Portfolio Theory and Performance Analysis
The Wiley Finance Series 1. Aufl.
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
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 the investment 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 taken into 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 of Modern 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 to Performance Measurement. 4.1 The CAPM. 4.2 Applying the CAPM to performance measurement: single-index performance measurement indicators. 4.3 Evaluating the management strategy with the help of models derived from the CAPM: timing analysis. 4.4 Measuring the performance of internationally diversified portfolios: 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 the market model . 5.4 Conclusion. 6. Multi-factor Models and their Application to Performance Measurement. 6.1 Presentation of the multi-factor models. 6.2 Choosing the factors and estimating the model parameters. 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 Decomposing Performance. 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 interest rates. 8.2 Managing bond portfolio. 8.3 Performance analysis for fixed income security investment. Conclusion. Index.
Noel Amenc is professor of finance at the Edhec Business School, where he is in charge of the Risk and Asset Management research centre. Noel is also associate editor of the Journal of Alternative Investments. He is the author of numerous publications in the domain of portfolio management, notably in the areas of asset allocation and performance measurement. He also holds significant positions within the asset management industry, including head of research with Misys Asset Management Systems. Veronique Le Sourd holds an advanced graduate diploma in applied mathematics from the Université Pierre and Marie Curie (Paris VI) and has worked as a research assistant within the finance and economics departments of HEC Business School. She is currently a research engineer for Misys Asset Management Systems and associate researcher with the Edhec Risk and Asset Management Research Centre.
This book is a most extensive and remarkable synthesis of the contribution of best-known academics in finance to modern portfolio and market efficiencies theories. Indeed, a valuable hindsight and updating of the evolutionary perspective of portfolio management, investment process and performance analysis on multistyles and multiclasses assets. – Pierre Palasi, Chairman, LCF Rothschild Multimanagment A wonderful step forward in portfolio management texts! The book is a “soup-to-nuts” feast covering almost all aspects of portfolio management. It takes readers from the basic conceptual underpinnings through important issues such as VaR, extreme value distribution. It covers both equities and fixed income. The material is well laid out, up-to-date, and strikes a welcome balance between presenting the academic background for topics and providing a good feel for current industry practice. I also liked the fact the international issues surfaced frequently, as they should! – Terry Marsh, Professor of Finance, University of California, Berkeley The contribution of Prof. Amenc and V. Le Sourd will undoubtedly enable practitioners and other investors alike to better apprehend the tools and techniques available to them, as well as their relevance, in making informed investment decisions in today’s increasingly turbulent and complex financial markets – Jean Castellini, Managing Director, Frank Russell Company Ltd (France) Sound investment decisions rest on identifying and selecting portfolio managers who are expected to deliver superior performance. Measuring the performance of portfolio managers is a challenging task, because performance must be evaluated in a risk-adjusted sense. In this book, Nöel Amenc and Véronique Le Sourd provide the reader with an insightful account of how modern portfolio theory can be used to achieve relevant risk-adjusted performance evaluation. The authors have managed to compile a very comprehensive and structured overview of the set of statistical techniques used to distinguish systematic performance effects from pure chance and to account for the risks taken to earn them. This book is likely to become the reference work in portfolio performance evaluation – Lionel Martellini, PhD, Assistance Professor of Finance, Marshall School of Business, University of Southern California
Asset management has become central to the development of the financial industry, both in the United States and Europe. The increasing number of cross-border merger and acquisition operations and the extremely high valuations that are put on those operations are evidence of the major financial establishments’ desire to invest in a sector that they consider to be essential to their strategy of globalising and "financialising" their activities. 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. Faced with an abundance of tools and academic references, it is important to place all the practices, empirical studies and innovations in their context, given that they are always described as "major" by their promoters in the area of portfolio theory. Portfolio Theory and Performance Analysis allow the professionals, whether managers or investors, to take a step back and c learly 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. This book connects each of the major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory, whether these involve measuring the return on a portfolio, analysing portfolio risk or evaluating the quality of the portfolio management process.
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