The Theory and Practice of Investment Management

Asset Allocation, Valuation, Portfolio Construction, and Strategies
Herausgegeben von Fabozzi, Frank J.; Markowitz, Harry M.

• Gebundenes Buch

Produktbeschreibung

An updated guide to the theory and practice of investment management

Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process.

The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications, this book gives you a unique opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances.
Contains new material on the latest tools and strategies for both equity and fixed income portfolio management
Includes key take-aways as well as study questions at the conclusion of each chapter
A timely updated guide to an important topic in today's investment world

This comprehensive investment management resource combines real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within the investment management arena.

Produktdetails

• Frank J. Fabozzi Series
• Verlag: Wiley & Sons
• 2. Aufl.
• Seitenzahl: 704
• Erscheinungstermin: 5. April 2011
• Englisch
• Abmessung: 235mm x 157mm x 42mm
• Gewicht: 1045g
• ISBN-13: 9780470929902
• ISBN-10: 0470929901
• Artikelnr.: 32461276

Autorenporträt

FRANK J. FABOZZI, PhD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management, Editor of the Journal of Portfolio Management, and an Associate Editor of the Journal of Fixed Income. He is on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. HARRY M. MARKOWITZ, PHD, is a consultant in the area of finance. In 1990, he was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his groundbreaking work in portfolio theory. In 1989, he received the John von Neumann Theory Prize from the Operations Research Society of America for his work in portfolio theory and other applications of mathematics and computers to business practice.

