Portfolio management: theory and application
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
New York [u.a.]
McGraw-Hill
1997
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | McGraw-Hill series in finance
|
| Schlagwörter: | |
| Links: | http://www.loc.gov/catdir/description/mh022/96022194.html http://www.loc.gov/catdir/toc/mh022/96022194.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007438130&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XVI, 560 S. graph. Darst. |
| ISBN: | 0070200823 |
Internformat
MARC
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| 100 | 1 | |a Farrell, James L. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Portfolio management |b theory and application |c James L. Farrell |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 1997 | |
| 300 | |a XVI, 560 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a McGraw-Hill series in finance | |
| 650 | 7 | |a Gestion de portefeuille |2 ram | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 4 | |a Portfolio management | |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
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| 856 | 4 | |u http://www.loc.gov/catdir/toc/mh022/96022194.html |3 Table of contents | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007438130&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| _version_ | 1819335206941753344 |
|---|---|
| adam_text | CONTENTS
Préface xv
parti Introduction
1 Systematic Portfolio Management 3
Introduction 3
Investment Managers 3
Forces for Change 4
Theory and Application 4
Data Bases 5
Tools of Analysis 6
Participants 7
Asset Classes 9
Risk Return Trade Off 10
Market Efficiency 11
Conclusion 13
Selected Références 13
Questions 14
p a r t 2 Portfolio Construction and Analysis
2 Portfolio Construction 17
Introduction 17
Portfolio Construction Process 17
Markowitz Model 18
Concept of Efficiency 19
Security and Portfolio Return 20
Measuring Risk / Risk in a Portfolio Context / Diversification / Security
Corrélation and Portfolio Risk / Adding Securities to Eliminate Risk /
Systematic and Diversifiable Risk
Risk Return and Weighting Changes 31
Short Selling 32
Required Model Inputs 35
Asset Allocation 36
Risk Return Characteristics of Asset Classes / Generating the Efficient
Frontier / Risk Aversion / Expanding Asset Classes / World Market
Portfolio
Conclusion 47
vii
viii Contents
Appendix A: Choosing the Efficient Portfolio 48
Shortfall Constraint Approach
Selected References 50
Questions and Problems 51
3 Capital Market Theory and
Applied Portfolio Analysis 54
Introduction 54
CAPM Assumptions and Implications 55
Lending and Borrowing / The Capital Market Line
The Security Market Line/Capital Asset Pricing Model 59
Risk Return Relationship / Undervalued and Overvalued Securities /
Empirical Tests
Amended CAPM 66
Adjusting for Taxes / Role of the Market Portfolio
The Single Index Model 70
Measuring Risk and Return / Applying the Single Index Model /
Analyzing Portfolio Risk and Return /Applied Portfolio
Analysis
Fundamental Attributes 78
Measuring Beta / Fundamental Beta / Forecast Betas
Conclusion 86
Selected References 86
Questions and Problems 88
4 Arbitrage Pricing Theory/Multi Index Model 91
Introduction 91
Arbitrage Pricing Theory 92
APT Model / Process of Arbitrage / Extramarket Factors /
Pricing Relationship / Security Valuation / Arbitrage
Process / Comparing Equilibrium Models
Multi Index Portfolio Analysis 100
The Multi Index Model / Measuring Risk and Return /
Applying the Multi Index Model / Composite
Attribute Models
Applied Portfolio Analysis 107
Analyzing Portfolio Risk and Return 109
Generating the Efficient Frontier / Test of Portfolio Selection Models
Conclusion 114
Appendix A: Relating the CAPM to APT 115
Appendix B: Conversion of Correlated Indices into
Uncorrelated (Independent) Indices 118
Selected References 119
Questions and Problems 120
Contents ix
p a r t 3 Security Valuation and Risk Analysis
5 Bond Valuation and Risk Analysis 125
Introduction 125
Valuation Theory 125
Valuation of a Perpetuity / Bond Valuation /
Bond Pricing Theorems
Duration 132
Duration and Interest Rate Sensitivity
Convexity 137
Adjusting for Convexity / Determinants of Convexity /
Applying Convexity Analysis
Reinvestment Rate Risk 143
Reinvestment Risk Control / Immunization
Risk Premium 147
Credit Quality Determinants
Fundamental Sources of Risk 151
Interest Rate Risk / Purchasing Power Risk / Business Risk /
