Portfolio Theory and Performance Analysis
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.
1 Presentation of the Portfolio Management Environment
2 The Basic Performance Analysis Concepts
3 The Basic Elements of Modern Portfolio Theory
4 The Capital Asset Pricing Model and its Application to Performance Measurement
5 Developments in the Field of Performance Measurement
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AIMR allows APT model asset allocation asset classes Asset Pricing asset returns Barra benchmark beta calculation CAPM Chapter characteristics compared component correlation countries decomposition defined denotes the return developed diversification E(Ri E(RP efficient frontier equity estimated evaluated exchange rates expected return Fabozzi factor model Fama Financial forecast formula hedged implicit factors interest rates investment management investment style investors Jensen measure linear manager’s march´es market capitalisation market portfolio Markowitz method modern portfolio theory multi-factor models mutual funds obtained optimal performance analysis performance attribution performance measurement performance persistence period Portfolio Management portfolio performance portfolio return portfolio risk presented rate of return reference currency regression risk factors risk premium risk-adjusted risk-free asset risk-free rate risky assets sector securities Sharpe ratio stock picking strategy style indices sub-periods survivorship bias term Treynor Treynor ratio variables variance variance–covariance matrix weightings written as follows yield curve