John L. Maginn / Donald L. Tuttle / Jerald E. Pinto / Dennis W. McLeavey (eds.)

Managing Investment Portfolios

A Dynamic Process
Ed. by John L. Maginn, Donald L. Tuttle, Jerald E. Pinto et al.

• Gebundenes Buch

Produktbeschreibung

"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject."

- Martin L. Leibowitz, Morgan Stanley

"Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition."

- Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University

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... Managing Investment Portfolios: A Dynamic Process, Third Edition is organized to follow the flow of the portfolio management process from formulating an investment policy statement to portfolio construction, trade execution, and monitoring and rebalancing the portfolio. (20061222)

... Managing Investment Portfolios: A Dynamic Process, Third Edition is organized to follow the flow of the portfolio management process from formulating an investment policy statement to portfolio construction, trade execution, and monitoring and rebalancing the portfolio.

John L. Maginn, CFA (Omaha, NE), is President of Maginn Associates, Inc., a financial consulting firm. He is also an adjunct professor in the MBA program at Creighton University. Donald L. Tuttle, CFA (Charlottesville, VA), was vice president of CFA Institute in its Curriculum and Examinations Department from 1992 until his retirement in 2004. Dennis W. McLeavey, CFA (Charlottesville, VA), is Head, Professional Development Products at CFA Institute. Jerald E. Pinto, CFA (Charlottesville, VA), is Director in the CFA Program Division at CFA Institute. (20061222)

Produktdetails

• The CFA Institute Series
• Verlag: Wiley & Sons
• 3. Aufl. 2007.
• Erscheinungstermin: April 2007
• Englisch
• Gewicht: 1730g
• ISBN-13: 9780470080146
• ISBN-10: 0470080140
• Artikelnr.: 21703037

Autorenporträt

JOHN L. MAGINN, CFA, is President of Maginn Associates, Inc., a financial consulting firm. He is also an adjunct professor in the MBA program at Creighton University. He is retired from Mutual of Omaha, where he was the chief investment officer and treasurer, and is also a past chairman of the board of trustees of AIMR, the predecessor to CFA Institute.

DONALD L. TUTTLE, PHD, CFA, was vice president of CFA Institute in its Curriculum and Examinations Department from 1992 until his retirement in 2004. He received his PhD from the University of North Carolina at Chapel Hill.

JERALD E. PINTO, PHD, CFA, is Director in the CFA and CIPM Programs Division at CFA Institute. Before coming to CFA Institute in 2002, he was a consultant to corporations, foundations, and partnerships in investment planning, portfolio analysis, and quantitative analysis. He has also worked in the investment and banking industries in New York City and taught finance at New York University's Stern School of Business. He holds an MBA from Baruch College and a PhD in finance from the Stern School. Pinto obtained his CFA charter in 1992.

DENNIS W. McLEAVEY, CFA, is Head of Professional Development Products at CFA Institute. During his twenty-five-year academic career, he taught at the University of Western Ontario, the University of Connecticut, the University of Rhode Island (where he founded a student-managed fund), and Babson College. McLeavey completed a doctorate in production management and industrial engineering at Indiana University in 1972, and earned his CFA charter in 1990.

Inhaltsangabe

- Foreword.

- Preface.

- Acknowledgments.

- Introduction.

- CHAPTER 1: The Portfolio Management Process and the Investment Policy Statement.

1 Introduction.

2 Investment Management.

3 The Portfolio Perspective.

4 Portfolio Management as a Process.

5 The Portfolio Management Process Logic.

6 Investment Objectives and Constraints.

7 The Dynamics of the Process.

8 The Future of Portfolio Management.

9 The Ethical Responsibilities of Portfolio Managers.

- CHAPTER 2: Managing Individual Investor Portfolios.

1 Introduction.

2 CaseStudy.

3 Investor Characteristics.

4 Investment Policy Statement.

5 An Introduction to Asset Allocation.

- CHAPTER 3: Managing Institutional Investor Portfolios.

1 Overview.

2 PensionFunds.

3 Foundations and Endowments.

4 The Insurance Industry.

5 Banks and Other Institutional Investors.

- CHAPTER 4: Capital Market Expectations.

1 Introduction.

2 Organizing the Task: Framework and Challenges.

3 Tools for Formulating Capital Market Expectations.

4 Economic Analysis.

- CHAPTER 5: Asset Allocation.

1 Introduction.

2 What is Asset Allocation?

3 Asset Allocation and the Investor's Risk and Return Objectives.

4 The Selection of Asset Classes.

5 The Steps in Asset Allocation.

6 Optimization.

7 Implementing the Strategic Asset Allocation.

8 Strategic Asset Allocation for Individual Investors.

9 Strategic Asset Allocation for Institutional Investors.

10 Tactical Asset Allocation.

- CHAPTER 6: Fixed-Income Portfolio Management.

1 Introduction.

2 A Framework for Fixed-Income Portfolio Management.

3 Managing Funds Against a Bond Market Index.

4 Managing Funds Against Liabilities.

5 Other Fixed-Income Strategies.

6 International Bond Investing.

7 Selecting a Fixed-Income Manager.

- CHAPTER 7: Equity Portfolio Management.

