Portfolio Management in Practice, Volume 1: Investment Management
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Newark
John Wiley & Sons, Incorporated
2020
|
| Ausgabe: | 4th ed |
| Schriftenreihe: | CFA Institute Investment Ser
|
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 Online-Ressource (1329 Seiten) |
| ISBN: | 9781119743712 |
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| 245 | 1 | 0 | |a Portfolio Management in Practice, Volume 1 |b Investment Management |
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| 505 | 8 | |a Cover -- Portfolio Management In Practice Volume 1 -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the CFA Institute Investment Series -- Chapter 1: Professionalism in the Investment Industry -- Learning Outcomes -- 1. Introduction -- 2. Professions -- 2.1. How Professions Establish Trust -- 2.2. Professions Are Evolving -- 3. Professionalism in Investment Management -- 3.1. Trust in the Investment Industry -- 3.2. CFA Institute as an Investment Professional Body -- 4. Expectations of Investment Professionals -- 5. Framework for Ethical Decision-Making -- 5.1. Description of the Framework -- 6. Challenges for Investment Professionals -- 7. Summary -- References -- Practice Problems -- Chapter 2: Fintech in Investment Management -- Learning Outcomes -- 1. Introduction -- 2. What is Fintech? -- 3. Big Data -- 3.1. Sources of Big Data -- 3.2. Big Data Challenges -- 4. Advanced Analytical Tools: Artificial Intelligence and Machine Learning -- 4.1. Types of Machine Learning -- 5. Data Science: Extracting Information from Big Data -- 5.1. Data Processing Methods -- 5.2. Data Visualization -- 6. Selected Applications of Fintech to Investment Management -- 6.1. Text Analytics and Natural Language Processing -- 6.2. Robo-Advisory Services -- 6.3. Risk Analysis -- 6.4. Algorithmic Trading -- 7. Distributed Ledger Technology -- 7.1. Permissioned and Permissionless Networks -- 7.2. Applications of Distributed Ledger Technology to Investment Management -- Summary -- Practice Problems -- Chapter 3: Capital Market Expectations, Part 1: Framework and Macro Considerations -- Learning Outcomes -- 1. Introduction -- 2. Framework and Challenges -- 2.1. A Framework for Developing Capital Market Expectations -- 2.2. Challenges in Forecasting -- 3. Economic and Market Analysis -- 3.1. The Role of Economic Analysis | |
| 505 | 8 | |a 3.2. Analysis of Economic Growth -- 3.3. Approaches to Economic Forecasting -- 3.4. Business Cycle Analysis -- 3.5. Analysis of Monetary and Fiscal Policy -- 3.6. International Interactions -- 4. Summary -- References -- Practice Problems -- Chapter 4: Capital Market Expectations, Part 2: Forecasting Asset Class Returns -- Learning Outcomes -- 1. Introduction -- 2. Overview of Tools and Approaches -- 2.1. The Nature of the Problem -- 2.2. Approaches to Forecasting -- 3. Forecasting Fixed-Income Returns -- 3.1. Applying DCF to Fixed Income -- 3.2. The Building Block Approach to Fixed-Income Returns -- 3.3. Risks in Emerging Market Bonds -- 4. Forecasting Equity Returns -- 4.1. Historical Statistics Approach to Equity Returns -- 4.2. DCF Approach to Equity Returns -- 4.3. Risk Premium Approaches to Equity Returns -- 4.4. Risks in Emerging Market Equities -- 5. Forecasting Real Estate Returns -- 5.1. Historical Real Estate Returns -- 5.2. Real Estate Cycles -- 5.3. Capitalization Rates -- 5.4. The Risk Premium Perspective on Real Estate Expected Return -- 5.5. Real Estate in Equilibrium -- 5.6. Public vs. Private Real Estate -- 5.7. Long-Term Housing Returns -- 6. Forecasting Exchange Rates -- 6.1. Focus on Goods and Services, Trade, and the Current Account -- 6.2. Focus on Capital Flows -- 7. Forecasting Volatility -- 7.1. Estimating a Constant VCV Matrix with Sample Statistics -- 7.2. VCV Matrices from Multi-Factor Models -- 7.3. Shrinkage Estimation of VCV Matrices -- 7.4. Estimating Volatility from Smoothed Returns -- 7.5. Time-Varying Volatility: ARCH Models -- 8. Adjusting a Global Portfolio -- 8.1. Macro-Based Recommendations -- 8.2. Quantifying the Views -- Summary -- References -- Practice Problems -- Chapter 5: Overview of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Asset Allocation: Importance in Investment Management | |
