Portfolio Theory and Management

Hardcover | January 30, 2013

EditorH. Kent Baker, Greg Filbeck

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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 bytheir 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 individualasset 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 turmoilsuch 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 thecontext 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, thebook 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.

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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 bytheir contribution to the risk and return of a...

H. Kent Baker is Professor of Finance and Kogod Research Professor at American University. Greg Filbeck is Samuel P. Black III Professor of Insurance and Risk Management at Pennsylvania State University.

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Format:HardcoverDimensions:672 pages, 9.25 × 6.12 × 0.98 inPublished:January 30, 2013Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199829691

ISBN - 13:9780199829699

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Table of Contents

Acknowledgments1. H. Kent Baker and Greg Filbeck: Portfolio Theory and Management: An OverviewSection I. Portfolio Theory and Asset Pricing2. Eric Jacquier: Modern Portfolio Theory3. Nikolay Gospodinov and Cesare Robotti: Asset Pricing Theories, Models, and Tests4. Hersh Shefrin: Asset Pricing and Behavioral FinanceSection II. The Investment Policy Statement and Fiduciary Duties5. Sherman D. Hanna, Michael A. Guillemette, and Michael S. Finke: Assessing Risk Tolerance6. Dianna Preece: Private Wealth Management7. Eric J. Robbins: Institutional Wealth Management8. Remus D. Valsan and Moin A. Yahya: Fiduciary Duties and Responsibilities of Portfolio ManagersSection III. Asset Allocation and Portfolio Construction9. James L. Farrell, Jr.: The Role of Asset Allocation in the Investment Decision-Making Process10. J. Clay Singleton: Asset Allocation Models11. Massimo Guidolin: Preference Models in Portfolio Construction and Evaluation12. Harald Lohre, Thorsten Neumann, and Thomas Winterfeldt: Portfolio Construction with Downside Risk13. Joshua M. Davis and Sebastien Page: Asset Allocation with Downside Risk Management14. Lars Helge Hass, Denis Schweizer, Juliane Proelss: Alternative InvestmentsSection IV. Risk Management15. Christoph Kaserer: Measuring and Managing Market Risk16. Gabriele Sabato: Measuring and Managing Credit and Other RisksSection V. Portfolio Execution, Monitoring, and Rebalancing17. Ricardo Cesari and Massimiliano Marzo: Trading Strategies, Portfolio Monitoring, and Rebalancing18. Ricardo Cesari, Massimiliano Marzo, and Paolo Zagalia: Effective Trade Execution19. Panagiotis Schizas: Market Timing Methods and ResultsSection VI. Evaluating and Reporting Portfolio Performance20. Arnaud Cav, Georges Habner, and Thomas Lejeune: Evaluating Portfolio Performance: Reconciling Asset Selection and Market Timing21. Abraham Lioui and Patrice Poncet: Benchmarking22. Nanne Brunia and Auke Plantinga: Attribution Analysis23. Andrew Mason: Equity Investment Styles24. Matthieu Leblanc: Use of Derivatives25. Timothy P. Ryan: Performance PresentationSection VII. Special Topics26. Gerasimos G. Rompotis: Exchange Traded Funds: The Success Story of the Last Two Decades27. Roland Fuss and Sarah Muller: The Past, Present, and Future of Hedge Funds28. Niklas Wagner and Axel Buchner: Portfolio and Risk Management for Private Equity Fund Investments29. Paschal Gantenbein, Reto Forrer, and Nils Herold: Venture Capital30. Hunter Holzhauer: Socially Responsible Investing