Financial Risk / Exposure to Risk Components
Conclusion 154
Appendix A: General Formula for a Perpetuity 154
Selected References 155
Questions and Problems 156
6 Applying Valuation Model Methods 160
Introduction 160
Stock Valuation Models 161
Dividend Capitalization Model
Stock Value and Differing Model Inputs 163
Price/Earnings Ratio and the Discount Rate / Dividend
Capitalization Model: Simplified Form / Estimating
the Discount Rate / Cyclical Companies / Application
of Technique
Growth Stocks and the Two Stage Growth Model 172
Valuing a Growth Stock
The Market Line Technique 178
Market Line Uses / Evaluation of Individual Securities
Extramarket Factor 185
Two Factor Stock Valuation
Conclusion 187
Appendix A: Simplifying the Dividend Capitalization Model 188
Selected References 188
Questions and Problems 190
x Contents
7 Equity Valuation Models: Simplifications and Applications 195
Introduction 195
Uses of Valuation Models 196
Evolution of Systematic Security Valuation 196
Graham and Dodd / The Dividend Discount Model / Information
Coefficient/Multiple Valuation
Three Stage DDM Application 198
Simplifying the Three Stage Model 200
Yield, Growth, and Revaluation 203
P/B ROE Valuation Model 204
The q Ratio 207
Private Market Value 208
Eclectic Valuation 211
Valuation and Risk Changes 214
Risks and the Discount Rate 218
Interest Rate Risk / Purchasing Power Risk / Business and Financial Risk
Conclusion 224
Appendix A: The Three Stage Dividend Capitalization Model 224
Selected References 226
Questions and Problems 227
1 a r t 4 Asset Class Management
8 Disciplined Stock Selection 235
Introduction 235
Active Passive Strategies 235
A Stock Selection Strategy 237
Designing the Investment Process 239
Measuring Predictive Ability 240
Composite Forecasting 243
Generating Return Forecasts 245
Generating a Return Distribution 246
Adjusting for Predictive Capability 248
Transaction Costs 249
Applied Composite Forecasting 250
Portfolio Construction 251
Portfolio Optimization 252
Managing the Process over Time 256
Performance of Strategy over Time 257
Long/Short Strategies 259
Return Patterns 260
Long/Short Risk 263
Conclusion 265
Appendix A: Defining the Forecasting Regression Equation 265
Appendix B: Combining Forecasts 267
Contents xi
Selected References 268
Questions and Problems 270
9 Managing the Asset Class Mix 272
Introduction 272
Strategic Asset Allocation 272
Using the Past to Forecast the Future 273
Subdividing Historical Data
Scenario Forecasting 276
Determining Scenarios / Capital Market Implications
Determining the Optimum Mix 279
Tactical Asset Allocation (TAA) 281
Assessing Predictive Ability
Managing Market Sensitivities 284
Cyclical Behavior of the Market 285
Forecasting the Market 287
Valuation Indicators / Market Implied Returns / Economic and Technical
Indicators
Composite Stock Market Forecasting 290
Asset Mix Management 291
Buy and Hold Strategies / Constant Mix Strategy / Portfolio Insurance /
Strategy Characteristics
Conclusion 297
Appendix A: Asset/Liability Optimization 298
Selected References 302
Questions and Problems 305
10 Equity Investment Styles 307
Introduction 307
Classification by Size 308
Combining Strategies 309
Growth and Value Stock Groupings 312
Sustainable Growth Dividend Yield Characteristics
Growth/Value Performance Indexes 315
Grouping by Price Action 316
Cluster Analysis
Portfolio Construction/Passive Strategy 320
Group Rotation/Active Strategy 323
Forecasting Growth Stock Performance 325
Interest Rate Impact / Yield Curve / Relative P/Es
Fundamental Characteristics of Nongrowth Groupings 332
Relative Performance of Nongrowth Groupings / Adjusting Forecasts
Optimum Weighting 338
Conclusion 340
Appendix A: Discriminant Analysis and Fundamental Variables 341
Appendix B: A Simplified Technique for Determining Optimum
Group Weights 342
xii Contents
Selected References 345
Questions and Problems 347
11 International Investing 348
Introduction 348
Size of Global Equity Market / Risk Return Character of Global Equity
Market
Diversification Advantages of International Investment 353
Market Volatility and Cross Correlation /Minimum Return Required for
International Investing
Currency Risk 357
Fundamental Determinants of Exchange Rates / Managing Currency Risks
A Passive Strategy 362
An Active Strategy 364
Optimum International Portfolio 369
Stock Selection Strategies: International Markets / Valuation / Portfolio
Construction
Conclusion 373
Selected References 374
Questions and Problems 377
