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An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications,…mehr
An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications, this book gives you a unique opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances. * Contains new material on the latest tools and strategies for both equity and fixed income portfolio management * Includes key take-aways as well as study questions at the conclusion of each chapter * A timely updated guide to an important topic in today's investment world This comprehensive investment management resource combines real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within the investment management arena.
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Autorenporträt
FRANK 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.
Inhaltsangabe
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 Portfolio's 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 Noël 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 Importance of Integrated Optimization 312 Adding Back a Market Return 316 Some Concerns Addressed 321 Evaluating Long-Short 323 Key Points 324 Questions 325 CHAPTER 13 Multifactor Equity Risk Models 327 Frank J. Fabozzi, Raman Vardharaj, and Frank J. Jones Model Description and Estimation 328 Risk Decomposition 330 Applications in Portfolio Construction and Risk Control 336 Key Points 341 Questions 343 CHAPTER 14 Fundamentals of Equity Derivatives 345 Bruce M. Collins and Frank J. Fabozzi The Role of Derivatives 345 Listed Equity Options 348 Futures Contracts 366 Pricing Stock Index Futures 370 OTC Equity Derivatives 375 Structured Products 380 Key Points 381 Questions 382 CHAPTER 15 Using Equity Derivatives in Portfolio Management 383 Bruce M. Collins and Frank J. Fabozzi Equity Investment Management 384 Portfolio Applications of Listed Options 386 Portfolio Applications of Stock Index Futures 390 Applications of OTC Equity Derivatives 399 Risk and Expected Return of Option Strategies 410 Key Points 413 Questions 414 PART THREE Bond Analysis and Portfolio Management 415 CHAPTER 16 Bonds, Asset-Backed Securities, and Mortgage- Backed Securities 417 Frank J. Fabozzi General Features of Bonds 417 U.S. Treasury Securities 421 Federal Agency Securities 423 Corporate Bonds 424 Municipal Securities 428 Asset-Backed Securities 430 Residential Mortgage-Backed Securities 434 Commercial Mortgage-Backed Securities 450 Key Points 453 Questions 456 CHAPTER 17 Bond Analytics 457 Frank J. Fabozzi Basic Valuation of Option-Free Bonds 457 Conventional Yield Measures 463 Total Return 468 Measuring Interest Rate Risk 471 Key Points 484 Questions 486 CHAPTER 18 Bond Analytics 489 Frank J. Fabozzi and Steven V. Mann Arbitrage-Free Bond Valuation 489 Yield Spread Measures 496 Forward Rates 498 Overview of the Valuation of Bonds with Embedded Options 505 Lattice Model 507 Valuation of MBS and ABS 522 Key Points 531 Questions 533 CHAPTER 19 Bond Portfolio Strategies for Outperforming a Benchmark 535 Bülent Baygün and Robert Tzucker Selecting the Benchmark Index 536 Creating a Custom Index 539 Beating the Benchmark Index 544 Key Points 553 Questions 554 CHAPTER 20 The Art of Fixed Income Portfolio Investing 557 Chris P. Dialynas and Ellen J. Rachlin The Global Fixed Income Portfolio Manager 558 The Global Challenge 565 Portfolio Parameters 565 Regulatory Changes, Demographic Trends, and Institutional Bias 568 Information in the Markets 569 Duration and Yield Curve 573 Volatility 574 International Corporate Bonds 577 International Investing and Political Externalities 579 Foreign Investment Selection 579 Currency Selection 582 Key Points 583 Questions 584 CHAPTER 21 Multifactor Fixed Income Risk Models and Their Applications 585 Anthony Lazanas, António Baldaque da Silva, Radu G¿budean, and Arne D. Staal Approaches Used to Analyze Risk 587 Applications of Risk Modeling 615 Key Points 621 Questions 622 CHAPTER 22 Interest Rate Derivatives and Risk Control 623 Frank J. Fabozzi Interest Rate Futures and Forward Contracts 623 Interest Rate Swaps 634 Interest Rate Options 640 Interest Rate Agreements (Caps and Floors) 642 Key Points 643 Questions 644 CHAPTER 23 Credit Default Swaps and the Indexes 647 Stephen J. Antczak, Douglas J. Lucas, and Frank J. Fabozzi What Are Credit Default Swaps? 648 Credit Default Swaps Indexes 654 Key Points 658 Questions 658 About the Web Site 661 Index 663
