Portfolio versus Benchmark

Performance- und Risikoanalyse im Portfoliomanagement

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Author: Elena Wüthrich

Publisher: LIT Verlag Münster

ISBN: 3643800460

Category:

Page: 261

View: 9817

Equity Valuation and Portfolio Management

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Author: Frank J. Fabozzi,Harry M. Markowitz

Publisher: John Wiley & Sons

ISBN: 1118156552

Category: Business & Economics

Page: 576

View: 8223

A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices usingfundamental analysis to determine the worth of the business anddiscover investment opportunities. In Equity Valuation and Portfolio Management Frank J.Fabozzi and Harry M. Markowitz explain the process of equityvaluation, provide the necessary mathematical background, anddiscuss classic and new portfolio strategies for investmentmanagers. Divided into two comprehensive parts, this reliableresource focuses on valuation and portfolio strategies related toequities. Discusses both fundamental and new techniques for valuation andstrategies Fabozzi and Markowitz are experts in the fields of investmentmanagement and economics Includes end of chapter bullet point summaries, key chaptertake-aways, and study questions Filled with in-depth insights and practical advice, EquityValuation and Portfolio Management will put you in a betterposition to excel at this challenging endeavor.

Portfolio Construction and Analytics

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Author: Frank J. Fabozzi,Dessislava A. Pachamanova

Publisher: John Wiley & Sons

ISBN: 1118445597

Category: Business & Economics

Page: 624

View: 1955

"This book fills provides a high-level overview of the analytics process at investment firms from multiple angles: the data management side, the modeling side, the software resources side, and the investment strategy side"--

The Handbook of Municipal Bonds

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Author: Sylvan G. Feldstein,Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9781118044940

Category: Business & Economics

Page: 1376

View: 8857

In The Handbook of Municipal Bonds, editors Sylvan Feldstein and Frank Fabozzi provide traders, bankers, and advisors—among other industry participants—with a well-rounded look at the industry of tax-exempt municipal bonds. Chapter by chapter, a diverse group of experienced contributors provide detailed explanations and a variety of relevant examples that illuminate essential elements of this area. With this book as your guide, you’ll quickly become familiar with both buy side and sell side issues as well as important innovations in this field.

Managing Credit Risk in Corporate Bond Portfolios

A Practitioner's Guide

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Author: Srichander Ramaswamy

Publisher: John Wiley & Sons

ISBN: 9780471430377

Category: Business & Economics

Page: 274

View: 7884

Expert guidance on managing credit risk in bond portfolios Managing Credit Risk in Corporate Bond Portfolios shows readers howto measure and manage the risks of a corporate bond portfolioagainst its benchmark. This comprehensive guide explores a widerange of topics surrounding credit risk and bond portfolios,including the similarities and differences between corporate andgovernment bond portfolios, yield curve risk, default and creditmigration risk, Monte Carlo simulation techniques, and portfolioselection methods. Srichander Ramaswamy, PhD (Basel, Switzerland), is Head ofInvestment Analysis at the Bank for International Settlements (BIS)in Basel, Switzerland, and Adjunct Professor of Banking andFinance, University of Lausanne.

Multi-Asset Investing

A practical guide to modern portfolio management

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Author: Yoram Lustig

Publisher: Harriman House Limited

ISBN: 0857192809

Category: Business & Economics

Page: 496

View: 2897

Planning, constructing and managing a multi-asset portfolio A multi-asset investment management approach provides diversification benefits, enhances risk-adjusted returns and enables a portfolio to be tailored to a wide range of investing objectives, whether these are generating returns or income, or matching liabilities. This book is divided into four parts that follow the four stages of the multi-asset investment management process: 1. Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio. 2. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation. 3. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management. This section includes examples of investment strategies. 4. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment. By dividing the multi-asset investment process into these well-defined stages, Yoram Lustig guides the reader through the various decisions that have to be made and actions that have to be taken. He builds carefully from defining investment objectives, formulating an investment strategy and the steps of selecting investments, leading to constructing and managing multi-asset portfolios. At each stage the considerations and strategies to be undertaken are detailed, and the description of the process is supported with relevant financial theory as well as practical, real-life examples. 'Multi-asset Investing' is an essential handbook for the modern approach to investment portfolio management.