| 505 | 8 | |a 3. The Investment Governance Background to Asset Allocation -- 3.1. Governance Structures -- 3.2. Articulating Investment Objectives -- 3.3. Allocation of Rights and Responsibilities -- 3.4. Investment Policy Statement -- 3.5. Asset Allocation and Rebalancing Policy -- 3.6. Reporting Framework -- 3.7. The Governance Audit -- 4. The Economic Balance Sheet and Asset Allocation -- 5. Approaches to Asset Allocation -- 5.1. Relevant Objectives -- 5.2. Relevant Risk Concepts -- 5.3. Modeling Asset Class Risk -- 6. Strategic Asset Allocation -- 6.1. Asset Only -- 6.2. Liability Relative -- 6.3. Goals Based -- 7. Implementation Choices -- 7.1. Passive/Active Management of Asset Class Weights -- 7.2. Passive/Active Management of Allocations to Asset Classes -- 7.3. Risk Budgeting Perspectives in Asset Allocation and Implementation -- 8. Rebalancing: Strategic Considerations -- 8.1. A Framework for Rebalancing -- 8.2. Strategic Considerations in Rebalancing -- 9. Summary -- References -- Practice Problems -- Chapter 6: Principles of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Developing Asset Only Asset Allocations -- 2.1. Mean-Variance Optimization: Overview -- 2.2. Monte Carlo Simulation -- 2.3. Criticisms of Mean-Variance Optimization -- 2.4. Addressing the Criticisms of Mean-Variance Optimization -- 2.5. Allocating to Less Liquid Asset Classes -- 2.6. Risk Budgeting -- 2.7. Factor-Based Asset Allocation -- 3. Developing Liability-Relative Asset Allocations -- 3.1. Characterizing the Liabilities -- 3.2. Approaches to Liability-Relative Asset Allocation -- 3.3. Examining the Robustness of Asset Allocation Alternatives -- 3.4. Factor Modeling in Liability-Relative Approaches -- 4. Developing Goals-Based Asset Allocations -- 4.1. The Goals-Based Asset Allocation Process -- 4.2. Describing Client Goals -- 4.3. Constructing Sub-Portfolios | |
| 505 | 8 | |a 4.4. The Overall Portfolio -- 4.5. Revisiting the Module Process in Detail -- 4.6. Periodically Revisiting the Overall Asset Allocation -- 4.7. Issues Related to Goals-Based Asset Allocation -- 5. Heuristics and Other Approaches to Asset Allocation -- 5.1. The "120 minus your age" rule -- 5.2. The 60/40 stock/bond heuristic -- 5.3. The endowment model -- 5.4. Risk parity -- 5.5. The 1/N rule -- 6. Portfolio Rebalancing in Practice -- 7. Conclusions -- References -- Practice Problems -- Chapter 7: Asset Allocation with Real-World Constraints -- Learning Outcomes -- 1. Introduction -- 2. Constraints in Asset Allocation -- 2.1. Asset Size -- 2.2. Liquidity -- 2.3. Time Horizon -- 2.4. Regulatory and Other External Constraints -- 3. Asset Allocation for the Taxable Investor -- 3.1. After-Tax Portfolio Optimization -- 3.2. Taxes and Portfolio Rebalancing -- 3.3. Strategies to Reduce Tax Impact -- 4. Revising the Strategic Asset Allocation -- 4.1. Goals -- 5. Short-Term Shifts in Asset Allocation -- 5.1. Discretionary TAA -- 5.2. Systematic TAA -- 6. Dealing with Behavioral Biases in Asset Allocation -- 6.1. Loss Aversion -- 6.2. Illusion of Control -- 6.3. Mental Accounting -- 6.4. Representativeness Bias -- 6.5. Framing Bias -- 6.6. Availability Bias -- 7. Summary -- References -- Practice Problems -- Chapter 8: Currency Management: An Introduction -- Learning Outcomes -- 1. Introduction -- 2. Review of Foreign Exchange Concepts -- 2.1. Spot Markets -- 2.2. Forward Markets -- 2.3. FX Swap Markets -- 2.4. Currency Options -- 3. Currency Risk and Portfolio Return and Risk -- 3.1. Return Decomposition -- 3.2. Volatility Decomposition -- 4. Currency Management: Strategic Decisions -- 4.1. The Investment Policy Statement -- 4.2. The Portfolio Optimization Problem -- 4.3. Choice of Currency Exposures | |
