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Index
Cover
About the Authors
Acknowledgments
Preface
SUPPLEMENTS
ENDNOTE
CHAPTER 1: Introduction
1.1 INTRODUCTION TO THE INVESTMENT INDUSTRY
1.2 WHAT IS A PORTFOLIO MANAGER?
1.3 WHAT INVESTMENT PROBLEMS DO PORTFOLIO MANAGERS SEEK TO SOLVE?
1.4 SPECTRUM OF PORTFOLIO MANAGERS
1.5 LAYOUT OF THIS BOOK
PROBLEMS
ENDNOTES
CHAPTER 2: Client Objectives for Diversified Portfolios
2.1 INTRODUCTION
2.2 DEFINITIONS OF RISK
2.3 THE PORTFOLIO MANAGEMENT PROCESS AND THE INVESTMENT POLICY STATEMENT
2.4 INSTITUTIONAL INVESTORS
2.5 INDIVIDUAL INVESTORS
2.6 ASSET CLASS PORTFOLIOS
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 3: Asset Allocation: The Mean - Variance Framework
3.1 INTRODUCTION: MOTIVATION OF THE MEAN–VARIANCE APPROACH TO ASSET ALLOCATION
3.2 THEORY: OUTLINE OF THE MEAN–VARIANCE FRAMEWORK
3.3 PRACTICE: SOLUTION OF STYLIZED PROBLEMS USING THE MEAN–VARIANCE FRAMEWORK
SUMMARY
PROBLEMS
APPENDIX 1: RETURNS, COMPOUNDING, AND SAMPLE STATISTICS
APPENDIX 2: OPTIMIZATION
APPENDIX 3: NOTATION
ENDNOTES
CHAPTER 4: Asset Allocation Inputs
4.1 SENSITIVITY OF THE MEAN–VARIANCE MODEL TO INPUTS
4.2 CONSTANT INVESTMENT OPPORTUNITIES
4.3 TIME-VARYING INVESTMENT OPPORTUNITIES
SUMMARY
PROBLEMS
APPENDIX: MIXED ESTIMATION WITH MULTIPLE ASSETS
ENDNOTES
CHAPTER 5: Advanced Topics in Asset Allocation
5.1 INTRODUCTION
5.2 HORIZON EFFECTS IN THE M-V FRAMEWORK
5.3 DYNAMIC PROGRAMMING
5.4 SIMULATION
5.5 ASSET ALLOCATION WITH ACTIVE MANAGERS
5.6 PORTFOLIO INSURANCE
SUMMARY
PROBLEMS
APPENDIX 1: THE ESTIMATED VAR1 MODEL
APPENDIX 2: DP SOLUTION OF THE MEAN REVERSION MODEL
ENDNOTES
CHAPTER 6: The Investment Management Process
6.1 INTRODUCTION
6.2 THE EFFICIENT MARKET HYPOTHESIS (EMH)
6.3 GENERAL DISCUSSION OF INVESTMENT STRATEGIES
6.4 THE FIVE KEY ELEMENTS OF THE INVESTMENT PROCESS
6.5 THE IMPORTANCE OF QUALITY CONTROL AND OTHER RECOMMENDATIONS
6.6 A SAMPLE INVESTMENT STRATEGY: THE SRY MODEL
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 7: Introduction to Equity Portfolio Investing: The Investor's View
7.1 INTRODUCTION
7.2 EQUITY STRATEGIES
7.3 SELECTING THE EQUITY MIX
7.4 ALTERNATIVE EQUITY MIXES
7.5 THE EQUITY MANAGEMENT BUSINESS
7.6 IMPLEMENTING THE EQUITY MIX
7.7 EQUITY PORTFOLIO INVESTMENT OBJECTIVES
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 8: Equity Portfolio Construction