Fisher Investments on Energy

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Author: Fisher Investments,,Andrew Teufel,Aaron Azelton

Publisher: John Wiley & Sons

ISBN: 9780470285435

Category: Business & Economics

Page: 255

View: 7025

The first offering from the Fisher Investments On investing series is a comprehensive guide to the Energy sector. The book can benefit both new and seasoned investors, covering everything from Energy sector basics to specific industry insights to practical investing tactics, including common pitfalls to avoid. Azelton and Teufel demonstrate a method for uncovering performance and risk-management opportunities—and show the readers how they can do it, too. Filled with detailed graphs and tables, unique insight, and practical advice, Fisher Investments on Energy can provide readers with a solid foundation in this sector. For more information visit www.energy.fisherinvestments.com

Quantitative Credit Portfolio Management

Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

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Author: Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps

Publisher: John Wiley & Sons

ISBN: 1118167422

Category: Business & Economics

Page: 416

View: 4276

An innovative approach to post-crash credit portfoliomanagement Credit portfolio managers traditionally rely on fundamentalresearch for decisions on issuer selection and sector rotation.Quantitative researchers tend to use more mathematical techniquesfor pricing models and to quantify credit risk and relative value.The information found here bridges these two approaches. In anintuitive and readable style, this book illustrates howquantitative techniques can help address specific questions facingtoday's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resourcecontains some of the most recent and original research in thisfield, which addresses among other things important questionsraised by the credit crisis of 2008-2009. Divided into twocomprehensive parts, Quantitative Credit PortfolioManagement offers essential insights into understanding therisks of corporate bonds—spread, liquidity, and Treasuryyield curve risk—as well as managing corporate bondportfolios. Presents comprehensive coverage of everything from durationtime spread and liquidity cost scores to capturing the creditspread premium Written by the number one ranked quantitative research groupfor four consecutive years by Institutional Investor Provides practical answers to difficult question, including:What diversification guidelines should you adopt to protectportfolios from issuer-specific risk? Are you well-advised to sellsecurities downgraded below investment grade? Credit portfolio management continues to evolve, but with thisbook as your guide, you can gain a solid understanding of how tomanage complex portfolios under dynamic events.

Guidelines for Foreign Exchange Reserve Management

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Author: N.A

Publisher: International Monetary Fund

ISBN: 1451923937

Category: Business & Economics

Page: 21

View: 8512

These guidelines are intended to assist countries in strengthening their policy frameworks for reserve management so that they can become more resilient to shocks that may originate from global financial markets or within the domestic financial system. The guidelines have been developed as part of a broader IMF work program to help strengthen international financial architecture, to promote policies and practices that contribute to stability and transparency in the financial sector, and to reduce external vulnerabilities of member countries.

The Mathematics of Financial Modeling and Investment Management

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Author: Sergio M. Focardi,Frank J. Fabozzi, CFA