| 505 | 8 | |a 4.4. Locating the Portfolio Along the Currency Risk Spectrum -- 4.5. Formulating a Client-Appropriate Currency Management Program -- 5. Currency Management: Tactical Decisions -- 5.1. Active Currency Management Based on Economic Fundamentals -- 5.2. Active Currency Management Based on Technical Analysis -- 5.3. Active Currency Management Based on the Carry Trade -- 5.4. Active Currency Management Based on Volatility Trading -- 6. Tools of Currency Management -- 6.1. Forward Contracts -- 6.2. Currency Options -- 6.3. Strategies to Reduce Hedging Costs and Modify a Portfolio's Risk Profile -- 6.4. Hedging Multiple Foreign Currencies -- 6.5. Basic Intuitions for Using Currency Management Tools -- 7. Currency Management for Emerging Market Currencies -- 7.1. Special Considerations in Managing Emerging Market Currency Exposures -- 7.2. Non-Deliverable Forwards -- 8. Summary -- References -- Practice Problems -- Chapter 9: Overview of Fixed-Income Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Roles of Fixed-Income Securities in Portfolios -- 2.1. Diversification Benefits -- 2.2. Benefits of Regular Cash Flows -- 2.3. Inflation Hedging Potential -- 3. Fixed-Income Mandates -- 3.1. Liability-Based Mandates -- 3.2. Total Return Mandates -- 4. Bond Market Liquidity -- 4.1. Liquidity among Bond Market Sub-Sectors -- 4.2. The Effects of Liquidity on Fixed-Income Portfolio Management -- 5. A Model for Fixed-Income Returns -- 5.1. Decomposing Expected Returns -- 5.2. Estimation of the Inputs -- 5.3. Limitations of the Expected Return Decomposition -- 6. Leverage -- 6.1. Using Leverage -- 6.2. Methods for Leveraging Fixed-Income Portfolios -- 6.3. Risks of Leverage -- 7. Fixed-Income Portfolio Taxation -- 7.1. Principles of Fixed-Income Taxation -- 7.2. Investment Vehicles and Taxes -- 8. Summary -- References -- Practice Problems | |
| 505 | 8 | |a Chapter 10: Liability-Driven and Index-Based Strategies | |
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| contents | Cover -- Portfolio Management In Practice Volume 1 -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the CFA Institute Investment Series -- Chapter 1: Professionalism in the Investment Industry -- Learning Outcomes -- 1. Introduction -- 2. Professions -- 2.1. How Professions Establish Trust -- 2.2. Professions Are Evolving -- 3. Professionalism in Investment Management -- 3.1. Trust in the Investment Industry -- 3.2. CFA Institute as an Investment Professional Body -- 4. Expectations of Investment Professionals -- 5. Framework for Ethical Decision-Making -- 5.1. Description of the Framework -- 6. Challenges for Investment Professionals -- 7. Summary -- References -- Practice Problems -- Chapter 2: Fintech in Investment Management -- Learning Outcomes -- 1. Introduction -- 2. What is Fintech? -- 3. Big Data -- 3.1. Sources of Big Data -- 3.2. Big Data Challenges -- 4. Advanced Analytical Tools: Artificial Intelligence and Machine Learning -- 4.1. Types of Machine Learning -- 5. Data Science: Extracting Information from Big Data -- 5.1. Data Processing Methods -- 5.2. Data Visualization -- 6. Selected Applications of Fintech to Investment Management -- 6.1. Text Analytics and Natural Language Processing -- 6.2. Robo-Advisory Services -- 6.3. Risk Analysis -- 6.4. Algorithmic Trading -- 7. Distributed Ledger Technology -- 7.1. Permissioned and Permissionless Networks -- 7.2. Applications of Distributed Ledger Technology to Investment Management -- Summary -- Practice Problems -- Chapter 3: Capital Market Expectations, Part 1: Framework and Macro Considerations -- Learning Outcomes -- 1. Introduction -- 2. Framework and Challenges -- 2.1. A Framework for Developing Capital Market Expectations -- 2.2. Challenges in Forecasting -- 3. Economic and Market Analysis -- 3.1. The Role of Economic Analysis 3.2. Analysis of Economic Growth -- 3.3. Approaches to Economic Forecasting -- 3.4. Business Cycle Analysis -- 3.5. Analysis of Monetary