Institutional investment management: equity and bond portfolio strategies and applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J.
Wiley
2009
|
| Series: | The Frank J. Fabozzi series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIV, 856 S. graf. Darst. |
| ISBN: | 9780470400944 0470400943 |
Staff View
MARC
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| 245 | 1 | 0 | |a Institutional investment management |b equity and bond portfolio strategies and applications |c Frank J. Fabozzi |
| 264 | 1 | |a Hoboken, N.J. |b Wiley |c 2009 | |
| 300 | |a XXIV, 856 S. |b graf. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
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| 653 | |a Portfolio management. | ||
| 653 | |a Institutional investments. | ||
| 653 | |a Investment analysis. | ||
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-021124992 | ||
Record in the Search Index
| _version_ | 1804143803815165952 |
|---|---|
| adam_text | Contents
Preface
xv
Acknowledgments
xix
About the Author
xxiii
CHAPTER
1
Overview of Investment Management
1
Setting Investment Objectives
2
Establishing an Investment Policy
4
Selecting a Portfolio Strategy
9
Constructing and Monitoring the Portfolio
10
Measuring and Evaluating Performance
11
References
11
Portfolio Theory and Asset Pricing
13
CHAPTER
2
Theory of Portfolio Selection
1
S
Some Basic Concepts
16
Measuring a Portfolio s Expected Return
19
Measuring Portfolio Risk
21
Portfolio Diversification
26
Choosing a Portfolio of Risky Assets
30
Index Model s Approximations to the Covariance Structure
36
Summary
39
References
40
vii
VIH
______________________________________________________________
CONTENTS
CHAPTER
3
Applying Mean-Variance Analysis
41
Using Historical Data to Estimate Inputs
42
Application of Portfolio Theory to Asset Allocation
46
Implementing the Optimal Portfolio
53
Summary
56
References
57
CHAPTER
4
Issues in the Theory ol Portfolio Selection
59
Quick Review of Probability Theory
60
Limitations of the Variance as a Risk Measure
64
Desirable Features of Investment Risk Measures
68
Alternative Risk Measures for Portfolio Selection
74
Extensions of the Theory of Portfolio Selection
77
Behavioral Finance Attack on the Theory of Portfolio
80
Summary
82
References
84
CHAPTERS
Asset Pricing Theories
89
Characteristics of an Asset Pricing Model
90
Capital Asset Pricing Model
91
Arbitrage Pricing Theory Model
102
Some Principles to Take Away
107
Summary
108
Appendix
109
References
117
РЖИ
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Common Stock Analysis and Portfolio Management
119
CHAPTER
6
The U.S. Equity Markets
121
Exchange Market Structures
121
The U.S. Stock Markets: Exchanges and OTC Markets
125
Off-Exchange Markets and Alternative Electronic Markets
134
Evolving Stock Market Practices
138
Basic Functioning of Stock Markets
140
Contents ix
Summary
145
References
145
CHAPTER?
Common Stock Strategies and Performance Evaluation
147
Market Efficiency
147
Stock Market Indicators
149
Top-Down vs. Bottom-Up Approaches
152
Fundamental vs. Technical Analysis
153
Strategies Based on Technical Analysis
154
Strategies Based on Fundamental Analysis
161
Equity Style Investing
166
Passive Strategies
169
Measuring and Evaluating Performance
176
Summary
187
References
189
CHAPTERS
Financial Analysis
1ЭЗ
Financial Ratio Analysis
194
Cash Flow Analysis
223
Usefulness of Cash Flows in Financial Analysis
235
Summary
241
References
242
CHAPTERS
Applied Equity Valuation
24S
Discounted Cash Flow Models
245
Relative Valuation Methods
266
DCF vs. RV Methods
272
Summary
275
References
276
CHAPTER
1С
Forecasting Stock Returns
277
The Concept of Predictability
279
A Closer Look at Pricing Models
286
Predictive Return Models
287
Is Forecasting Markets Worth the Effort?
293
Summary
295
References
297
Χ
_______________________________________________________________________CONTENTS
CHAPTER
11
Managing a Common Stock Portfolio with Fundamental Factor Models
299
Tracking Error
300
Fundamental Factor Model Description and Estimation
309
Risk Decomposition
312
Applications in Portfolio Construction and Risk Control
316
Summary
329
References
330
CHAPTER
12
Iransaction Costs and Trade Execution in
Common Stock Portfolio Management
331
Trading Mechanics
332
Trading Arrangements for Institutional Investors
335
A Taxonomy of Transaction Costs
340
Liquidity and Transaction Costs
347
Market Impact Measurements and Empirical Findings
349
Forecasting and Modeling Market Impact
352
Incorporating Transaction Costs in Asset-Allocation Models
355
Optimal Trading
356
Integrated Portfolio Management:
Beyond Expected Return and Portfolio Risk
359
Summary
360
References
362
CHAPTER
13
Using Stock Index Futures and Equity Swaps in
Equity Portfolio Management 36S
Derivatives Process
366
Basic Features of Futures Contracts
367
Basic Features of Stock Index Futures
373
Applications for Stock Index Futures
381
Equity Swaps
393
Summary
394
References
395
CHAPTER
14
Using Equity Options in Investment Management
397
Basic Features of Options
397
Basic Features of Listed Equity Options
400
Risk and Return Characteristics of Listed Options
402
Contents_________________________________________________________________
ХІ
The Option
Price
410
Use of Listed Equity Options in Portfolio Management
415
OTC Equity Options: The Basics
421
Use of Exotic Equity Options
425
Summary
426
References
427
CHAPTER
15
Equity Option Pricing Models
429
Put-Call Parity Relationship
429
Option Pricing Models
431
Sensitivity of the Option Price to a Change in Factors
447
Estimating Expected Stock Return Volatility
452
Summary
453
References
454
ШМТ
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^Я^^,^т„Ж^,
.....