Publisher: John Wiley & Sons

ISBN: 9780471465997

Category: Business & Economics

Page: 800

View: 8066

the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

Practical Portfolio Performance Measurement and Attribution

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Author: Carl R. Bacon

Publisher: John Wiley & Sons

ISBN: 0470856807

Category: Business & Economics

Page: 240

View: 7129

Practical Performance Measurement and Attribution provides a clear introduction to the subject of performance measurement. Focusing more on the practical use and calculation of performance returns rather than the academic background it will help readers gain a clear understanding of the role and implications of performance measurement in today's financial environment. "Carl’s book is a ‘must have’ resource - the complete A to Z of the increasingly complex field of performance measurement." Glenn Solomon, Global Head of Institutional Clients, Investment Reporting & Performance, BNP Paribas Securities Services "Internationally renowned authority Carl Bacon has provided what one would expect – an exceptionally well written and practical resource that every investment performance measurement professional should own." David Spaulding, President, The Spaulding Group "Carl Bacon is one of the most knowledgeable professionals I know on the subject of Performance Measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance standards, performance attribution technique, and risk measurement. I am very pleased he has written this timely and useful book as a complete reference and explanation update on these important subjects." James Hollis, Managing Director, Cutter Associates "Though the subject matter is complex, Carl strikes the right balance between theory and reality. This book should have a permanent spot on the desk of every performance practitioner. I will refer to it often." Karyn Vincent, CFA, Vincent Performance Services LLC "Whether you are a provider or a user of Performance Analysis, this book is well structured, informative and truly a practical guide in every sense." Gary Hilldrup, Global Head Performance, Risk & Client Reporting, Fortis Investments

Advanced Bond Portfolio Management

Best Practices in Modeling and Strategies

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Author: Frank J. Fabozzi,Lionel Martellini,Philippe Priaulet

Publisher: John Wiley & Sons

ISBN: 0471785768

Category: Business & Economics

Page: 576

View: 9953

In order to effectively employ portfolio strategies that cancontrol interest rate risk and/or enhance returns, you mustunderstand the forces that drive bond markets, as well as thevaluation and risk management practices of these complexsecurities. In Advanced Bond Portfolio Management,Frank Fabozzi, Lionel Martellini, and Philippe Priaulet havebrought together more than thirty experienced bond marketprofessionals to help you do just that. Divided into six comprehensive parts, Advanced BondPortfolio Management will guide you through thestate-of-the-art techniques used in the analysis of bonds and bondportfolio management. Topics covered include: General background information on fixed-income markets and bondportfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide keyingredients in the implementation of an efficient portfolio andrisk management process Interest rate risk and credit risk management Risk factors involved in the management of an internationalbond portfolio Filled with in-depth insight and expert advice, AdvancedBond Portfolio Management is a valuable resource for anyoneinvolved or interested in this important industry.

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns (EPub)

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Author: Mr. Marco Del Negro,Mr. Robin Brooks

Publisher: International Monetary Fund

ISBN: 1452766312

Category: Business & Economics

Page: 61

View: 4174

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across countries. We show that portfolios consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio diversification.

Modern Portfolio Management

Active Long/Short 130/30 Equity Strategies

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Author: Martin L. Leibowitz,Simon Emrich,Anthony Bova

Publisher: John Wiley & Sons

ISBN: 9780470484944

Category: Business & Economics

Page: 511

View: 7523

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.

Third International Conference on Artificial Neural Networks

25-27 May 1993

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Author: Institution of Electrical Engineers. Electronics Division,British Computer Society

Publisher: Peter Peregrinus Ltd

ISBN: N.A

Category: Neural networks (Computer science)

Page: 294

View: 764

Advising Ultra-Affluent Clients and Family Offices

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Author: Michael M. Pompian

Publisher: John Wiley and Sons

ISBN: 9780470483503

Category: Business & Economics

Page: 416

View: 1178

A timely guide for financial professionals looking to tap into the lucrative world of the ultra-affluent The ultra affluent–defined here as those having $50 million or more in liquid assets–are an elite class who expect their financial advisors to not only preserve and grow their assets, but also help them with "soft" issues such as philanthropy and family governance. One of the biggest factors to success in this field is the relationship between the client and the advisor. In Advising Ultra-Affluent Clients and Family Offices, author and practicing investment consultant Michael Pompian provides a practical introduction to who the ultra-affluent actually are and reveals what it takes to build and maintain a solid relationship with them. Filled with in-depth insights and expert advice, this unique resource offers valuable information on issues that every advisor to the ultra-affluent must be familiar with.

The Handbook of Fixed Income Securities, Chapter 44 - Quantitative Management of Benchmarked Portfolios

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Author: Frank Fabozzi,Frank J. Fabozzi

Publisher: McGraw Hill Professional

ISBN: 0071715428

Category: Business & Economics

Page: 33

View: 6471

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.