Portfolio Theory and Performance Analysis

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9780470858745: Portfolio Theory and Performance Analysis
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For many years asset management was considered to be a marginalactivity, but today, it is central to the development of financialindustry throughout the world. Asset management's transition froman "art and craft" to an industry has inevitably called integratedbusiness models into question, favouring specialisation strategiesbased on cost optimisation and learning curve objectives. This bookconnects each of these major categories of techniques and practicesto the unifying and seminal conceptual developments of modernportfolio theory.

In these bear market times, performance evaluation of portfoliomanagers is of central focus. This book will be one of very few onthe market and is by a respected member of the profession.

  • Allows the professionals, whether managers or investors, totake a step back and clearly separate true innovations from mereimprovements to well-known, existing techniques
  • Puts into context the importance of innovations with regard tothe fundamental portfolio management questions, which are theevolution of the investment management process, risk analysis andperformance measurement
  • Takes the explicit or implicit assumptions contained in thepromoted tools into account and, by so doing, evaluate the inherentinterpretative or practical limits

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From the Inside Flap:

This book is a most extensive and remarkable synthesis of thecontribution of best-known academics in finance to modern portfolioand market efficiencies theories. Indeed, a valuable hindsight andupdating of the evolutionary perspective of portfolio management,investment process and performance analysis on multistyles andmulticlasses assets. – Pierre Palasi, Chairman, LCFRothschild Multimanagment

A wonderful step forward in portfolio management texts! The bookis a “soup-to-nuts” feast covering almost all aspectsof portfolio management. It takes readers from the basic conceptualunderpinnings through important issues such as VaR, extreme valuedistribution. It covers both equities and fixed income. Thematerial is well laid out, up-to-date, and strikes a welcomebalance between presenting the academic background for topics andproviding a good feel for current industry practice. I also likedthe fact the international issues surfaced frequently, as theyshould! – Terry Marsh, Professor of Finance, University ofCalifornia, Berkeley

The contribution of Prof. Amenc and V. Le Sourd will undoubtedlyenable practitioners and other investors alike to better apprehendthe tools and techniques available to them, as well as theirrelevance, in making informed investment decisions in today’sincreasingly turbulent and complex financial markets –Jean Castellini, Managing Director, Frank Russell Company Ltd(France)

Sound investment decisions rest on identifying and selectingportfolio managers who are expected to deliver superiorperformance. Measuring the performance of portfolio managers is achallenging task, because performance must be evaluated in arisk-adjusted sense. In this book, Nöel Amenc andVéronique Le Sourd provide the reader with an insightfulaccount of how modern portfolio theory can be used to achieverelevant risk-adjusted performance evaluation. The authors havemanaged to compile a very comprehensive and structured overview ofthe set of statistical techniques used to distinguish systematicperformance effects from pure chance and to account for the riskstaken to earn them. This book is likely to become the referencework in portfolio performance evaluation – LionelMartellini, PhD, Assistance Professor of Finance, Marshall Schoolof Business, University of Southern California

From the Back Cover:

Asset management has become central to the development of thefinancial industry, both in the United States and Europe. Theincreasing number of cross-border merger and acquisition operationsand the extremely high valuations that are put on those operationsare evidence of the major financial establishments’ desire toinvest in a sector that they consider to be essential to theirstrategy of globalising and "financialising" their activities.

Asset management's transition from an "art and craft" to anindustry has inevitably called integrated business models intoquestion, favouring specialisation strategies based on costoptimisation and learning curve objectives.

Faced with an abundance of tools and academic references, it isimportant to place all the practices, empirical studies andinnovations in their context, given that they are always describedas "major" by their promoters in the area of portfolio theory.

Portfolio Theory and Performance Analysis

  • allow the professionals, whether managers or investors, to takea step back and c learly separate true innovations from mereimprovements to well-known, existing techniques;
  • puts into context the importance of innovations with regard tothe fundamental portfolio management questions, which are theevolution of the investment management process, risk analysis andperformance measurement;
  • takes the explicit or implicit assumptions contained in thepromoted tools into account and, by so doing, evaluate the inherentinterpretative or practical limits.

This book connects each of the major categories of techniquesand practices to the unifying and seminal conceptual developmentsof modern portfolio theory, whether these involve measuring thereturn on a portfolio, analysing portfolio risk or evaluating thequality of the portfolio management process.

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Book Description John Wiley and Sons Ltd, United Kingdom, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an 'art and craft' to an industry has inevitably called integrated business models into question, favoring specialization strategies based on cost optimization and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus.This book will be one of very few on the market and is by a respected member of the profession. It allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques. The book puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement.It takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits. Seller Inventory # AAH9780470858745

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Book Description John Wiley and Sons Ltd, United Kingdom, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an 'art and craft' to an industry has inevitably called integrated business models into question, favoring specialization strategies based on cost optimization and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus.This book will be one of very few on the market and is by a respected member of the profession. It allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques. The book puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement.It takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits. Seller Inventory # AAH9780470858745

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Book Description John Wiley and Sons Ltd, United Kingdom, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an 'art and craft' to an industry has inevitably called integrated business models into question, favoring specialization strategies based on cost optimization and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus.This book will be one of very few on the market and is by a respected member of the profession. It allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques. The book puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement.It takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits. Seller Inventory # LIE9780470858745

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