p a r t 5 Derivatives: Valuation and Strategy Applications
12 Financial Futures: Theory and
Portfolio Strategy Applications 383
Introduction 383
Spot and Forward Transactions 383
Futures 384
Cash Flows and Futures Settlement / Liquidity Reserve /
Futures Settlement / Futures Markets
Futures Valuation of the Spot/Expected Spot Pricing
Relationship 389
Valuing Futures 392
Interest Rate Futures / Stock Index Futures / Index Arbitrage /
Foreign Currency Futures / Interest Rate Parity /
Uncovered Interest Rate Parity
Uses of Futures 405
Tactical Asset Allocation 405
Bond Applications 407
Interest Rate Fledging / Changing Duration
Stock Applications 411
Changing Portfolio Beta / Sector Allocation
Alpha Capture 413
Alpha Capture Applied / Transporting Alpha
Contents xiii
Conclusion 418
Selected References 418
Questions and Problems 419
13 Options: Valuation and Strategies 421
Introduction 421
Security Options 421
The Listed Options Market 424
Patterns of Returns /Index Options
Option Valuation 430
Factors Affecting Value of Options 432
Option Valuation Models 435
Binomial Option Pricing 436
Pricing Over Multiple Periods
The Black Scholes Option Valuation Model 442
Valuing an Option / Put Option Valuation / Hedge Ratio / Changing
Option Values
Options Related Portfolio Strategies 450
Spreads / Straddles / Trading Volatility / Writing Covered Calls /
Overwriting Opportunities / The Protective Put / Portfolio Insurance
Conclusion 461
Selected References 462
Questions and Problems 464
14 Managing the Bond Portfolio 467
Introduction 467
The Term Structure of Interest Rates 468
Yield Curve and Forward Rates / Term Structure Models
Bond Portfolio Analysis 473
An Active Bond Strategy / Scenario Forecasting
Bond Call Provision 478
Valuing Embedded Options 480
Valuing the Callable Bond
Changing Volatility and Bond Value 483
Changing Credit Quality 485
Ratings Change and Performance / Monitoring Bond Quality
Bond Swaps 488
Substitution Swap / Intermarket Spread Swap / Tax Motivated Swap
Foreign Bonds 493
Market Size and Characteristics / Diversification / Currency Risk /
Currency Hedging / Risk Return Characteristics of Hedged Bonds
Conclusion 502
Appendix A 503
Selected References 505
Questions and Problems 507
xiv Contents
p a r t 6 Portfolio Performance Analysis
15 Evaluating Portfolio Performance 513
Introduction 513
Evaluating Investment Strategies 513
Mutual Fund Objectives 514
Calculating Fund Returns 515
Risk Adjusted Performance 517
Return per Unit of Risk / Differential Return (Alpha) / Comparison of
Performance Measures
Components of Investment Performance 523
Stock Selection 524
Market Timing 526
Cash Management Analysis / Probability of Success
Return Attribution 534
Long Term Goals: Strategic Asset Allocation 536
Appraising Asset Mix Changes 538
Evaluating Asset Class Managers 539
Multifactor Adjustment 541
Information Ratio 544
Aggregating Return Components 546
Conclusion 547
Selected References 547
Questions and Problems 549
Index 553
|
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| id | DE-604.BV011102648 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:06:19Z |
| institution | BVB |
| isbn | 0070200823 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007438130 |
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| physical | XVI, 560 S. graph. Darst. |
| publishDate | 1997 |
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| spellingShingle | Farrell, James L. Portfolio management theory and application Gestion de portefeuille ram Portfolio-analyse gtt Portfolio management Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4115601-8 |
| title | Portfolio management theory and application |
| title_auth | Portfolio management theory and application |
| title_exact_search | Portfolio management theory and application |
| title_full | Portfolio management theory and application James L. Farrell |
| title_fullStr | Portfolio management theory and application James L. Farrell |
| title_full_unstemmed | Portfolio management theory and application James L. Farrell |
| title_short | Portfolio management |
| title_sort | portfolio management theory and application |
| title_sub | theory and application |
| topic | Gestion de portefeuille ram Portfolio-analyse gtt Portfolio management Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Gestion de portefeuille Portfolio-analyse Portfolio management Portfolio Selection Portfoliomanagement |
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