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Dynamic Asset Allocation: Modern Portfolio Theory Updated for the Smart Investor

ISBN: 978-1-57660-359-8
256 pages
February 2010
Dynamic Asset Allocation: Modern Portfolio Theory Updated for the Smart Investor (1576603598) cover image


Today’s modern portfolio theory is not your father’s MPT. It has undergone many changes in the past fifty years. Indeed, a new understanding of MPT has emerged, one that has a significant impact on managing asset allocation—especially in today’s turbulent markets. Dynamic Asset Allocation interprets and integrates the developments in modern portfolio theory: from the efficient-market hypothesis and indexing of decades past to strategies for building winning portfolios today. The book is filled with practical, hands-on advice for investors, including guidance on approaching investment as a risk-management task.
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Table of Contents



1 In the Beginning.

2 Inventing Portfolio Theory.

3 Other Betas.

4 Rethinking Random Walks and Efficient Markets.

5 The Market Portfolio Is the Benchmark.

6 Rebalancing.

7 Tactical Asset Allocation.

8 Customizing Asset Allocation.

9 Equilibrium, Economics, and Estimates.

10 What Have We Learned After Fifty Years?



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Author Information

James Picerno is a financial journalist who has been writing about finance and investment theory for more than twenty years. He currently contributes to trade magazines for financial professionals and financial advisers, edits The Beta Investment Report, and writes the finance blog, the Capital Spectator. He has written for Barron’s, Investment Advisor, Mutual Funds, and Bloomberg Markets.
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"Picerno's look at modern portfolio theory's evolution offers a timely reminder that the design and management of asset allocation is still the critical element for successful investing."
— Harold Evensky, CFP
President, Evensky & Katz Wealth Management
"What Peter Bernstein did for the history of portfolio theory in Capital Ideas, Picerno does for its real-world application. He captures the nuanced soup of theory, markets, and investor behavior better than any other writer on investing."
— Patrick Geddes
Cofounder and Chief Investment Officer, Aperio Group
Former CFO and Director of Quantitative Research, Morningstar Inc.
"Picerno puts the tires to the pavement on Peter Bernstein's 2003 proclamation that the policy portfolio is dead. Picerno masterfully articulates the implications that follow from the notion that although the market portfolio may be efficient, markets may not be."
— Rodney N. Sullivan, CFA
Editor, Financial Analysts Journal at CFA Institute
"Dynamic Asset Allocation is cogently written in a very readable style. James Picerno presents readers with a wonderful history of the developments in asset allocation and then profides an excellent frameword for investors to utitilize the discipline of asset allocation in their own portfolio-composition process. Any serious investor will want to have this book in their library."
— Gary P. Brinson
President, GP Brinson Investments
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