✍ Scribed by Jeremy Kwok
No coin nor oath required. For personal study only.
'Macroeconometric Models for Portfolio Management' begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly.
This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, 'Macroeconometric Models for Portfolio Management' will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.
Table of Contents
Preface
List of acronyms
List of Figures and Tables
Part I: Overall Framework and Financial Theories
Introduction
Portfolio Theory and CAPM
Asset Return Predictability
Part II: Macroeconometric Models
Historical Perspectives on Macroeconometrics
Methodology of Macroeconometric Models Small Models
Methodology of Modelling Volatility GARCH Models
Methodology of Macroeconometric Models Global Large Models
GVAR Model Validation and Forecasting
Testing Forecasting Ability of GVAR Model
Part III: Portfolio Management and Backtesting
Portfolio Management: Forecasts, Risk and Position Size
Trading Rules and Backtesting
Backtesting with the Excel Workbook
Example 1 Backtesting Strategy Single Position Long-Short
Example 2 Backtesting Strategy Multiple Positions Long-Short
Bibliography
Index
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