GARP Digital Library
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    Book/Article Detail

     
    Reading Title:
    Reading Author(s):
     
     
    Book Title:
    Book Author(s):
    Chapter:
    4
    Page Range:
    85-108
    Total Pages:
    24
     
     
    Publisher:
    Publication Year:
    2004
    Language:
    English
     
     
    		 
     
    FRM Paid Candidate Price:         US$4.50
    Reading Price:
    GARP Member (Non-Affiliate):   US$4.50
     
    Affiliate & Non-Member:             US$5.00
     
    * Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
     
     
     
    To purchase all chapters from this book currently available from GDL, click here.
     
     
    Quantitative Level:
    Non-Technical
     
     
    Keywords:
     
     
    Topics Covered:
    Bond factor model, term spread, default spread, interest rate, inflation, dividend yield, previous bond returns, previous stock returns, volatility of yield changes, manufacturing capacity utilization, small-stock price levels, annual return factor model for bonds, monthly return factor model for bonds
     
     
    Reading Abstract:
    After reviewing the Arbitrage Pricing Theory (APT) and factor models generally in chapter 2, this chapter focuses on research done on factors associated with changes in bond market returns. The chapter is filled with useful and practical information about the many potential factors for bond portfolios that have been investigated in prior research. The chapter is non-technical and a quick read.
     
     
    Reading Contents:
    4.1 A fundamental approach
    4.2 Factors investigated for a bond return model
    4.3 Term spread
    4.4 Default spread
    4.5 Interest rate
    4.6 Inflation
    4.7 Dividend yield
    4.8 Previous bond returns
    4.9 Previous stock returns
    4.10 Other factors found to be significant
    4.11 Annual return factor model for bonds
    4.12 Monthly return factor model for bonds
    References
     
     
    Buy the Book:
    If you are interested in purchasing the book, please click here.
     
     
    Book Review:
    *** From the publisher ***

    An exciting new model for improved asset allocation accuracy in every market environment.

    Modern Portfolio Theory (MPT) and asset allocation are the foundations on which most institutional investors base their decisions. But many aspects of MPT weren`t designed for today`s fast-changing markets.

    Dynamic Portfolio Theory and Management introduces a time-adaptive procedure that addresses this issue and simplifies the decision-making process. While asset allocation programs must adapt themselves to changing market conditions to succeed, how to accomplish that has been another matter. This book reveals a new model that:

    * Helps investors change allocations based on economic factors
    * Optimizes multi-time periods into a single future time period
    * Assists forecasting of stock prices, bond prices, and interest rates
     



    		 
       
    GARP Digital Library