Portfolio Construction Measurement And Efficiency

Author : John B. Guerard, Jr.
Publisher : Springer
Page : 453 pages
File Size : 48,5 Mb
Release : 2016-09-23
Category : Business & Economics
ISBN : 9783319339764

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Portfolio Construction, Measurement, and Efficiency by John B. Guerard, Jr. Pdf

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
Page : 796 pages
File Size : 48,8 Mb
Release : 2009-12-12
Category : Business & Economics
ISBN : 9780387774398

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Handbook of Portfolio Construction by John B. Guerard, Jr. Pdf

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Author : Stephen Satchell
Publisher : Springer
Page : 369 pages
File Size : 54,7 Mb
Release : 2016-09-20
Category : Business & Economics
ISBN : 9783319307947

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Asset Management by Stephen Satchell Pdf

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.

Author : John B. Guerard,Ziwei Wang,Ganlin Xu
Publisher : SAS Institute
Page : 277 pages
File Size : 52,9 Mb
Release : 2019-04-03
Category : Computers
ISBN : 9781635266894

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Portfolio and Investment Analysis with SAS by John B. Guerard,Ziwei Wang,Ganlin Xu Pdf

Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 482 pages
File Size : 45,9 Mb
Release : 2009-08-05
Category : Business & Economics
ISBN : 9780071713665

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Portfolio Performance Measurement and Benchmarking by Jon A. Christopherson,David R. Carino,Wayne E. Ferson Pdf

In order to make sound investment choices, investors must know the projected return on investment in relation to the risk of not being paid. Benchmarks are excellent evaluators, but the failure to choose the right investing performance benchmark often leads to bad decisions or inaction, which inevitably results in lost profits. The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performace evaluation using benchmarks. In one inclusive volume, readers get foundational coverage on benchmark construction, as well as expert insight into specific benchmarks for asset classes and investment styles. Starting with the basics—such as return calculations and methods of dealing with cash flows—this thorough book covers a wide variety of performance measurement methodologies and evaluation techniques before moving into more technical material that deconstructs both the creation of indexes and the components of a desirable benchmark. Portfolio Performance Measurement and Benchmarking provides detailed coverage of benchmarks for: U.S. equities Global and international equities Fixed income Real estate The team of renowned authors offers illuminating opinions on the philosophy and development of equity indexes, while highlighting numerous mechanical problems inherent in building benchmarks and the implications of each one. Before you make your next investment, be certain your return will be worth the risk with Portfolio Performance Measurement and Benchmarking.

Author : Bernd Scherer,R. Douglas Martin
Publisher : Springer Science & Business Media
Page : 422 pages
File Size : 48,8 Mb
Release : 2005-05-03
Category : Business & Economics
ISBN : 9780387210162

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Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™ by Bernd Scherer,R. Douglas Martin Pdf

Portfolio optimization and construction methodologies have become an critical ingredient of asset and fund management, while at same time portfolio risk assesment has become an essential ingredient in risk management.

Author : Ludwig B Chincarini,Daehwan Kim
Publisher : McGraw Hill Professional
Page : 658 pages
File Size : 53,5 Mb
Release : 2010-08-18
Category : Business & Economics
ISBN : 0071492380

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Quantitative Equity Portfolio Management by Ludwig B Chincarini,Daehwan Kim Pdf

Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.

Author : H. Kent Baker,Greg Filbeck
Publisher : Oxford University Press
Page : 816 pages
File Size : 40,6 Mb
Release : 2013-01-07
Category : Business & Economics
ISBN : 9780199311514

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Portfolio Theory and Management by H. Kent Baker,Greg Filbeck Pdf

Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.

Author : Strong
Publisher : Unknown
Page : 252 pages
File Size : 49,6 Mb
Release : 1993
Category : Business & Economics
ISBN : 0314018859

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Portfolio Construction by Strong Pdf

Author : Gerald Roderick Brown
Publisher : Routledge
Page : 344 pages
File Size : 48,8 Mb
Release : 1991
Category : Business & Economics
ISBN : UOM:35128000080976

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Property Investment and the Capital Markets by Gerald Roderick Brown Pdf

Addresses various aspects of property investment and its relationship with the capital markets. Coverage includes such topics as decision making, market efficiency, hedging against inflation, portfolio construction and strategy, asset allocation and performance measurement.

Author : Russ Koesterich
Publisher : Harriman House Limited
Page : 248 pages
File Size : 48,6 Mb
Release : 2018-04-27
Category : Business & Economics
ISBN : 9780857196309

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Portfolio Construction for Today's Markets by Russ Koesterich Pdf

For most of the past 50 years the simplest asset allocation solution was often the best. A balanced portfolio of stocks and bonds provided the investor with good returns. Unfortunately, this approach is not likely to work as well in the future. Interest rates are close to historic lows, equity valuations and bond prices appear stretched, and global economic growth has slowed. Investors need a new asset allocation solution. In Portfolio Construction for Today's Markets, BlackRock Portfolio Manager and investment expert Russ Koesterich addresses this problem by describing the step-by-step approach to building a portfolio consistent with investor goals and suited to today’s market environment. This portfolio construction process is divided into six stages, beginning with setting objectives and moving through assessing risk tolerance, diversification, the importance of factors, generating return assumptions, and combining assets in a risk-controlled manner. In the final chapter, Mr Koesterich presents a highly useful summary of the five fundamental rules of asset allocation and a five-step checklist to follow when constructing portfolios. For investors and their advisors constructing portfolio in today's markets, this book is an indispensable new guide.

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 14 pages
File Size : 51,7 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733182

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Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation by Jon A. Christopherson,David R. Carino,Wayne E. Ferson Pdf

Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.

Author : Stephen Satchell,Alan Scowcroft
Publisher : Unknown
Page : 365 pages
File Size : 45,9 Mb
Release : 2003
Category : Business & Economics
ISBN : 0750654481

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Advances in Portfolio Construction and Implementation by Stephen Satchell,Alan Scowcroft Pdf

Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management. Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance. *Provides practical guidance on financial risk management *Covers the latest developments in investment portfolio construction *Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

Author : Richard O. Michaud,Robert O. Michaud
Publisher : Oxford University Press
Page : 144 pages
File Size : 49,6 Mb
Release : 2008-03-03
Category : Business & Economics
ISBN : 9780199715794

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Efficient Asset Management by Richard O. Michaud,Robert O. Michaud Pdf

In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.

Author : M. Rasmussen
Publisher : Springer
Page : 453 pages
File Size : 51,7 Mb
Release : 2002-12-13
Category : Business & Economics
ISBN : 9780230512856

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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by M. Rasmussen Pdf

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.