1 Introduction.

2 The Role of the Equity Portfolio.

3 Approaches to Equity Investment.

4 Passive Equity Investing.

5 Active Equity Investing.

6 Semiactive Equity Investing.

7 Managing a Portfolio of Managers.

8 Identifying, Selecting, and Contracting with Equity Portfolio Managers.

9 Structuring Equity Research and Security Selection.

- CHAPTER 8: Alternative Investments Portfolio Management.

1 Introduction.

2 Alternative Investments: Definitions, Similarities, and Contrasts.

3 Real Estate.

4 Private Equity/Venture Capital.

5 Commodity Investments.

6 Hedge Funds.

7 Managed Futures.

8 Distressed Securities.

- CHAPTER 9: Risk Management.

1 Introduction.

2 Risk Management as a Process.

3 Risk Governance.

4 Identifying Risks.

5 Measuring Risk.

6 Managing Risk.

- CHAPTER 10: Execution of Portfolio Decisions.

1 Introduction.

2 The Context of Trading: Market Microstructure.

3 The Costs of Trading.

4 Types of Traders and Their Preferred Order Types.

5 Trade Execution Decisions and Tactics.

6 Serving the Client's Interests.

7 Concluding Remarks.

- CHAPTER 11: Monitoring And Rebalancing.

1 Introduction.

2 Monitoring.

3 Rebalancing the Portfolio.

4 Concluding Remarks.

- CHAPTER 12: Evaluating Portfolio Performance.

1 Introduction.

2 The Importance of Performance Evaluation.

3 The Three Components of Performance Evaluation.

4 Performance Measurement.

5 Benchmarks.

6 Performance Attribution.

7 Performance Appraisal.

8 The Practice of Performance Evaluation.

- CHAPTER 13: Global Investment Performance Standards.

1 Introduction.

2 Background of the GIPS Standards.

3 Provisions of the GIPS Standards.

4 Verification.

5 GIPS Advertising Guidelines.

6 Other Issues.

- Appendix: GIPS Glossary.

- Glossary.

- References.

- About the CFA Program.

- About the Authors.

- Index

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PART I Learning Outcomes, Summary Overview, and Problems
CHAPTER 1 The Portfolio Management Process and the Investment Policy
Statement 3
Learning Outcomes 4
Summary Overview 4
Problems 6
CHAPTER 2 Managing Individual Investor Portfolios 12
Learning Outcomes 12
Summary Overview 13
Problems 15
CHAPTER 3 Managing Institutional Investor Portfolios 25
Learning Outcomes 25
Summary Overview 26
Problems 28
CHAPTER 4 CapitalMarket Expectations 35
Learning Outcomes 35
Summary Overview 36
Problems 38
CHAPTER 5 Asset Allocation 47
Learning Outcomes 47
Summary Overview 48
Problems 50
CHAPTER 6 Fixed-Income Portfolio Management 60
Learning Outcomes 60
Summary Overview 61
Problems 64
CHAPTER 7 Equity Portfolio Management 69
Learning Outcomes 69
Summary Overview 70
Problems 72
CHAPTER 8 Alternative Investments Portfolio Management 76
Learning Outcomes 77
Summary Overview 78
Problems 79
CHAPTER 9 Risk Management 86
Learning Outcomes 86
Summary Overview 87
Problems 89
CHAPTER 10 Execution of Portfolio Decisions 95
Learning Outcomes 95
Summary Overview 96
Problems 97
CHAPTER 11 Monitoring and Rebalancing 102
Learning Outcomes 102
Summary Overview 103
Problems 104
CHAPTER 12 Evaluating Portfolio Performance 112
Learning Outcomes 112
Summary Overview 113
Problems 116
CHAPTER 13 Global Investment Performance Standards 121
Learning Outcomes 121
Summary Overview 122
Problems 125
PART II Solutions
CHAPTER 1 The Portfolio Management Process and the Investment Policy
Statement 135
Solutions 135
CHAPTER 2 Managing Individual Investor Portfolios 140
Solutions 140
CHAPTER 3 Managing Institutional Investor Portfolios 152
Solutions 152
CHAPTER 4 Capital Market Expectations 160
Solutions 160
CHAPTER 5 Asset Allocation 170
Solutions 170
CHAPTER 6 Fixed-Income Portfolio Management 177
Solutions 177
CHAPTER 7 Equity Portfolio Management 183
Solutions 183
CHAPTER 8 Alternative Investments Portfolio Management 186
Solutions 186
CHAPTER 9 Risk Management 194
Solutions 194
CHAPTER 10 Execution of Portfolio Decisions 199
Solutions 199
CHAPTER 11 Monitoring and Rebalancing 205
Solutions 205
CHAPTER 12 Evaluating Portfolio Performance 210
Solutions 210
CHAPTER 13 Global Investment Performance Standards 218
Solutions 218
About the CFA Program 231