Lucas wrote:
> Hi guys, it's my first post here. I'm writing my dissertation (i will
> graduate this fall) and I'm searching here and there some material
> about asset allocation theory. I need to write a chapter of my work
> on this issue, and I was asking myself if somebody here can help me
> by indicating a book or paper or something where is described with
> precision the asset allocation process, the theory and everything
> interesting about that. What I need is a good scheme for the chapter.
It's generally referred to as Modern ****tfolio Theory. You should be
able to find lots of references under that. William Bernstein has a
couple of books explaining aspects of this, with some math as I recall.
Most of MPT is based on the work of Fama and French.
It's not clear exactly what you need. Books on asset allocation
frequently feature charts or tables with back-tested data showing risk
and return for various allocations.
Brian
--
If televison's a babysitter, the Internet is a drunk librarian who
won't shut up.
-- Dorothy Gambrell (http://catandgirl.com)
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