Portfolio Theory And Performance Analysis
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Portfolio Theory And Performance Analysis
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Author : Noel Amenc
language : en
Publisher: John Wiley & Sons
Release Date : 2003-10-10
Portfolio Theory And Performance Analysis written by Noel Amenc and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-10-10 with Business & Economics categories.
For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits
Portfolio Theory And Performance Analysis
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Author : Noel Amenc
language : en
Publisher: John Wiley & Sons
Release Date : 2005-01-21
Portfolio Theory And Performance Analysis written by Noel Amenc and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-21 with Business & Economics categories.
For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits
Modern Portfolio Theory And Investment Analysis
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Author : Edwin J. Elton
language : en
Publisher: John Wiley & Sons
Release Date : 2014-01-21
Modern Portfolio Theory And Investment Analysis written by Edwin J. Elton and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-21 with Business & Economics categories.
An excellent resource for investors, Modern Portfolio Theory and Investment Analysis, 9th Edition examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. A chapter on behavioral finance is included, aimed to explore the nature of individual decision making. A chapter on forecasting expected returns, a key input to portfolio management, is also included. In addition, investors will find material on value at risk and the use of simulation to enhance their understanding of the field.
Portfolio Theory And Management
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Author : H. Kent Baker
language : en
Publisher: Oxford University Press
Release Date : 2013-01-07
Portfolio Theory And Management written by H. Kent Baker and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-07 with Business & Economics categories.
Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.
Modern Portfolio Theory Website
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Author : Jack Clark Francis
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-22
Modern Portfolio Theory Website written by Jack Clark Francis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-22 with Business & Economics categories.
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
The Complete Guide To Portfolio Performance
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Author : Pascal François
language : en
Publisher: John Wiley & Sons
Release Date : 2024-04-23
The Complete Guide To Portfolio Performance written by Pascal François and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-23 with Business & Economics categories.
An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.
Review Of Noel Amenc And Veronique Le Sourd S Portfolio Theory And Performance Analysis
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Author : Craig W. French
language : en
Publisher:
Release Date : 2004
Review Of Noel Amenc And Veronique Le Sourd S Portfolio Theory And Performance Analysis written by Craig W. French and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Here is a very readable and comprehensive book, produced by practitioner/academics Amenc and Le Sourd (Misys Asset Management Systems/Edhec). It is well suited as an MBA level investments course text, and the material is presented in a very accessible fashion for the practitioner. The Book covers the Portfolio Management Environment, performance analysis, MPT including the CAPM, APT, performance measurement, the portfolio construction process, and fixed income securities. The authors have produced a well-researched and readable exposition that most practitioners would find to be a handy reference, and students would be well served with as a text.
Emerging Intelligent Technologies In Industry
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Author : Dominik Ryżko
language : en
Publisher: Springer
Release Date : 2011-08-31
Emerging Intelligent Technologies In Industry written by Dominik Ryżko and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-31 with Computers categories.
Intelligent technologies are the essential factors of innovation, and enable the industry to overcome technological limitations and explore the new frontiers. Therefore it is necessary for scientists and practitioners to cooperate and inspire each other, and use the latest research results in creating new designs and products. The idea of this book came out with the industrial workshop organized at the ISMIS conference in Warsaw, 2011. The book covers several applications of emerging, intelligent technologies in various branches of the industry. The contributions describe modern intelligent tools, algorithms and architectures, which have the potential to solve real problems, experienced by practitioners in various industry sectors. We hope this volume will show new directions for cooperation between science and industry and will facilitate efficient transfer of knowledge in the area of intelligent information systems.
Strategic And Tactical Asset Allocation
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Author : Henrik Lumholdt
language : en
Publisher: Springer
Release Date : 2018-07-21
Strategic And Tactical Asset Allocation written by Henrik Lumholdt and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-21 with Business & Economics categories.
This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.
Asset Management And Institutional Investors
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Author : Ignazio Basile
language : en
Publisher: Springer
Release Date : 2016-07-27
Asset Management And Institutional Investors written by Ignazio Basile and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Business & Economics categories.
This book analyses investment management policies for institutional investors. It is composed of four parts. The first one analyses the various types of institutional investors, institutions which, with different objectives, professionally manage portfolios of financial and real assets on behalf of a wide variety of individuals. This part goes on with an in-depth analysis of the economic, technical and regulatory characteristics of the different types of investment funds and of other types of asset management products, which have a high rate of substitutability with investment funds and represent their natural competitors. The second part of the book identifies and investigates the stages of the investment portfolio management. Given the importance of strategic asset allocation in explaining the ex post performance of any type of investment portfolio, this part provides an in-depth analysis of asset allocation methods, illustrating the different theoretical and operational solutions available to institutional investors. The third part describes performance assessment, its breakdown and risk control, with an in-depth examination of performance evaluation techniques, returns-based style analysis approaches, and performance attribution models. Finally, the fourth part deals with the subject of diversification into alternative asset classes, identifying the common characteristics and their possible role within the framework of investment management policies. This part analyses hedge funds, private equity, real estate, commodities, and currency overlay techniques.