Handbook of Portfolio Construction

Author: John B. Guerard, Jr.

Publisher: Springer Science & Business Media

ISBN: 9780387774398

Category: Business & Economics

Page: 794

View: 422

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
The Handbook of Portfolio Mathematics

Author: Ralph Vince

Publisher: John Wiley & Sons

ISBN: 9780471757689

Category: Business & Economics

Page: 448

View: 948

The Handbook of Portfolio Mathematics "For the serious investor, trader, or money manager, this book takes a rewarding look into modern portfolio theory. Vince introduces a leverage-space portfolio model, tweaks it for the drawdown probability, and delivers a superior model. He even provides equations to maximize returns for a chosen level of risk. So if you're serious about making money in today's markets, buy this book. Read it. Profit from it." —Thomas N. Bulkowski, author, Encyclopedia of Chart Patterns "This is an important book. Though traders routinely speak of their 'edge' in the marketplace and ways of handling 'risk,' few can define and measure these accurately. In this book, Ralph Vince takes readers step by step through an understanding of the mathematical foundations of trading, significantly extending his earlier work and breaking important new ground. His lucid writing style and liberal use of practical examples make this book must reading." —Brett N. Steenbarger, PhD, author, The Psychology of Trading and Enhancing Trader Performance "Ralph Vince is one of the world's foremost authorities on quantitative portfolio analysis. In this masterly contribution, Ralph builds on his early pioneering findings to address the real-world concerns of money managers in the trenches-how to systematically maximize gains in relation to risk." —Nelson Freeburg, Editor, Formula Research "Gambling and investing may make strange bedfellows in the eyes of many, but not Ralph Vince, who once again demonstrates that an open mind is the investor's most valuable asset. What does bet sizing have to do with investing? The answer to that question and many more lie inside this iconoclastic work. Want to make the most of your investing skills Open this book." —John Bollinger, CFA, CMT, www.BollingerBands.com
Portfolio Construction and Analytics

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9781118445594

Category: Business & Economics

Page: 624

View: 123

A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity.
Portfolio Construction, Measurement, and Efficiency

Author: John B. Guerard, Jr.

Publisher: Springer

ISBN: 9783319339764

Category: Business & Economics

Page: 453

View: 158

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
Handbook of Equity Portfolio Management

Author: David Starer

Publisher: Wiley

ISBN: 1118749960

Category: Business & Economics

Page: 480

View: 929

Portfolio construction has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Equity Portfolio Management outlines key concepts and topics essential for understanding and implementing portfolio theory and practice in the investment industry today. Not devoid of the necessary mathematics, this volume tackles real and current financial engineering problems through examples using modern software tools such as R, Matlab, Octave, C++, and Fortran, CPLEX, and CUDA. Written by both a teacher and a practitioner, the book serves as an essential and easy-to-find reference for academic and hands-on managers in finance, business, and econometrics. It can also serve as a supplement for courses on the same topic at the upper-undergraduate and beginning graduate levels. An author web site with further software subroutines and additional content commentaries accompanies the book.
The Theory and Practice of Investment Management

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9780470929902

Category: Business & Economics

Page: 704

View: 477

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.
Handbook Of Applied Investment Research

Author: John B Guerard Jr

Publisher: World Scientific

ISBN: 9789811222641

Category: Business & Economics

Page: 816

View: 777

This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.
Corporate Finance-Beginner's Guide for Portfolio Construction

Author: vatsal garg

Publisher:

ISBN: 1973156024

Category:

Page: 101

View: 470

It is a short handbook for the starters to read about investment options available and how a portfolio should be created.The book also contains the real-life examples of an investment firm. It is recommended for1) Any amateur person who wish to become a fund manager.2) Any person who is going to handle his portfolio on his own.3) Any student who is going ot=r is currently pursuing corporate finance.NOWADAYS PEOPLE WHO ARE OUT OF FINANCE DO NOT SEEM TO HAVE Many experiences OF UNDERSTANDING THEIR OWN PORTFOLIO OR EVEN HOW THE ASSETS WORK.THIS BOOK NOT ONLY TEACHES HOW TO GRAB THE ESSENCE OF PORTFOLIO BUILDING BUT ALSO HELPS IN TEACHING VARIOUS CONCEPTS REGARDING WORKING OF THE ECONOMY.IT ALSO HAS THE TOPICS ON CALCULATING THE RETURNS OF THE INVESTMENTS. APART FROM THAT IT ALSO EXPLAINS HOW TO MANAGE YOUR PORTFOLIO AND VARIOUS OTHER INDUSTRY JARGONS THAT ARE USED BY THE FINANCIAL MOGULS
Introduction to Financial Forecasting in Investment Analysis

Author: John B. Guerard, Jr.

Publisher: Springer Science & Business Media

ISBN: 9781461452393

Category: Business & Economics

Page: 236

View: 806

Forecasting—the art and science of predicting future outcomes—has become a crucial skill in business and economic analysis. This volume introduces the reader to the tools, methods, and techniques of forecasting, specifically as they apply to financial and investing decisions. With an emphasis on "earnings per share" (eps), the author presents a data-oriented text on financial forecasting, understanding financial data, assessing firm financial strategies (such as share buybacks and R&D spending), creating efficient portfolios, and hedging stock portfolios with financial futures. The opening chapters explain how to understand economic fluctuations and how the stock market leads the general economic trend; introduce the concept of portfolio construction and how movements in the economy influence stock price movements; and introduce the reader to the forecasting process, including exponential smoothing and time series model estimations. Subsequent chapters examine the composite index of leading economic indicators (LEI); review financial statement analysis and mean-variance efficient portfolios; and assess the effectiveness of analysts’ earnings forecasts. Using data from such firms as Intel, General Electric, and Hitachi, Guerard demonstrates how forecasting tools can be applied to understand the business cycle, evaluate market risk, and demonstrate the impact of global stock selection modeling and portfolio construction.
The Oxford Handbook of Quantitative Asset Management

Author: Bernd Scherer

Publisher: Oxford University Press

ISBN: 9780199553433

Category: Business & Economics

Page: 501

View: 241

This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.
A Handbook of Mutual Fund Investing

Author: Barry G. Dolgin

Publisher: MPGI LLC

ISBN: 9781456489700

Category: Business & Economics

Page: 70

View: 463

This book is written for the serious mutual fund investor seeking a new and very different approach to mutual fund portfolio construction. It introduces F.S.I. ("Fund Screen Investigation"), the author's proprietary process for mutual fund portfolio construction. The process is highly structured, analytic, quantitative, and based on a set of assumptions regarding the workings of markets and investor psychology. The acknowledgment and measurement of risk is central to the process. A theme that resonates throughout the book is that things are not always as they appear in the investment world. Accordingly, the reader is offered a new perspective for viewing the investment world and specific suggestions for what to focus on. "Show me the numbers!" is a refrain that reflects and underscores this theme. Fundamental investment topics such as allocation, correlation, diversification, and index investing are also discussed. F.S.I. provides the blueprints for constructing discrete portfolios that vary by historical levels of risk and return. Readers can variably weight these portfolios with their investment dollars to express their overall level of risk tolerance and objectives, thereby creating a uniquely personal investment strategy, and one which offers a significant degree of flexibility, facilitating modification if circumstances change. This flexibility is of particular importance to retirees and investors approaching retirement as they formulate their individual plans.
Portfolio Construction and Analytics

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9781119238140

Category: Business & Economics

Page: 624

View: 280

A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity.