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Portfolio theory and performance analysis

Portfolio theory and performance analysis (5회 대출)

자료유형
단행본
개인저자
Amenc, Noel. Le Sourd, Veronique.
서명 / 저자사항
Portfolio theory and performance analysis / Noel Amenc and Veronique Le Sourd.
발행사항
Chichester, England ;   Hoboken, NJ :   Wiley ,   c2003.  
형태사항
ix, 266 p. : ill. ; 26 cm.
총서사항
Wiley finance series
ISBN
0470858745 (cased : alk. paper) 9780470858745
서지주기
Includes bibliographical references and index.
일반주제명
Portfolio management. Investment analysis.
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260 ▼a Chichester, England ; ▼a Hoboken, NJ : ▼b Wiley , ▼c c2003.
300 ▼a ix, 266 p. : ▼b ill. ; ▼c 26 cm.
440 0 ▼a Wiley finance series
504 ▼a Includes bibliographical references and index.
650 0 ▼a Portfolio management.
650 0 ▼a Investment analysis.
700 1 ▼a Le Sourd, Veronique.
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.6 A511p 등록번호 121165652 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Acknowledgements.

Biographies.

Introduction.

1. Presentation of the Portfolio Management Environment.

1.1 The different categories of assets.

1.2 Definition of portfolio management.

1.3 Organisation of portfolio management and description of the investment management process.

1.4 Performance analysis and market efficiency.

1.5 Performance analysis and the AIMR standards.

1.6 International investment: additional elements to be taken into account.

1.7 Conclusion.

2. The Basic Performance Analysis Concepts.

2.1 Return calculation.

2.2 Calculating relative return.

2.3 Definition of risk.

2.4 Estimation of parameters.

2.5 Conclusion.

3. The Basic Elements of Modern Portfolio Theory.

3.1 Principles.

3.2 The Markowitz model.

3.3 Efficient frontier calculation algorithm.

3.4 Simplified portfolio modelling methods.

3.5 Conclusion .

4. The Capital Asset Pricing Model and its Application to Performance Measurement.

4.1 The CAPM.

4.2 Applying the CAPM to performance measurement: single-index performance measurement indicators.

4.3 Evaluating the management strategy with the help of models derived from the CAPM: timing analysis.

4.4 Measuring the performance of internationally diversified portfolios: extensions to the CAPM.

4.5 The limitations of the CAPM.

5. Developments in the Field of Performance Measurement.

5.1 Heteroskedastic models.

5.2 Performance measurement method using a conditional beta.

5.3 Performance analysis methods that are not dependent on the market model .

5.4 Conclusion.

6. Multi-factor Models and their Application to Performance Measurement.

6.1 Presentation of the multi-factor models.

6.2 Choosing the factors and estimating the model parameters.

6.3 Extending the models to the international arena.

6.4 Applying multi-factor models.

6.5 Summary and conclusion.

7. Evaluating the Investment Management Process and Decomposing Performance.

7.1 The steps in constructing a portfolio.

7.2 Performance decomposition and analysis.

8. Fixed Income Security Investment.

8.1 Modelling yield curves: the term structure of interest rates.

8.2 Managing  bond portfolio.

8.3 Performance analysis for fixed income security investment.

Conclusion.

Index.


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