Theory and Practice of Investment Management - Asset Allocation, Valuation, Portfolio Construction, and Strategies

Informationen zum Autor 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. Klappentext THE THEORY AND PRACTICE OF INVESTMENT MANAGEMENT SECOND EDITION In the challenging post?financial crisis environment, investment managers require an understanding of a multitude of different issues, from how investment objectives are determined to the best way to construct a portfolio given an investment strategy. The Second Edition of The Theory and Practice of Investment Management recognizes these needs and addresses them with innovative insights from some of the most respected experts in the field of investment management. Led by financial experts Frank Fabozzi and Harry Markowitz, the contributors to this book?successful practitioners with hands-on expertise?combine real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within today's investment management arena. Divided into three comprehensive parts?(I) Instruments, Asset Allocation, Portfolio Selection, and Asset Pricing; (II) Equity Analysis and Portfolio Management; (III) Bond Analysis and Portfolio Management?this comprehensive investment management resource offers valuable insights and analysis of all pertinent investment products while exploring a wide range of investment strategies. Engaging and informative, the Second Edition of The Theory and Practice of Investment Management skillfully covers some of the most important aspects of this discipline along with the investment vehicles associated with it. Essential reading for practitioners and students alike, this valuable guide?which contains key points and challenging questions in each chapter?will help you use proven investment management techniques to protect and grow a portfolio within today's dynamic financial environment. Zusammenfassung An updated guide to the theory and practice of investment managementMany 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 worldThis 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. Inhaltsverzeichnis About the Editors xiii Cont...

Sommario

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.
 

Dettagli sul prodotto

• Autori: Fabozzi, FJ Fabozzi, Frank J Fabozzi, Frank J. Fabozzi, Frank J. (School of Management Fabozzi, Frank J. Markowitz Fabozzi, FABOZZI FRANK J MARKOWITZ HARRY, Markowitz
• Con la collaborazione di: Frank J. Fabozzi (Editore), Fabozzi Frank J. (Editore), Harry M. Markowitz (Editore), Markowitz Harry M. (Editore)
• Editore: Wiley, John and Sons Ltd
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 27.04.2011
• EAN: 9780470929902
• ISBN: 978-0-470-92990-2
• Pagine: 704
• Serie: Frank J. Fabozzi Series; Wiley Desktop Editions; Frank J. Fabozzi; Wiley Desktop Editions; Frank J. Fabozzi; Frank J. Fabozzi Series
• Categorie: Scienze sociali, diritto, economia > Economia > Economia aziendale; Finance & Investments, Finanz- u. Anlagewesen, Institutionelle Finanzplanung, Institutional & Corporate Finance