and Fiscal Policy -- 3.6. International Interactions -- 4. Summary -- References -- Practice Problems -- Chapter 4: Capital Market Expectations, Part 2: Forecasting Asset Class Returns -- Learning Outcomes -- 1. Introduction -- 2. Overview of Tools and Approaches -- 2.1. The Nature of the Problem -- 2.2. Approaches to Forecasting -- 3. Forecasting Fixed-Income Returns -- 3.1. Applying DCF to Fixed Income -- 3.2. The Building Block Approach to Fixed-Income Returns -- 3.3. Risks in Emerging Market Bonds -- 4. Forecasting Equity Returns -- 4.1. Historical Statistics Approach to Equity Returns -- 4.2. DCF Approach to Equity Returns -- 4.3. Risk Premium Approaches to Equity Returns -- 4.4. Risks in Emerging Market Equities -- 5. Forecasting Real Estate Returns -- 5.1. Historical Real Estate Returns -- 5.2. Real Estate Cycles -- 5.3. Capitalization Rates -- 5.4. The Risk Premium Perspective on Real Estate Expected Return -- 5.5. Real Estate in Equilibrium -- 5.6. Public vs. Private Real Estate -- 5.7. Long-Term Housing Returns -- 6. Forecasting Exchange Rates -- 6.1. Focus on Goods and Services, Trade, and the Current Account -- 6.2. Focus on Capital Flows -- 7. Forecasting Volatility -- 7.1. Estimating a Constant VCV Matrix with Sample Statistics -- 7.2. VCV Matrices from Multi-Factor Models -- 7.3. Shrinkage Estimation of VCV Matrices -- 7.4. Estimating Volatility from Smoothed Returns -- 7.5. Time-Varying Volatility: ARCH Models -- 8. Adjusting a Global Portfolio -- 8.1. Macro-Based Recommendations -- 8.2. Quantifying the Views -- Summary -- References -- Practice Problems -- Chapter 5: Overview of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Asset Allocation: Importance in Investment Management 3. The Investment Governance Background to Asset Allocation -- 3.1. Governance Structures -- 3.2. Articulating Investment Objectives -- 3.3. Allocation of Rights and Responsibilities -- 3.4. Investment Policy Statement -- 3.5. Asset Allocation and Rebalancing Policy -- 3.6. Reporting Framework -- 3.7. The Governance Audit -- 4. The Economic Balance Sheet and Asset Allocation -- 5. Approaches to Asset Allocation -- 5.1. Relevant Objectives -- 5.2. Relevant Risk Concepts -- 5.3. Modeling Asset Class Risk -- 6. Strategic Asset Allocation -- 6.1. Asset Only -- 6.2. Liability Relative -- 6.3. Goals Based -- 7. Implementation Choices -- 7.1. Passive/Active Management of Asset Class Weights -- 7.2. Passive/Active Management of Allocations to Asset Classes -- 7.3. Risk Budgeting Perspectives in Asset Allocation and Implementation -- 8. Rebalancing: Strategic Considerations -- 8.1. A Framework for Rebalancing -- 8.2. Strategic Considerations in Rebalancing -- 9. Summary -- References -- Practice Problems -- Chapter 6: Principles of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Developing Asset Only Asset Allocations -- 2.1. Mean-Variance Optimization: Overview -- 2.2. Monte Carlo Simulation -- 2.3. Criticisms of Mean-Variance Optimization -- 2.4. Addressing the Criticisms of Mean-Variance Optimization -- 2.5. Allocating to Less Liquid Asset Classes -- 2.6. Risk Budgeting -- 2.7. Factor-Based Asset Allocation -- 3. Developing Liability-Relative Asset Allocations -- 3.1. Characterizing the Liabilities -- 3.2. Approaches to Liability-Relative Asset Allocation -- 3.3. Examining the Robustness of Asset Allocation Alternatives -- 3.4. Factor Modeling in Liability-Relative Approaches -- 4. Developing Goals-Based Asset Allocations -- 4.1. The Goals-Based Asset Allocation Process -- 4.2. Describing Client Goals -- 4.3. Constructing Sub-Portfolios 4.4. The Overall Portfolio -- 4.5. Revisiting the Module Process in Detail -- 4.6. Periodically Revisiting the Overall Asset Allocation -- 4.7. Issues Related to Goals-Based Asset Allocation -- 5. Heuristics and Other Approaches to Asset Allocation -- 5.1. The "120 minus your age" rule -- 5.2. The 60/40 stock/bond heuristic -- 5.3. The endowment model -- 5.4. Risk parity -- 5.5. The 1/N rule -- 