Holdings: Portfolio management

Portfolio management: theory and application

Saved in:

Bibliographic Details
Main Author:	Farrell, James L. (Author)
Format:	Book
Language:	English
Published:	New York [u.a.] McGraw-Hill 1997
Edition:	2. ed.
Series:	McGraw-Hill series in finance
Subjects:	Gestion de portefeuille Portfolio-analyse Portfolio management Portfolio Selection Portfoliomanagement
Online Access:	Publisher description Table of contents Inhaltsverzeichnis
Physical Description:	XVI, 560 S. graph. Darst.
ISBN:	0070200823

Staff View

MARC


LEADER	00000nam a2200000 c 4500
001	BV011102648
003	DE-604
005	19980206
007	t
008	961209s1997 xxud\|\|\| \|\|\|\| 00\|\|\| eng d
020			\|a 0070200823 \|9 0-07-020082-3
035			\|a (OCoLC)34798140
035			\|a (DE-599)BVBBV011102648
040			\|a DE-604 \|b ger \|e rakddb
041	0		\|a eng
044			\|a xxu \|c XD-US
049			\|a DE-355 \|a DE-19 \|a DE-703 \|a DE-739 \|a DE-Aug4 \|a DE-859 \|a DE-824 \|a DE-945 \|a DE-92 \|a DE-521
050		0	\|a HG4529.5.F37 1997
082	0		\|a 332.6 20
082	0		\|a 332.6 \|2 20
084			\|a QK 800 \|0 (DE-625)141681: \|2 rvk
084			\|a QK 810 \|0 (DE-625)141682: \|2 rvk
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
650	0	7	\|a Portfoliomanagement \|0 (DE-588)4115601-8 \|2 gnd \|9 rswk-swf
689	0	0	\|a Portfoliomanagement \|0 (DE-588)4115601-8 \|D s
689	0		\|5 DE-604
689	1	0	\|a Portfolio Selection \|0 (DE-588)4046834-3 \|D s
689	1		\|5 DE-604
856	4		\|u http://www.loc.gov/catdir/description/mh022/96022194.html \|3 Publisher description
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
999			\|a oai:aleph.bib-bvb.de:BVB01-007438130

Record in the Search Index

_version_	1804125592829820928
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
any_adam_object	1
author	Farrell, James L.
author_facet	Farrell, James L.
author_role	aut
author_sort	Farrell, James L.
author_variant	j l f jl jlf
building	Verbundindex
bvnumber	BV011102648
callnumber-first	H - Social Science
callnumber-label	HG4529
callnumber-raw	HG4529.5.F37 1997
callnumber-search	HG4529.5.F37 1997
callnumber-sort	HG 44529.5 F37 41997
callnumber-subject	HG - Finance
classification_rvk	QK 800 QK 810
ctrlnum	(OCoLC)34798140 (DE-599)BVBBV011102648
dewey-full	332.620 332.6
dewey-hundreds	300 - Social sciences
dewey-ones	332 - Financial economics
dewey-raw	332.6 20 332.6
dewey-search	332.6 20 332.6
dewey-sort	3332.6 220
dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
edition	2. ed.
format	Book
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01916nam a2200493 c 4500</leader><controlfield tag="001">BV011102648</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19980206 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">961209s1997 xxud\|\|\| \|\|\|\| 00\|\|\| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0070200823</subfield><subfield code="9">0-07-020082-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)34798140</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV011102648</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-Aug4</subfield><subfield code="a">DE-859</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4529.5.F37 1997</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6 20</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6</subfield><subfield code="2">20</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 800</subfield><subfield code="0">(DE-625)141681:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 810</subfield><subfield code="0">(DE-625)141682:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Farrell, James L.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Portfolio management</subfield><subfield code="b">theory and application</subfield><subfield code="c">James L. Farrell</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York [u.a.]</subfield><subfield code="b">McGraw-Hill</subfield><subfield code="c">1997</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 560 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">McGraw-Hill series in finance</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Gestion de portefeuille</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Portfolio-analyse</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfoliomanagement</subfield><subfield code="0">(DE-588)4115601-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Portfoliomanagement</subfield><subfield code="0">(DE-588)4115601-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/description/mh022/96022194.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/toc/mh022/96022194.html</subfield><subfield code="3">Table of contents</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-007438130</subfield></datafield></record></collection>
id	DE-604.BV011102648
illustrated	Illustrated
indexdate	2024-07-09T18:04:01Z
institution	BVB
isbn	0070200823
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-007438130
oclc_num	34798140
open_access_boolean
owner	DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-703 DE-739 DE-Aug4 DE-859 DE-824 DE-945 DE-92 DE-521
owner_facet	DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-703 DE-739 DE-Aug4 DE-859 DE-824 DE-945 DE-92 DE-521
physical	XVI, 560 S. graph. Darst.
publishDate	1997
publishDateSearch	1997
publishDateSort	1997
publisher	McGraw-Hill
record_format	marc
series2	McGraw-Hill series in finance
spelling	Farrell, James L. Verfasser aut Portfolio management theory and application James L. Farrell 2. ed. New York [u.a.] McGraw-Hill 1997 XVI, 560 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier McGraw-Hill series in finance Gestion de portefeuille ram Portfolio-analyse gtt Portfolio management Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s http://www.loc.gov/catdir/description/mh022/96022194.html Publisher description http://www.loc.gov/catdir/toc/mh022/96022194.html Table of contents HBZ Datenaustausch application/pdf 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 Inhaltsverzeichnis
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
url	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
work_keys_str_mv	AT farrelljamesl portfoliomanagementtheoryandapplication

Holdings

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Indexes

MARC

Record in the Search Index

There is no print copy available.

Similar Items