Managing Investment Portfolios. A Dynamic Process. 3rd Edition. CFA Institute Investment Series

  • ID: 2242399
  • Book
  • 960 Pages
  • John Wiley and Sons Ltd
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"A rare blend of a well–organized, comprehensive guide to portfolio management and a deep, cutting–edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein′s thoughtful Foreword can move you forward in your thinking about this critical subject."

Martin L. Leibowitz, Morgan Stanley

"Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition."
Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University

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Foreword xiii

Preface xvii

Acknowledgments xix

Introduction xxi

CHAPTER 1 The Portfolio Management Process and the Investment Policy Statement 1

1 Introduction 1

2 Investment Management 2

3 The Portfolio Perspective 4

4 Portfolio Management as a Process 4

5 The Portfolio Management Process Logic 5

6 Investment Objectives and Constraints 11

7 The Dynamics of the Process 17

8 The Future of Portfolio Management 18

9 The Ethical Responsibilities of Portfolio Managers 18

CHAPTER 2 Managing Individual Investor Portfolios 20

1 Introduction 20

2 CaseStudy 21

3 Investor Characteristics 24

4 Investment Policy Statement 34

5 An Introduction to Asset Allocation 50

CHAPTER 3 Managing Institutional Investor Portfolios 63

1 Overview 63

2 PensionFunds 64

3 Foundations and Endowments 85

4 The Insurance Industry 101

5 Banks and Other Institutional Investors 120

CHAPTER 4 Capital Market Expectations 128

1 Introduction 128

2 Organizing the Task: Framework and Challenges 129

3 Tools for Formulating Capital Market Expectations 146

4 Economic Analysis 174

CHAPTER 5 Asset Allocation 230

1 Introduction 230

2 What is Asset Allocation? 231

3 Asset Allocation and the Investor s Risk and Return Objectives 236

4 The Selection of Asset Classes 248

5 The Steps in Asset Allocation 254

6 Optimization 257

7 Implementing the Strategic Asset Allocation 296

8 Strategic Asset Allocation for Individual Investors 299

9 Strategic Asset Allocation for Institutional Investors 307

10 Tactical Asset Allocation 320

CHAPTER 6 Fixed–Income Portfolio Management 328

1 Introduction 328

2 A Framework for Fixed–Income Portfolio Management 329

3 Managing Funds Against a Bond Market Index 331

4 Managing Funds Against Liabilities 346

5 Other Fixed–Income Strategies 369

6 International Bond Investing 390

7 Selecting a Fixed–Income Manager 402

CHAPTER 7 Equity Portfolio Management 407

1 Introduction 407

2 The Role of the Equity Portfolio 408

3 Approaches to Equity Investment 410

4 Passive Equity Investing 412

5 Active Equity Investing 429

6 Semiactive Equity Investing 455

7 Managing a Portfolio of Managers 458

8 Identifying, Selecting, and Contracting with Equity Portfolio Managers 466

9 Structuring Equity Research and Security Selection 474

CHAPTER 8 Alternative Investments Portfolio Management 477

1 Introduction 477

2 Alternative Investments: Definitions, Similarities, and Contrasts 478

3 Real Estate 485

4 Private Equity/Venture Capital 498

5 Commodity Investments 516

6 Hedge Funds 530

7 Managed Futures 557

8 Distressed Securities 568

CHAPTER 9 Risk Management 579

1 Introduction 579

2 Risk Management as a Process 580

3 Risk Governance 583

4 Identifying Risks 585

5 Measuring Risk 596

6 Managing Risk 624

CHAPTER 10 Execution of Portfolio Decisions 637

1 Introduction 637

2 The Context of Trading: Market Microstructure 638

3 The Costs of Trading 653

4 Types of Traders and Their Preferred Order Types 663

5 Trade Execution Decisions and Tactics 666

6 Serving the Client s Interests 678

7 Concluding Remarks 681

CHAPTER 11 Monitoring And Rebalancing 682

1 Introduction 682

2 Monitoring 683

3 Rebalancing the Portfolio 701

4 Concluding Remarks 716

CHAPTER 12 Evaluating Portfolio Performance 717

1 Introduction 717

2 The Importance of Performance Evaluation 718

3 The Three Components of Performance Evaluation 719

4 Performance Measurement 720

5 Benchmarks 731

6 Performance Attribution 744

7 Performance Appraisal 766

8 The Practice of Performance Evaluation 775

CHAPTER 13 Global Investment Performance Standards 783

1 Introduction 783

2 Background of the GIPS Standards 784

3 Provisions of the GIPS Standards 792

4 Verification 840

5 GIPS Advertising Guidelines 845

6 Other Issues 847

Appendix: GIPS Glossary 856

Glossary 864

References 888

About the CFA Program 903

About the Authors 904

Index 913

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John L. Maginn
Donald L. Tuttle
Dennis W. McLeavey
Jerald E. Pinto
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