Inhaltsangabe

About the Editors. Contributing Authors. Foreword. PART ONE: Instruments,
Asset Allocation, Portfolio Selection, and Asset Pricing. CHAPTER 1:
Overview of Investment Management (Frank J. Fabozzi and Harry M.
Markowitz). Setting Investment Objectives. Establishing an Investment
Policy. Selecting a Portfolio Strategy. Constructing the Portfolio.
Measuring and Evaluating Performance. Key Points. CHAPTER 2: Asset Classes,
Alternative Investments, Investment Companies, and Exchange-Traded Funds
(Mark J. P. Anson, Frank J. Fabozzi, and Frank J. Jones). Asset Classes.
Overview of Alternative Asset Products. Investment Companies.
Exchange-Traded Funds. Mutual Funds vs. ETFs: Relative Advantages. Key
Points. Questions. CHAPTER 3: Portfolio Selection (Frank J. Fabozzi, Harry
M. Markowitz, Petter N. Kolm, and Francis Gupta). Some Basic Concepts.
Measuring a Portfolio's Expected Return. Measuring Portfolio Risk.
Portfolio Diversification. Choosing a Portfolio of Risky Assets. Issues in
Portfolio Selection. Key Points. Questions. CHAPTER 4: Capital Asset
Pricing Models (Frank J. Fabozzi and Harry M. Markowitz). Sharpe-Lintner
CAPM. Roy CAPM. Confusions Regarding the CAPM. Two Meanings of Market
Efficiency. CAPM Investors Do Not Get Paid for Bearing Risk. The "Two Beta"
Trap. Key Points. Questions. CHAPTER 5: Factor Models (Guofu Zhou and Frank
J. Fabozzi). Arbitrage Pricing Theory. Types of Factor Models. Factor Model
Estimation. Keypoints. Appendix: Principal Component Analysis in Finance.
Questions. CHAPTER 6: Modeling Asset Price Dynamics (Dessislava A.
Pachamanova and Frank J. Fabozzi). Financial Time Series. Binomial Trees.
Arithmetic Random Walks. Geometric Random Walks. Mean Reversion. Advanced
Random Walk Models. Stochastic Processes. Key Points. Questions. CHAPTER 7:
Asset Allocation and Portfolio Construction (Noël Amenc, Felix Goltz,
Lionel Martellini, and Vincent Milhau). Asset Allocation and Portfolio
Construction Decisions in the Optimal Design of the Performance-Seeking
Portfolio. Asset Allocation and Portfolio Construction Decisions in the
Optimal Design of the Liability-Hedging Portfolio. Dynamic Allocation
Decisions to the Performance-Seeking and Liability-Hedging Portfolios. Key
Points. Appendix. Questions. PART TWO: Equity Analysis and Portfolio
Management. CHAPTER 8: Fundamentals of Common Stock (Frank J. Fabozzi,
Frank J. Jones, Robert R. Johnson, and Pamela P. Drake). Earnings.
Dividends. The U.S. Equity Markets. Trading Mechanics. Trading Costs. Stock
Market Indicators. Key Points. Questions. CHAPTER 9: Common Stock Portfolio
Management Strategies (Frank J. Fabozzi, James L. Grant, and Raman
Vardharaj). Integrating the Equity Portfolio Management Process. Capital
Market Price Efficiency. Tracking Error and Related Measures. Active vs.
Passive Portfolio Management. Equity Style Management. Passive Strategies.
Active Investing. Performance Evaluation. Key Points. Questions. CHAPTER
10: Approaches to Common Stock Valuation (Pamela P. Drake, Frank J.
Fabozzi, and Glen A. Larsen Jr.). Discounted Cash Flow Models. Relative
Valuation Methods. Key Points. Questions. CHAPTER 11: Quantitative Equity
Portfolio Management (Andrew Alford, Robert Jones, and Terence Lim).
Traditional and Quantitative Approaches to Equity Portfolio Management.
Forecasting Stock Returns, Risks, and Transaction Costs. Constructing
Portfolios. Trading. Evaluating Results and Updating the Process. Key
Points. Questions. CHAPTER 12: Long-Short Equity Portfolios (Bruce I.
Jacobs and Kenneth N. Levy). Constructing a Market-Neutral Portfolio. The
Importance of Integrated Optimization. Adding Back a Market Return. Some
Concerns Addressed. Evaluating Long-Short. Key Points. Questions. CHAPTER
13: Multifactor Equity Risk Models (Frank J. Fabozzi, Raman Vardharaj, and
Frank J. Jones). Model Description and Estimation. Risk Decomposition.
Applications in Portfolio Construction and Risk Control. Key Points.
Questions. CHAPTER 14: Fundamentals of Equity Derivatives (Bruce M. Collins
and Frank J. Fabozzi). The Role of Derivatives. Listed Equity Options.
Futures Contracts. Pricing Stock Index Futures. OTC Equity Derivatives.
Structured Products. Key Points. Questions. CHAPTER 15: Using Equity
Derivatives in Portfolio Management (Bruce M. Collins and Frank J.
Fabozzi). Equity Investment Management. Portfolio Applications of Listed
Options. Portfolio Applications of Stock Index Futures. Applications of OTC
Equity Derivatives. Risk and Expected Return of Option Strategies. Key
Points. Questions. PART THREE: Bond Analysis and Portfolio Management.
CHAPTER 16: Bonds, Asset-Backed Securities, and Mortgage-Backed Securities
(Frank J. Fabozzi). General Features of Bonds. U.S. Treasury Securities.
Federal Agency Securities. Corporate Bonds. Municipal Securities.
Asset-Backed Securities. Residential Mortgage-Backed Securities. Commercial
Mortgage-Backed Securities. Key Points. Questions. CHAPTER 17: Bond
Analytics (Frank J. Fabozzi). Basic Valuation of Option-Free Bonds.
Conventional Yield Measures. Total Return. Measuring Interest Rate Risk.
Key Points. Questions. CHAPTER 18: Bond Analytics (Frank J. Fabozzi and
Steven V. Mann). Arbitrage-Free Bond Valuation. Yield Spread Measures.
Forward Rates. Overview of the Valuation of Bonds with Embedded Options.
Lattice Model. Valuation of MBS and ABS. Key Points. Questions. CHAPTER 19:
Bond Portfolio Strategies for Outperforming a Benchmark (Bülent Baygün and
Robert Tzucker). Selecting the Benchmark Index. Creating a Custom Index.
Beating the Benchmark Index. Key Points. Questions. CHAPTER 20: The Art of
Fixed Income Portfolio Investing (Chris P. Dialynas and Ellen J. Rachlin).
The Global Fixed Income Portfolio Manager. The Global Challenge. Portfolio
Parameters. Regulatory Changes, Demographic Trends, and Institutional Bias.
Information in the Markets. Duration and Yield Curve. Volatility.
International Corporate Bonds. International Investing and Political
Externalities. Foreign Investment Selection. Currency Selection. Key
Points. Questions. CHAPTER 21: Multifactor Fixed Income Risk Models and
Their Applications (Anthony Lazanas, António Baldaque da Silva, Radu
Gabudean, and Arne D. Staal). Approaches Used to Analyze Risk. Applications
of Risk Modeling. Key Points. Questions. CHAPTER 22: Interest Rate
Derivatives and Risk Control (Frank J. Fabozzi). Interest Rate Futures and
Forward Contracts. Interest Rate Swaps. Interest Rate Options. Interest
Rate Agreements (Caps and Floors). Key Points. Questions. CHAPTER 23:
Credit Default Swaps and the Indexes (Stephen J. Antczak, Douglas J. Lucas,
and Frank J. Fabozzi). What Are Credit Default Swaps? Credit Default Swaps
Indexes. Key Points. Questions. About the Web Site. Index.