6. Portfolio Rebalancing in Practice -- 7. Conclusions -- References -- Practice Problems -- Chapter 7: Asset Allocation with Real-World Constraints -- Learning Outcomes -- 1. Introduction -- 2. Constraints in Asset Allocation -- 2.1. Asset Size -- 2.2. Liquidity -- 2.3. Time Horizon -- 2.4. Regulatory and Other External Constraints -- 3. Asset Allocation for the Taxable Investor -- 3.1. After-Tax Portfolio Optimization -- 3.2. Taxes and Portfolio Rebalancing -- 3.3. Strategies to Reduce Tax Impact -- 4. Revising the Strategic Asset Allocation -- 4.1. Goals -- 5. Short-Term Shifts in Asset Allocation -- 5.1. Discretionary TAA -- 5.2. Systematic TAA -- 6. Dealing with Behavioral Biases in Asset Allocation -- 6.1. Loss Aversion -- 6.2. Illusion of Control -- 6.3. Mental Accounting -- 6.4. Representativeness Bias -- 6.5. Framing Bias -- 6.6. Availability Bias -- 7. Summary -- References -- Practice Problems -- Chapter 8: Currency Management: An Introduction -- Learning Outcomes -- 1. Introduction -- 2. Review of Foreign Exchange Concepts -- 2.1. Spot Markets -- 2.2. Forward Markets -- 2.3. FX Swap Markets -- 2.4. Currency Options -- 3. Currency Risk and Portfolio Return and Risk -- 3.1. Return Decomposition -- 3.2. Volatility Decomposition -- 4. Currency Management: Strategic Decisions -- 4.1. The Investment Policy Statement -- 4.2. The Portfolio Optimization Problem -- 4.3. Choice of Currency Exposures 4.4. Locating the Portfolio Along the Currency Risk Spectrum -- 4.5. Formulating a Client-Appropriate Currency Management Program -- 5. Currency Management: Tactical Decisions -- 5.1. Active Currency Management Based on Economic Fundamentals -- 5.2. Active Currency Management Based on Technical Analysis -- 5.3. Active Currency Management Based on the Carry Trade -- 5.4. Active Currency Management Based on Volatility Trading -- 6. Tools of Currency Management -- 6.1. Forward Contracts -- 6.2. Currency Options -- 6.3. Strategies to Reduce Hedging Costs and Modify a Portfolio's Risk Profile -- 6.4. Hedging Multiple Foreign Currencies -- 6.5. Basic Intuitions for Using Currency Management Tools -- 7. Currency Management for Emerging Market Currencies -- 7.1. Special Considerations in Managing Emerging Market Currency Exposures -- 7.2. Non-Deliverable Forwards -- 8. Summary -- References -- Practice Problems -- Chapter 9: Overview of Fixed-Income Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Roles of Fixed-Income Securities in Portfolios -- 2.1. Diversification Benefits -- 2.2. Benefits of Regular Cash Flows -- 2.3. Inflation Hedging Potential -- 3. Fixed-Income Mandates -- 3.1. Liability-Based Mandates -- 3.2. Total Return Mandates -- 4. Bond Market Liquidity -- 4.1. Liquidity among Bond Market Sub-Sectors -- 4.2. The Effects of Liquidity on Fixed-Income Portfolio Management -- 5. A Model for Fixed-Income Returns -- 5.1. Decomposing Expected Returns -- 5.2. Estimation of the Inputs -- 5.3. Limitations of the Expected Return Decomposition -- 6. Leverage -- 6.1. Using Leverage -- 6.2. Methods for Leveraging Fixed-Income Portfolios -- 6.3. Risks of Leverage -- 7. Fixed-Income Portfolio Taxation -- 7.1. Principles of Fixed-Income Taxation -- 7.2. Investment Vehicles and Taxes -- 8. Summary -- References -- Practice Problems Chapter 10: Liability-Driven and Index-Based Strategies |
| ctrlnum | (ZDB-30-PQE)EBC6396348 (ZDB-30-PAD)EBC6396348 (ZDB-89-EBL)EBL6396348 (OCoLC)1319631639 (DE-599)BVBBV048220307 |
| edition | 4th ed |
| format | Electronic eBook |
