【资管】 Asset Management: Portfolio Construction, Performance and Returns (2016

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Asset Management
Portfolio Construction, Performance and Returns

Editors: Stephen Satchell



Demystifies the Black–Litterman modelPresents robust portfolio construction strategies

Explores the performance of UK equity unit trusts

Analyses ex ante versus ex post measures

Covers issues in fundamental indexation in Europe

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.

Table of contents (16 chapters)

Front Matter
Pages i-xix

Introduction
Pages 1-8

Performance of UK Equity Unit Trusts
Pages 9-35

A Demystification of the Black-Litterman Model: Managing Quantitative and Traditional Portfolio Construction
Pages 36-53

Tracking Error: Ex Ante Versus Ex Post Measures
Pages 54-62

Performance Clustering and Incentives in the UK Pension Fund Industry
Pages 63-94

Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds
Pages 95-126

The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets
Pages 127-163

The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets Part 2
Pages 164-190

Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies
Pages 191-223

Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit?
Pages 224-257

Measuring Investor Sentiment in Equity Markets
Pages 258-269

Incorporating Estimation Errors into Portfolio Selection: Robust Portfolio Construction
Pages 270-294

Best-Practice Pension Fund Governance
Pages 295-322

Fundamental Indexation in Europe
Pages 323-330

Fundamental Indexation: An Active Value Strategy in Disguise
Pages 331-338

A Robust Optimization Approach to Pension Fund Management
Pages 339-363

Back Matter
Pages 364-369

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关键词：Construction performance Management Performan Portfolio

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