Amenc / Le Sourd Portfolio Theory and Performance Analysis

1. Auflage 2005
ISBN: 978-0-470-85875-2
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 280 Seiten, E-Book

Reihe: The Wiley Finance Series

For many years asset management was considered to be a marginalactivity, but today, it is central to the development of financialindustry throughout the world. Asset management's transition froman "art and craft" to an industry has inevitably called integratedbusiness models into question, favouring specialisation strategiesbased on cost optimisation and learning curve objectives. This bookconnects each of these major categories of techniques and practicesto the unifying and seminal conceptual developments of modernportfolio theory.
In these bear market times, performance evaluation of portfoliomanagers is of central focus. This book will be one of very few onthe market and is by a respected member of the profession.
* Allows the professionals, whether managers or investors, totake a step back and clearly separate true innovations from mereimprovements to well-known, existing techniques
* Puts into context the importance of innovations with regard tothe fundamental portfolio management questions, which are theevolution of the investment management process, risk analysis andperformance measurement
* Takes the explicit or implicit assumptions contained in thepromoted tools into account and, by so doing, evaluate the inherentinterpretative or practical limits

Autoren/Hrsg.

Amenc, Noel

Le Sourd, Veronique

Inhaltsverzeichnis

Acknowledgements.
Biographies.
Introduction.
1. Presentation of the Portfolio Management Environment.
1.1 The different categories of assets.
1.2 Definition of portfolio management.
1.3 Organisation of portfolio management and description of theinvestment management process.
1.4 Performance analysis and market efficiency.
1.5 Performance analysis and the AIMR standards.
1.6 International investment: additional elements to be takeninto account.
1.7 Conclusion.
2. The Basic Performance Analysis Concepts.
2.1 Return calculation.
2.2 Calculating relative return.
2.3 Definition of risk.
2.4 Estimation of parameters.
2.5 Conclusion.
3. The Basic Elements ofModern Portfolio Theory.
3.1 Principles.
3.2 The Markowitz model.
3.3 Efficient frontier calculation algorithm.
3.4 Simplified portfolio modelling methods.
3.5 Conclusion .
4. The Capital Asset Pricing Model and its Application toPerformance Measurement.
4.1 The CAPM.
4.2 Applying the CAPM to performance measurement: single-indexperformance measurement indicators.
4.3 Evaluating the management strategy with the help of modelsderived from the CAPM: timing analysis.
4.4 Measuring the performance of internationally diversifiedportfolios: extensions to the CAPM.
4.5 The limitations of the CAPM.
5. Developments in the Field of Performance Measurement.
5.1 Heteroskedastic models.
5.2 Performance measurement method using a conditional beta.
5.3 Performance analysis methods that are not dependent on themarket model .
5.4 Conclusion.
6. Multi-factor Models and their Application to PerformanceMeasurement.
6.1 Presentation of the multi-factor models.
6.2 Choosing the factors and estimating the modelparameters.
6.3 Extending the models to the international arena.
6.4 Applying multi-factor models.
6.5 Summary and conclusion.
7. Evaluating the Investment Management Process and DecomposingPerformance.
7.1 The steps in constructing a portfolio.
7.2 Performance decomposition and analysis.
8. Fixed Income Security Investment.
8.1 Modelling yield curves: the term structure of interestrates.
8.2 Managing bond portfolio.
8.3 Performance analysis for fixed income securityinvestment.
Conclusion.
Index.

Über Autor(innen)

Noel Amenc is professor of finance at the Edhec BusinessSchool, where he is in charge of the Risk and Asset Managementresearch centre. Noel is also associate editor of theJournal of Alternative Investments. He is the author ofnumerous publications in the domain of portfolio management,notably in the areas of asset allocation and performancemeasurement. He also holds significant positions within theasset management industry, including head of research with MisysAsset Management Systems.
Veronique Le Sourd holds an advanced graduatediploma in applied mathematics from the Université Pierre andMarie Curie (Paris VI) and has worked as a research assistantwithin the finance and economics departments of HEC BusinessSchool. She is currently a research engineer for Misys AssetManagement Systems and associate researcher with the Edhec Risk andAsset Management Research Centre.