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Text Analytics and Natural Language Processing -- 6.2. Robo-Advisory Services -- 6.3. Risk Analysis -- 6.4. Algorithmic Trading -- 7. Distributed Ledger Technology -- 7.1. Permissioned and Permissionless Networks -- 7.2. Applications of Distributed Ledger Technology to Investment Management -- Summary -- Practice Problems -- Chapter 3: Capital Market Expectations, Part 1: Framework and Macro Considerations -- Learning Outcomes -- 1. Introduction -- 2. Framework and Challenges -- 2.1. A Framework for Developing Capital Market Expectations -- 2.2. Challenges in Forecasting -- 3. Economic and Market Analysis -- 3.1. The Role of Economic Analysis</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.2. Analysis of Economic Growth -- 3.3. Approaches to Economic Forecasting -- 3.4. Business Cycle Analysis -- 3.5. Analysis of Monetary and Fiscal Policy -- 3.6. International Interactions -- 4. 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Forecasting Exchange Rates -- 6.1. Focus on Goods and Services, Trade, and the Current Account -- 6.2. Focus on Capital Flows -- 7. Forecasting Volatility -- 7.1. Estimating a Constant VCV Matrix with Sample Statistics -- 7.2. VCV Matrices from Multi-Factor Models -- 7.3. Shrinkage Estimation of VCV Matrices -- 7.4. Estimating Volatility from Smoothed Returns -- 7.5. Time-Varying Volatility: ARCH Models -- 8. Adjusting a Global Portfolio -- 8.1. Macro-Based Recommendations -- 8.2. Quantifying the Views -- Summary -- References -- Practice Problems -- Chapter 5: Overview of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Asset Allocation: Importance in Investment Management</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3. The Investment Governance Background to Asset Allocation -- 3.1. Governance Structures -- 3.2. Articulating Investment Objectives -- 3.3. Allocation of Rights and Responsibilities -- 3.4. Investment Policy Statement -- 3.5. Asset Allocation and Rebalancing Policy -- 3.6. Reporting Framework -- 3.7. The Governance Audit -- 4. The Economic Balance Sheet and Asset Allocation -- 5. Approaches to Asset Allocation -- 5.1. Relevant Objectives -- 5.2. Relevant Risk Concepts -- 5.3. Modeling Asset Class Risk -- 6. Strategic Asset Allocation -- 6.1. Asset Only -- 6.2. Liability Relative -- 6.3. Goals Based -- 7. Implementation Choices -- 7.1. Passive/Active Management of Asset Class Weights -- 7.2. Passive/Active Management of Allocations to Asset Classes -- 7.3. Risk Budgeting Perspectives in Asset Allocation and Implementation -- 8. Rebalancing: Strategic Considerations -- 8.1. A Framework for Rebalancing -- 8.2. Strategic Considerations in Rebalancing -- 9. Summary -- References -- Practice Problems -- Chapter 6: Principles of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Developing Asset Only Asset Allocations -- 2.1. Mean-Variance Optimization: Overview -- 2.2. Monte Carlo Simulation -- 2.3. Criticisms of Mean-Variance Optimization -- 2.4. Addressing the Criticisms of Mean-Variance Optimization -- 2.5. Allocating to Less Liquid Asset Classes -- 2.6. Risk Budgeting -- 2.7. Factor-Based Asset Allocation -- 3. Developing Liability-Relative Asset Allocations -- 3.1. Characterizing the Liabilities -- 3.2. Approaches to Liability-Relative Asset Allocation -- 3.3. Examining the Robustness of Asset Allocation Alternatives -- 3.4. Factor Modeling in Liability-Relative Approaches -- 4. Developing Goals-Based Asset Allocations -- 4.1. The Goals-Based Asset Allocation Process -- 4.2. Describing Client Goals -- 4.3. Constructing Sub-Portfolios</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">4.4. The Overall Portfolio -- 4.5. Revisiting the Module Process in Detail -- 4.6. Periodically Revisiting the Overall Asset Allocation -- 4.7. Issues Related to Goals-Based Asset Allocation -- 5. Heuristics and Other Approaches to Asset Allocation -- 5.1. The "120 minus your age" rule -- 5.2. The 60/40 stock/bond heuristic -- 5.3. The endowment model -- 5.4. Risk parity -- 5.5. The 1/N rule -- 6. Portfolio Rebalancing in Practice -- 7. Conclusions -- References -- Practice Problems -- Chapter 7: Asset Allocation with Real-World Constraints -- Learning Outcomes -- 1. Introduction -- 2. Constraints in Asset Allocation -- 2.1. Asset Size -- 2.2. Liquidity -- 2.3. Time Horizon -- 2.4. Regulatory and Other External Constraints -- 3. Asset Allocation for the Taxable Investor -- 3.1. After-Tax Portfolio