Portfolio Theory and Performance Analysis

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Portfolio Theory and Performance Analysis (The Wiley Finance Series) (Hardcover)

Portfolio Theory and Performance Analysis (The Wiley Finance Series) (Hardcover)
Portfolio Theory and Performance Analysis (The Wiley Finance Series) (Hardcover)
by Noel Amenc (Author), Veronique Le Sourd (Author)
PDF

Hardcover: 280 pages
Publisher: Wiley (October 31, 2003)
Language: English
ISBN-10: 0470858745
ISBN-13: 978-0470858745

Book Description
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.
Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques
Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement

Contents
Acknowledgementsxi
Biographiesxiii
Introduction1
1PresentationofthePortfolioManagementEnvironment3
1.1Thedifferentcategoriesofassets3
1.1.1Presentationofthedifferenttraditionalassetclasses3
1.1.2Alternativeinstruments5
1.1.3Groupingbysector6
1.2De?nitionofportfoliomanagement6
1.2.1Passiveinvestmentmanagement6
1.2.2Activeinvestmentmanagement8
1.3Organisationofportfoliomanagementanddescriptionoftheinvestment
managementprocess8
1.3.1Thedifferentphasesoftheinvestmentmanagementprocess9
1.3.2Themulti-styleapproach9
1.3.3Performanceanalysis10
1.4Performanceanalysisandmarketef?ciency12
1.4.1Marketef?ciency12
1.4.2Performancepersistence13
1.5PerformanceanalysisandtheAIMRstandards16
1.6Internationalinvestment:additionalelementstobetaken
intoaccount20
1.7Conclusion22
Bibliography22
2TheBasicPerformanceAnalysisConcepts25
2.1Returncalculation25
2.1.1Returnonanasset25
2.1.2Portfolioreturn27
2.1.3Internationalinvestment33

viContents
2.1.4Handlingderivativeinstruments38
2.1.5TheAIMRstandardsforcalculatingreturns40
2.2Calculatingrelativereturn43
2.2.1Benchmarks43
2.2.2.Peergroups49
2.2.3.Anewapproach:PortfolioOpportunityDistributions50
2.3De?nitionofrisk51
2.3.1Assetrisk52
2.3.2Linkbetweenthevariationsinreturnsontwoassets54
2.3.3Otherstatisticalmeasuresofrisk54
2.3.4Riskindicatorsfor?xedincomeinvestment55
2.3.5Foreignassetrisk55
2.3.6TheAIMRstandardsandrisk57
2.3.7Generalisationofthenotionofrisk:Value-at-Risk57
2.4Estimationofparameters63
2.4.1Useoftime-series63
2.4.2Scenariomethod64
2.4.3Forecastevaluation64
2.5Conclusion66
Appendix2.1Calculatingtheportfolioreturnwiththehelpofarithmetic
andlogarithmicassetreturns66
Appendix2.2Calculatingthecontinuousgeometricrateofreturnfor
theportfolio67
Appendix2.3Stockexchangeindices68
Bibliography74
3TheBasicElementsofModernPortfolioTheory77
3.1Principles77
3.1.1Utilityfunctionsandindifferencecurves78
3.1.2Riskaversion78
3.2TheMarkowitzmodel80
3.2.1Formulationofthemodel81
3.2.2Choosingaparticularportfolioontheef?cientfrontier82
3.2.3Impactoftransactioncostswhendeterminingtheoptimalportfolio83
3.2.4Internationaldiversi?cationandcurrencyrisk83
3.3Ef?cientfrontiercalculationalgorithm84
3.3.1TheMarkowitz¨CSharpecriticallinealgorithm8
3.3.2Otheralgorithms85
3.4Simpli?edportfoliomodellingmethods85
3.4.1Sharpeˉssingle-indexmodel8
3.4.2Multi-indexmodels87
3.4.3Simpli?edmethodsproposedbyEltonandGruber88
3.5Conclusion89
Appendix3.1ResolutionoftheMarkowitzproblem90
Bibliography93