8.1 INTRODUCTION
8.2 PASSIVE VERSUS ACTIVE MANAGEMENT
8.3 PASSIVE PORTFOLIO CONSTRUCTION
8.4 GOALS FOR ACTIVE MANAGEMENT
8.5 SECTOR MANAGEMENT
8.6 STYLE AND SECTOR MANAGEMENT
8.7 IDENTIFYING STYLE
8.8 SAMPLE ACTIVE PORTFOLIO
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 9: Fixed-Income Management
9.1 INTRODUCTION
9.2 FIXED-INCOME MARKETS, INSTRUMENTS, AND CONCEPTS
9.3 FIXED-INCOME MANDATES
9.4 PASSIVE MANAGEMENT
9.5 ACTIVE MANAGEMENT
9.6 STRUCTURED PORTFOLIOS
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 10: Global Investing
10.1 INTRODUCTION
10.2 INVESTING WITH A GLOBAL PERSPECTIVE
10.3 GLOBAL INVESTMENT OPPORTUNITIES
10.4 THE IMPACT OF CURRENCY
10.5 INTERNATIONAL DIVERSIFICATION: FAILURE TO DELIVER?
10.6 IMPLICATIONS OF GLOBALIZATION
10.7 CURRENCY OVERLAYS: INCENTIVE-COMPATIBLE PERFORMANCE EVALUATION
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 11: Alternative Investment Classes
11.1 INTRODUCTION
11.2 HEDGE FUNDS
11.3 VENTURE CAPITAL AND PRIVATE EQUITY
11.4 REAL ESTATE
11.5 COMMODITIES
11.6 ALTERNATIVES MANAGER SELECTION
11.7 ALLOCATING ASSETS INCLUDING ALTERNATIVES
SUMMARY
PROBLEMS
APPENDIX: SOURCES FOR RETURN SERIES
ENDNOTES
CHAPTER 12: Portfolio Management Through Time: Taxes and Transaction Costs
12.1 INTRODUCTION
12.2 PERFORMANCE SHORTFALL
12.3 PORTFOLIO ADJUSTMENTS WITHOUT TAXES OR COSTS
12.4 TRANSACTION COSTS
12.5 TAXATION OF INVESTMENT RETURNS IN THE UNITED STATES
12.6 STRATEGIES TO REDUCE INDIVIDUAL INVESTOR TAXES
12.7 TAX MANAGING A PORTFOLIO OF SECURITIES
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 13: Performance Measurement and Attribution
13.1 INTRODUCTION
13.2 PERFORMANCE MEASUREMENT
13.3 PERFORMANCE ATTRIBUTION
13.4 PERFORMANCE APPRAISAL: INCENTIVE EFFECTS
SUMMARY
PROBLEMS
APPENDIX: CALCULATION OF RISK MEASURES
ENDNOTES
CHAPTER 14: Incentives, Ethics, and Policy
14.1 INTRODUCTION
14.2 THE INVESTMENT COMPANY BUSINESS MODEL
14.3 INCENTIVES FOR BUSINESSPEOPLE AND PORTFOLIO MANAGERS
14.4 ETHICAL SITUATIONS
14.5 INDUSTRY GUIDELINES FOR GOOD BUSINESS PRACTICES
14.6 INTERNAL COMPANY POLICIES TO PROTECT THE FRANCHISE
14.7 EFFECTIVE MANAGER AND ANALYST COMPENSATION POLICIES
SUMMARY
PROBLEMS
APPENDIX: SAMPLE LIST OF INVESTMENT POLICIES
ENDNOTES
CHAPTER 15: Investor and Client Behavior
15.1 INTRODUCTION
15.2 THEORY AND OBSERVATIONS OF HUMAN BEHAVIOR
15.3 IMPLICATIONS FOR ACTIVE MANAGEMENT
15.4 IMPLICATIONS FOR SETTING INVESTMENT POLICY
15.5 IMPLICATIONS FOR MANAGER SELECTION
SUMMARY
PROBLEMS
ENDNOTES
CHAPTER 16: Managing Client Relations
16.1 INTRODUCTION
16.2 GENERAL RECOMMENDATIONS FOR CLIENT MANAGEMENT
16.3 MEETING CLIENT NEEDS
16.4 MANAGER SELECTION PROCESS
16.5 SECURING NEW CLIENTS
16.6 RETAINING CLIENTS
16.7 CASE STUDY
SUMMARY
PROBLEMS
ENDNOTES
Sample Cases
Jerry W.
PRIVATE WEALTH CASE: DESIGNING AN INVESTMENT PLAN FOR JERRY W.
APPENDICES
INVESTOR QUESTIONNAIRE
ENDNOTES
MSSI
DEFINED BENEFIT PLAN CASE: DESIGNING THE INVESTMENT STRUCTURE FOR MSSI CORPORATION'S DEFINED BENEFIT PLAN
McClain Capital
DEFINED CONTRIBUTION PLAN CASE: DESIGNING A CUSTOM DEFINED CONTRIBUTION PLAN
The Fairbanks Fund
FUND CASE: THE FAIRBANKS SMALL-CAP U.S. EQUITY FUND
WHITTIER WEALTH MANAGEMENT: FAIRBANKS SMALL-CAP EQUITY FUND
Glossary
References
Index
End User License Agreement
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