Optimization -- 3.2. Taxes and Portfolio Rebalancing -- 3.3. Strategies to Reduce Tax Impact -- 4. Revising the Strategic Asset Allocation -- 4.1. Goals -- 5. Short-Term Shifts in Asset Allocation -- 5.1. Discretionary TAA -- 5.2. Systematic TAA -- 6. Dealing with Behavioral Biases in Asset Allocation -- 6.1. Loss Aversion -- 6.2. Illusion of Control -- 6.3. Mental Accounting -- 6.4. Representativeness Bias -- 6.5. Framing Bias -- 6.6. Availability Bias -- 7. Summary -- References -- Practice Problems -- Chapter 8: Currency Management: An Introduction -- Learning Outcomes -- 1. Introduction -- 2. Review of Foreign Exchange Concepts -- 2.1. Spot Markets -- 2.2. Forward Markets -- 2.3. FX Swap Markets -- 2.4. Currency Options -- 3. Currency Risk and Portfolio Return and Risk -- 3.1. Return Decomposition -- 3.2. Volatility Decomposition -- 4. Currency Management: Strategic Decisions -- 4.1. The Investment Policy Statement -- 4.2. The Portfolio Optimization Problem -- 4.3. Choice of Currency Exposures</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">4.4. Locating the Portfolio Along the Currency Risk Spectrum -- 4.5. Formulating a Client-Appropriate Currency Management Program -- 5. Currency Management: Tactical Decisions -- 5.1. Active Currency Management Based on Economic Fundamentals -- 5.2. Active Currency Management Based on Technical Analysis -- 5.3. Active Currency Management Based on the Carry Trade -- 5.4. Active Currency Management Based on Volatility Trading -- 6. Tools of Currency Management -- 6.1. Forward Contracts -- 6.2. Currency Options -- 6.3. Strategies to Reduce Hedging Costs and Modify a Portfolio's Risk Profile -- 6.4. Hedging Multiple Foreign Currencies -- 6.5. Basic Intuitions for Using Currency Management Tools -- 7. Currency Management for Emerging Market Currencies -- 7.1. Special Considerations in Managing Emerging Market Currency Exposures -- 7.2. Non-Deliverable Forwards -- 8. Summary -- References -- Practice Problems -- Chapter 9: Overview of Fixed-Income Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Roles of Fixed-Income Securities in Portfolios -- 2.1. Diversification Benefits -- 2.2. Benefits of Regular Cash Flows -- 2.3. Inflation Hedging Potential -- 3. Fixed-Income Mandates -- 3.1. Liability-Based Mandates -- 3.2. Total Return Mandates -- 4. Bond Market Liquidity -- 4.1. Liquidity among Bond Market Sub-Sectors -- 4.2. The Effects of Liquidity on Fixed-Income Portfolio Management -- 5. A Model for Fixed-Income Returns -- 5.1. Decomposing Expected Returns -- 5.2. Estimation of the Inputs -- 5.3. Limitations of the Expected Return Decomposition -- 6. Leverage -- 6.1. Using Leverage -- 6.2. Methods for Leveraging Fixed-Income Portfolios -- 6.3. Risks of Leverage -- 7. Fixed-Income Portfolio Taxation -- 7.1. Principles of Fixed-Income Taxation -- 7.2. Investment Vehicles and Taxes -- 8. Summary -- References -- Practice Problems</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Chapter 10: Liability-Driven and Index-Based Strategies</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="a">Institute, CFA</subfield><subfield code="t">Portfolio Management in Practice, Volume 1 : Investment Management</subfield><subfield code="d">Newark : John Wiley & Sons, Incorporated,c2020</subfield><subfield code="z">9781119743699</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-PQE</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033601053</subfield></datafield></record></collection> |
| id | DE-604.BV048220307 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:50:30Z |
| indexdate | 2024-07-10T09:32:23Z |
| institution | BVB |
| isbn | 9781119743712 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033601053 |
| oclc_num | 1319631639 |
| open_access_boolean | |
| physical | 1 Online-Ressource (1329 Seiten) |
| psigel | ZDB-30-PQE |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | John Wiley & Sons, Incorporated |
| record_format | marc |
| series2 | CFA Institute Investment Ser |
