[PDF] Modern Portfolio Management eBook

Author : Todd E. Petzel
Publisher : John Wiley & Sons
Page : 659 pages
File Size : 40,20 MB
Release : 2021-09-08
Category : Business & Economics
ISBN : 1119818192

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Get a practical and thoroughly updated look at investment and portfolio management from an accomplished veteran of the discipline In Modern Portfolio Management: Moving Beyond Modern Portfolio Theory, investment executive and advisor Dr. Todd E. Petzel delivers a grounded and insightful exploration of developments in finance since the advent of Modern Portfolio Theory. You’ll find the tools and concepts you need to evaluate new products and portfolios and identify practical issues in areas like operations, decision-making, and regulation. In this book, you’ll also: Discover why Modern Portfolio Theory is at odds with developments in the field of Behavioral Finance Examine the never-ending argument between passive and active management and learn to set long-term goals and objectives Find investor perspectives on perennial issues like corporate governance, manager turnover, fraud risks, and ESG investing Perfect for institutional and individual investors, investment committee members, and fiduciaries responsible for portfolio construction and oversight, Modern Portfolio Management is also a must-read for fund and portfolio managers who seek to better understand their investors.

Author : Edwin J. Elton
Publisher : John Wiley & Sons
Page : 748 pages
File Size : 26,32 MB
Release : 2009-11-16
Category : Business & Economics
ISBN : 0470388323

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An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.

Author : Jon Lukomnik
Publisher : Routledge
Page : 175 pages
File Size : 14,89 MB
Release : 2021-04-29
Category : Business & Economics
ISBN : 100037615X

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Moving Beyond Modern Portfolio Theory: Investing That Matters tells the story of how Modern Portfolio Theory (MPT) revolutionized the investing world and the real economy, but is now showing its age. MPT has no mechanism to understand its impacts on the environmental, social and financial systems, nor any tools for investors to mitigate the havoc that systemic risks can wreck on their portfolios. It’s time for MPT to evolve. The authors propose a new imperative to improve finance’s ability to fulfil its twin main purposes: providing adequate returns to individuals and directing capital to where it is needed in the economy. They show how some of the largest investors in the world focus not on picking stocks, but on mitigating systemic risks, such as climate change and a lack of gender diversity, so as to improve the risk/return of the market as a whole, despite current theory saying that should be impossible. "Moving beyond MPT" recognizes the complex relations between investing and the systems on which capital markets rely, "Investing that matters" embraces MPT’s focus on diversification and risk adjusted return, but understands them in the context of the real economy and the total return needs of investors. Whether an investor, an MBA student, a Finance Professor or a sustainability professional, Moving Beyond Modern Portfolio Theory: Investing That Matters is thought-provoking and relevant. Its bold critique shows how the real world already is moving beyond investing orthodoxy.

Author : Martin L. Leibowitz
Publisher : John Wiley & Sons
Page : 504 pages
File Size : 37,18 MB
Release : 2009-01-08
Category : Business & Economics
ISBN : 0470484942

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Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.

Author : Jack Clark Francis
Publisher : John Wiley & Sons
Page : 576 pages
File Size : 24,69 MB
Release : 2013-01-18
Category : Business & Economics
ISBN : 1118417208

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A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.

Author : Bob Litterman
Publisher : John Wiley & Sons
Page : 648 pages
File Size : 19,48 MB
Release : 2004-11-19
Category : Business & Economics
ISBN : 0471480657

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Dieser Band füllt eine echte Marktlücke. "Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen. Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management. Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen. Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung. Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht.

Author : Marcus Schulmerich
Publisher : Springer
Page : 491 pages
File Size : 18,37 MB
Release : 2014-10-20
Category : Business & Economics
ISBN : 364255444X

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This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor’s and master’s students in this field as well as for young professionals in the asset management industry. A key part of this book is the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. An Excel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com.

Author : Edwin J. Elton
Publisher : John Wiley & Sons
Page : 754 pages
File Size : 34,8 MB
Release : 2014-01-21
Category : Business & Economics
ISBN : 1118469941

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Modern Portfolio Theory and Investment Analysis, 9th Editionexamines the characteristics and analysis of individual securities, as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. The authors present material that captures the state of modern portfolio analysis, general equilibrium theory, and investment analysis in an accessible and intuitive manner.

Author : C. Thomas Howard
Publisher : Harriman House Limited
Page : 329 pages
File Size : 22,85 MB
Release : 2014-03-17
Category : Business & Economics
ISBN : 0857193252

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The investment industry is on the cusp of a major shift, from Modern Portfolio Theory (MPT) to Behavioral Finance, with Behavioral Portfolio Management (BMP) the next step in this transition. BPM focuses on how to harness the price distortions that are driven by emotional crowds and use this to create superior portfolios. Once markets and investing are viewed through the lens of behavior, and portfolios are constructed on this basis, investable opportunities become readily apparent. Mastering your emotions is critical to the process and the insights provided by Tom Howard put investors on the path to achieving this. Forty years of Behavioral Science research presents a clear picture of how individuals make decisions; there are few signs of rationality. Indeed, emotional investors sabotage their own efforts in building long-horizon wealth. When this is combined with the misconception that active management is unable to generate superior returns, the typical emotional investor leaves hundreds of thousands, if not millions, of dollars on the table during their investment lifetimes. Howard moves on to show how industry practice, with its use of the style grid, standard deviation, correlation, maximum drawdown and the Sharpe ratio, has entrenched emotion within investing. The result is that investors construct underperforming, bubble-wrapped portfolios. So if an investor masters their own emotions, they still must challenge the emotionally-based conventional wisdom pervasive throughout the industry. Tom Howard explains how to do this. Attention is then given to measureable and persistent behavioral factors. These provide investors with a new source of information that has the potential to transform how they think about portfolio management and dramatically improve performance. Behavioral factors can be used to select the best stocks, the best active managers, and the best markets in which to invest. Once the transition to behavioral finance is made, the emotional measures of MPT will quickly be forgotten and replaced with rational concepts that allow investors to successfully build long-horizon wealth. If you take portfolio construction seriously, it is essential that you make the next step forward towards Behavioral Portfolio Management.