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 Portfolio's 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 Noël 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 Importance of Integrated Optimization 312 Adding Back a Market Return 316 Some Concerns Addressed 321 Evaluating Long-Short 323 Key Points 324 Questions 325 CHAPTER 13 Multifactor Equity Risk Models 327 Frank J. Fabozzi, Raman Vardharaj, and Frank J. Jones Model Description and Estimation 328 Risk Decomposition 330 Applications in Portfolio Construction and Risk Control 336 Key Points 341 Questions 343 CHAPTER 14 Fundamentals of Equity Derivatives 345 Bruce M. Collins and Frank J. Fabozzi The Role of Derivatives 345 Listed Equity Options 348 Futures Contracts 366 Pricing Stock Index Futures 370 OTC Equity Derivatives 375 Structured Products 380 Key Points 381 Questions 382 CHAPTER 15 Using Equity Derivatives in Portfolio Management 383 Bruce M. Collins and Frank J. Fabozzi Equity Investment Management 384 Portfolio Applications of Listed Options 386 Portfolio Applications of Stock Index Futures 390 Applications of OTC Equity Derivatives 399 Risk and Expected Return of Option Strategies 410 Key Points 413 Questions 414 PART THREE Bond Analysis and Portfolio Management 415 CHAPTER 16 Bonds, Asset-Backed Securities, and Mortgage- Backed Securities 417 Frank J. Fabozzi General Features of Bonds 417 U.S. Treasury Securities 421 Federal Agency Securities 423 Corporate Bonds 424 Municipal Securities 428 Asset-Backed Securities 430 Residential Mortgage-Backed Securities 434 Commercial Mortgage-Backed Securities 450 Key Points 453 Questions 456 CHAPTER 17 Bond Analytics 457 Frank J. Fabozzi Basic Valuation of Option-Free Bonds 457 Conventional Yield Measures 463 Total Return 468 Measuring Interest Rate Risk 471 Key Points 484 Questions 486 CHAPTER 18 Bond Analytics 489 Frank J. Fabozzi and Steven V. Mann Arbitrage-Free Bond Valuation 489 Yield Spread Measures 496 Forward Rates 498 Overview of the Valuation of Bonds with Embedded Options 505 Lattice Model 507 Valuation of MBS and ABS 522 Key Points 531 Questions 533 CHAPTER 19 Bond Portfolio Strategies for Outperforming a Benchmark 535 Bülent Baygün and Robert Tzucker Selecting the Benchmark Index 536 Creating a Custom Index 539 Beating the Benchmark Index 544 Key Points 553 Questions 554 CHAPTER 20 The Art of Fixed Income Portfolio Investing 557 Chris P. Dialynas and Ellen J. Rachlin The Global Fixed Income Portfolio Manager 558 The Global Challenge 565 Portfolio Parameters 565 Regulatory Changes, Demographic Trends, and Institutional Bias 568 Information in the Markets 569 Duration and Yield Curve 573 Volatility 574 International Corporate Bonds 577 International Investing and Political Externalities 579 Foreign Investment Selection 579 Currency Selection 582 Key Points 583 Questions 584 CHAPTER 21 Multifactor Fixed Income Risk Models and Their Applications 585 Anthony Lazanas, António Baldaque da Silva, Radu G¿budean, and Arne D. Staal Approaches Used to Analyze Risk 587 Applications of Risk Modeling 615 Key Points 621 Questions 622 CHAPTER 22 Interest Rate Derivatives and Risk Control 623 Frank J. Fabozzi Interest Rate Futures and Forward Contracts 623 Interest Rate Swaps 634 Interest Rate Options 640 Interest Rate Agreements (Caps and Floors) 642 Key Points 643 Questions 644 CHAPTER 23 Credit Default Swaps and the Indexes 647 Stephen J. Antczak, Douglas J. Lucas, and Frank J. Fabozzi What Are Credit Default Swaps? 648 Credit Default Swaps Indexes 654 Key Points 658 Questions 658 About the Web Site 661 Index 663
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