem is developed next. Chapters 10 and 11 are about asset allocation with stochastic interest rates and stochastic risk premia respectively. The role of inflation risk is discussed next. The author has also included a section about labor income. Some special cases follow with a discussion about non-standard preferences to follow. An appendix on stochastic calculus can be serve as a crash course on the subject.

Claus Munk's Dynamic Asset Allocation can be found in the following link

Dynamic Asset Allocation

Claus Munk is professor of Finance at Aarhus University, Denmark.

Official site:
http://person.au.dk/en/cmunk@econ


Personal Home Page
http://sites.google.com/site/munkfinance/




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