Asset Allocation, Valuation, Portfolio Construction, and Strategies
De som köpt den här boken har ofta också köpt The 48 Laws of Power av Robert Greene (häftad).
Köp båda 2 för 1046 krFRANK 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.
About the Editors xiii Contributing Authors xv Foreword xvii PART ONE Instruments, Asset Allocation, Portfolio Selection, and Asset Pricing 1 CHAPTER 1 Overview of Investment Management 3 Frank J. Fabozzi and Harry M. Markowitz Setting Investment Objectives 4 Establishing an Investment Policy 4 Selecting a Portfolio Strategy 6 Constructing the Portfolio 6 Measuring and Evaluating Performance 7 Key Points 14 CHAPTER 2 Asset Classes, Alternative Investments, Investment Companies, and Exchange-Traded Funds 15 Mark J. P. Anson, Frank J. Fabozzi, and Frank J. Jones Asset Classes 15 Overview of Alternative Asset Products 21 Investment Companies 31 Exchange-Traded Funds 36 Mutual Funds vs. ETFs: Relative Advantages 39 Key Points 41 Questions 44 CHAPTER 3 Portfolio Selection 45 Frank J. Fabozzi, Harry M. Markowitz, Petter N. Kolm, and Francis Gupta Some Basic Concepts 47 Measuring a Portfolios Expected Return 49 Measuring Portfolio Risk 52 Portfolio Diversification 56 Choosing a Portfolio of Risky Assets 60 Issues in Portfolio Selection 68 Key Points 76 Questions 78 CHAPTER 4 Capital Asset Pricing Models 79 Frank J. Fabozzi and Harry M. Markowitz Sharpe-Lintner CAPM 79 Roy CAPM 81 Confusions Regarding the CAPM 82 Two Meanings of Market Efficiency 83 CAPM Investors Do Not Get Paid for Bearing Risk 94 The Two Beta Trap 95 Key Points 100 Questions 101 CHAPTER 5 Factor Models 103 Guofu Zhou and Frank J. Fabozzi Arbitrage Pricing Theory 104 Types of Factor Models 105 Factor Model Estimation 112 Key Points 118 Appendix: Principal Component Analysis in Finance 119 Questions 124 CHAPTER 6 Modeling Asset Price Dynamics 125 Dessislava A. Pachamanova and Frank J. Fabozzi Financial Time Series 125 Binomial Trees 127 Arithmetic Random Walks 128 Geometric Random Walks 134 Mean Reversion 142 Advanced Random Walk Models 148 Stochastic Processes 152 Key Points 157 Questions 158 CHAPTER 7 Asset Allocation and Portfolio Construction 159 Nol Amenc, Felix Goltz, Lionel Martellini, and Vincent Milhau Asset Allocation and Portfolio Construction Decisions in the Optimal Design of the Performance-Seeking Portfolio 161 Asset Allocation and Portfolio Construction Decisions in the Optimal Design of the Liability-Hedging Portfolio 173 Dynamic Allocation Decisions to the Performance-Seeking and Liability-Hedging Portfolios 179 Key Points 195 Appendix 196 Questions 202 PART TWO Equity Analysis and Portfolio Management 205 CHAPTER 8 Fundamentals of Common Stock 207 Frank J. Fabozzi, Frank J. Jones, Robert R. Johnson, and Pamela P. Drake Earnings 208 Dividends 210 The U.S. Equity Markets 213 Trading Mechanics 215 Trading Costs 220 Stock Market Indicators 222 Key Points 224 Questions 226 CHAPTER 9 Common Stock Portfolio Management Strategies 229 Frank J. Fabozzi, James L. Grant, and Raman Vardharaj Integrating the Equity Portfolio Management Process 229 Capital Market Price Efficiency 230 Tracking Error and Related Measures 233 Active vs. Passive Portfolio Management 239 Equity Style Management 240 Passive Strategies 245 Active Investing 247 Performance Evaluation 264 Key Points 267 Questions 268 CHAPTER 10 Approaches to Common Stock Valuation 271 Pamela P. Drake, Frank J. Fabozzi, and Glen A. Larsen Jr. Discounted Cash Flow Models 271 Relative Valuation Methods 278 Key Points 284 Questions 285 CHAPTER 11 Quantitative Equity Portfolio Management 287 Andrew Alford, Robert Jones, and Terence Lim Traditional and Quantitative Approaches to Equity Portfolio Management 289 Forecasting Stock Returns, Risks, and Transaction Costs 292 Constructing Portfolios 298 Trading 300 Evaluating Results and Updating the Process 302 Key Points 304 Questions 305 CHAPTER 12 Long-Short Equity Portfolios 307 Bruce I. Jacobs and Kenneth N. Levy Constructing a Market-Neutral Portfolio 308 The