Contentsvii
4TheCapitalAssetPricingModelanditsApplicationtoPerformance
Measurement95
4.1TheCAPM95
4.1.1Contextinwhichthemodelwasdeveloped95
4.1.2PresentationoftheCAPM98
4.1.3Modi?edversionsoftheCAPM102
4.1.4Conclusion107
4.2ApplyingtheCAPMtoperformancemeasurement:single-index
performancemeasurementindicators108
4.2.1TheTreynormeasure108
4.2.2TheSharpemeasure109
4.2.3TheJensenmeasure110
4.2.4Relationshipsbetweenthedifferentindicatorsanduseofthe
indicators110
4.2.5ExtensionstotheJensenmeasure112
4.2.6Thetracking-error114
4.2.7Theinformationratio114
4.2.8TheSortinoratio115
4.2.9Recentlydevelopedrisk-adjustedreturnmeasures116
4.3Evaluatingthemanagementstrategywiththehelpofmodelsderivedfrom
theCAPM:timinganalysis123
4.3.1TheTreynorandMazuy(1966)method124
4.3.2TheHenrikssonandMerton(1981)andHenriksson(1984)
models124
4.3.3DecompositionoftheJensenmeasureandevaluationoftiming125
4.4Measuringtheperformanceofinternationallydiversi?edportfolios:
extensionstotheCAPM127
4.4.1InternationalAssetPricingModel128
4.4.2McDonaldˉsmodel12
4.4.3Pogue,SolnikandRousselinˉsmodel12
4.5ThelimitationsoftheCAPM129
4.5.1Rollˉscriticism12
4.5.2Conclusion130
Bibliography130
5DevelopmentsintheFieldofPerformanceMeasurement135
5.1Heteroskedasticmodels135
5.1.1PresentationoftheARCHmodels135
5.1.2Formulationofthemodelforseveralassets137
5.1.3Applicationtoperformancemeasurement140
5.2Performancemeasurementmethodusingaconditionalbeta140
5.2.1Themodel140
5.2.2Applicationtoperformancemeasurement142
5.2.3Modelwithaconditionalalpha144
5.2.4Thecontributionofconditionalmodels145

viiiContents
5.2.5Extensionstothemodel145
5.2.6Comparisonwiththe?rstmodel145
5.3Performanceanalysismethodsthatarenotdependentonthe
marketmodel145
5.3.1TheCornellmeasure145
5.3.2TheGrinblattandTitmanmeasureandthepositiveperiodweighting
measure146
5.3.3Performancemeasurebasedonthecompositionoftheportfolio:
GrinblattandTitmanstudy147
5.4Conclusion148
Bibliography148
6Multi-factorModelsandtheirApplicationtoPerformanceMeasurement149
6.1Presentationofthemulti-factormodels149
6.1.1Arbitragemodels149
6.1.2Empiricalmodels151
6.1.3Linkbetweenthetwotypesofmodel152
6.2Choosingthefactorsandestimatingthemodelparameters152
6.2.1Explicitfactormodels153
6.2.2Implicitorendogenousfactormodels159
6.2.3Comparingthedifferentmodels165
6.3Extendingthemodelstotheinternationalarena166
6.3.1Theinternationalarbitragemodels166
6.3.2Factorsthatexplaininternationalreturns169
6.4Applyingmulti-factormodels170
6.4.1Portfolioriskanalysis171
6.4.2Choiceofportfolio175
6.4.3Decomposingtheperformanceofaportfolio175
6.4.4Timinganalysis179
6.4.5Styleanalysis179
6.5Summaryandconclusion189
Appendix6.1Theprincipleofarbitragevaluation190
Bibliography192
7EvaluatingtheInvestmentManagementProcessandDecomposing
Performance195
7.1Thestepsinconstructingaportfolio195
7.1.1Assetallocation195
7.1.2Stockpicking210
7.2Performancedecompositionandanalysis210
7.2.1Famaˉsdecomposition21
7.2.2Performancedecompositioncorrespondingtothestagesinthe
investmentmanagementprocess213
7.2.3Techniqueofreplicatingportfoliosforperformancemeasurement222
7.2.4Comparisonbetweenthedifferentperformancedecomposition
methods223
Bibliography223

Contentsix
8FixedIncomeSecurityInvestment229
8.1Modellingyieldcurves:thetermstructureofinterestrates229
8.1.1Yieldtomaturityandzero-couponrates229
8.1.2Estimatingtherangeofzero-couponratesfromtherangeofyields
tomaturity230
8.1.3Dynamicinterestratemodels232
8.2Managingabondportfolio234
8.2.1Quantitativeanalysisofbondportfolios234
8.2.2De?ningtherisks235
8.2.3Factormodelsforexplainingyieldcurveshifts236
8.2.4Optimisingabondportfolio238
8.2.5Bondinvestmentstrategies239
8.2.6International?xedincomesecurityinvestment240
8.3Performanceanalysisfor?xedincomesecurityportfolios240
8.3.1Performanceattributionincomparisonwithabenchmark241
8.3.2TheLehmanBrothersperformanceattributionmodel241
8.3.3Additivedecompositionofa?xedincomeportfolioˉsperformance24
8.3.4InternationalPerformanceAnalysis(IPA)244
8.3.5Performancedecompositioninlinewiththestagesinthe
investmentmanagementprocess245
8.3.6Performancedecompositionformultiplecurrencyportfolios247
8.3.7TheAPTmodelappliedto?xedincomesecurityportfolios248
8.3.8TheKhoury,VeilleuxandViaumodel249
8.3.9TheBarramodelfor?xedincomesecurityportfolios250
8.3.10Decompositionwithhedgingoftheexchangeraterisk251
Bibliography251
Conclusion253
Index 255

[此贴子已经被作者于2008-4-23 11:16:49编辑过]

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