«»sc«™^™™*,
Bond Analysis and Portfolio Management
455
CHAPTER
16
Rond
Fundamentals and Risks
457
Features of Bonds
457
Risks Associated with Investing in Bonds
467
Summary
482
Appendix: Calculating Accrued Interest
484
References
486
CHAPTER
17
Treasury and Agency Securities, Corporate Bonds, and Municipal Bonds
487
Treasury Securities
487
Federal Agency Securities
490
Corporate Bonds
491
Municipal Bonds
495
Non-U.S. Bonds
501
Summary
504
References
505
Xli___________________________________________________________CONTENTS
CHAPTERS
Structured Products: RMBS,CMB8, and
ABS 507
Agency Residential Mortgage-Backed Securities
509
Private-Label Residential MBS
528
Mortgage-Related, Asset-Backed Securities:
Subprime MBS
533
Commercial Mortgage-Backed Securities
537
Nonmortgage Asset-Backed Securities
540
Summary
546
References
547
CHAPTER
19
The Structure of Interest Rates
549
The Base Interest Rate
549
The Risk Premium Between Non-Treasury and
Treasury Securities with the Same Maturity
550
Factors Affecting the Risk Premium
551
Term Structure of Interest Rates
555
Summary
564
References
565
CHAPTER
20
Bond Pricing and Yield Measures
587
Pricing of Option-Free Bonds
567
Conventional Yield Measures
576
Portfolio Yield Measures
583
Total Return
585
Summary
592
CHAPTER
21
Bond Price Volatility and the Measurement of Interest Rate Risk
583
Price Volatility Properties of Option-Free Bonds
593
Factors that Affect a Bond s Price Volatility
596
Measuring Interest Rate Risk Using the Price Value of a
Basis Point
596
Measuring Interest Rate Risk Using Duration and Convexity
598
Measuring Exposure to Yield Curve Changes
Key Rate Duration
610
Summary
611
References
612
Contents___________________________________________________________________Xiii
chapter
22
Valuing Bonds with Embedded Options
613
The Interest Rate Lattice
614
Calibrating the Lattice
618
Using the Lattice for Valuation
622
Using the Lattice Model to Value Bonds with
Embedded Options
625
Extensions
630
Summary
634
References
634
CHAPTER
23
Bond Portfolio Strategies
635
Bond Market Indexes
635
The Spectrum of Strategies
640
Value-Added Strategies
647
Using Factor Models to Manage a Portfolio
658
Liability-Driven Strategies
672
Summary
680
References
682
CHAPTER
24
Using Derivatives in Bond Portfolio Management
683
Using Treasury Bond and Note Futures Contracts in
Bond Portfolio Management
683
Use of Interest Rate Options in Bond Portfolio Management
692
Using Interest Rate Swaps in Bond Portfolio Management
704
Using Stock Index Futures and Treasury Bond Futures to
Implement an Asset Allocation Decision
715
Using Credit Default Swaps to Manage Credit Risk
716
Summary
720
References
722
XIV
_____________________________________________________________________CONTENTS
ШІІОШ
.,................,,,.....
,
.............
:
...,....,,..,.
,
......................................................
,
.............
,,
........,,,,,
Investment
Companies, Exchange-Traded Funds,
and Alternative Investments
723
CHAPTER
25
Investment Companies, Exchange-Traded Funds,
and Investment-Oriented Life Insurance
725
Investment Companies
725
Exchange-Traded Funds
739
Investment-Oriented Life Insurance
744
Summary
764
References
765
CHAPTER
26
Alternative Assets
767
Hedge Funds
767
Private Equity
786
Commodity Investments
798
Summary
806
References
807
APPENDIX
Measuring and Forecasting Yield Volatility
809
Calculating the Standard Deviation from Historical Data
809
Modeling and Forecasting Yield Volatility
814
Summary
825
References
825
Index
827
|
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| id | DE-604.BV037210937 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:53:28Z |
| institution | BVB |
| isbn | 9780470400944 0470400943 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-021124992 |
| oclc_num | 610028429 |
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| owner | DE-473 DE-BY-UBG |
| owner_facet | DE-473 DE-BY-UBG |
| physical | XXIV, 856 S. graf. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Institutional investment management equity and bond portfolio strategies and applications Frank J. Fabozzi Hoboken, N.J. Wiley 2009 XXIV, 856 S. graf. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Institutioneller Anleger (DE-588)4252195-6 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Portfolio management. Institutional investments. Investment analysis. Kapitalanlage (DE-588)4073213-7 s Institutioneller Anleger (DE-588)4252195-6 s DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021124992&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fabozzi, Frank J. 1948- Institutional investment management equity and bond portfolio strategies and applications Institutioneller Anleger (DE-588)4252195-6 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| subject_GND | (DE-588)4252195-6 (DE-588)4073213-7 |
| title | Institutional investment management equity and bond portfolio strategies and applications |
| title_auth | Institutional investment management equity and bond portfolio strategies and applications |
| title_exact_search | Institutional investment management equity and bond portfolio strategies and applications |
| title_full | Institutional investment management equity and bond portfolio strategies and applications Frank J. Fabozzi |
| title_fullStr | Institutional investment management equity and bond portfolio strategies and applications Frank J. Fabozzi |
| title_full_unstemmed | Institutional investment management equity and bond portfolio strategies and applications Frank J. Fabozzi |
| title_short | Institutional investment management |
| title_sort | institutional investment management equity and bond portfolio strategies and applications |
| title_sub | equity and bond portfolio strategies and applications |
| topic | Institutioneller Anleger (DE-588)4252195-6 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| topic_facet | Institutioneller Anleger Kapitalanlage |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021124992&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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