| spelling | Institute, CFA. Verfasser aut Portfolio Management in Practice, Volume 1 Investment Management 4th ed Newark John Wiley & Sons, Incorporated 2020 ©2020 1 Online-Ressource (1329 Seiten) txt rdacontent c rdamedia cr rdacarrier CFA Institute Investment Ser Description based on publisher supplied metadata and other sources Cover -- Portfolio Management In Practice Volume 1 -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the CFA Institute Investment Series -- Chapter 1: Professionalism in the Investment Industry -- Learning Outcomes -- 1. Introduction -- 2. Professions -- 2.1. How Professions Establish Trust -- 2.2. Professions Are Evolving -- 3. Professionalism in Investment Management -- 3.1. Trust in the Investment Industry -- 3.2. CFA Institute as an Investment Professional Body -- 4. Expectations of Investment Professionals -- 5. Framework for Ethical Decision-Making -- 5.1. Description of the Framework -- 6. Challenges for Investment Professionals -- 7. Summary -- References -- Practice Problems -- Chapter 2: Fintech in Investment Management -- Learning Outcomes -- 1. Introduction -- 2. What is Fintech? -- 3. Big Data -- 3.1. Sources of Big Data -- 3.2. Big Data Challenges -- 4. Advanced Analytical Tools: Artificial Intelligence and Machine Learning -- 4.1. Types of Machine Learning -- 5. Data Science: Extracting Information from Big Data -- 5.1. Data Processing Methods -- 5.2. Data Visualization -- 6. Selected Applications of Fintech to Investment Management -- 6.1. Text Analytics and Natural Language Processing -- 6.2. Robo-Advisory Services -- 6.3. Risk Analysis -- 6.4. Algorithmic Trading -- 7. Distributed Ledger Technology -- 7.1. Permissioned and Permissionless Networks -- 7.2. Applications of Distributed Ledger Technology to Investment Management -- Summary -- Practice Problems -- Chapter 3: Capital Market Expectations, Part 1: Framework and Macro Considerations -- Learning Outcomes -- 1. Introduction -- 2. Framework and Challenges -- 2.1. A Framework for Developing Capital Market Expectations -- 2.2. Challenges in Forecasting -- 3. Economic and Market Analysis -- 3.1. The Role of Economic Analysis 3.2. Analysis of Economic Growth -- 3.3. Approaches to Economic Forecasting -- 3.4. Business Cycle Analysis -- 3.5. Analysis of Monetary and Fiscal Policy -- 3.6. International Interactions -- 4. Summary -- References -- Practice Problems -- Chapter 4: Capital Market Expectations, Part 2: Forecasting Asset Class Returns -- Learning Outcomes -- 1. Introduction -- 2. Overview of Tools and Approaches -- 2.1. The Nature of the Problem -- 2.2. Approaches to Forecasting -- 3. Forecasting Fixed-Income Returns -- 3.1. Applying DCF to Fixed Income -- 3.2. The Building Block Approach to Fixed-Income Returns -- 3.3. Risks in Emerging Market Bonds -- 4. Forecasting Equity Returns -- 4.1. Historical Statistics Approach to Equity Returns -- 4.2. DCF Approach to Equity Returns -- 4.3. Risk Premium Approaches to Equity Returns -- 4.4. Risks in Emerging Market Equities -- 5. Forecasting Real Estate Returns -- 5.1. Historical Real Estate Returns -- 5.2. Real Estate Cycles -- 5.3. Capitalization Rates -- 5.4. The Risk Premium Perspective on Real Estate Expected Return -- 5.5. Real Estate in Equilibrium -- 5.6. Public vs. Private Real Estate -- 5.7. Long-Term Housing Returns -- 6. Forecasting Exchange Rates -- 6.1. Focus on Goods and Services, Trade, and the Current Account -- 6.2. Focus on Capital Flows -- 7. Forecasting Volatility -- 7.1. Estimating a Constant VCV Matrix with Sample Statistics -- 7.2. VCV Matrices from Multi-Factor Models -- 7.3. Shrinkage Estimation of VCV Matrices -- 7.4. Estimating Volatility from Smoothed Returns -- 7.5. Time-Varying Volatility: ARCH Models -- 8. Adjusting a Global Portfolio -- 8.1. Macro-Based Recommendations -- 8.2. Quantifying the Views -- Summary -- References -- Practice Problems -- Chapter 5: Overview of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Asset Allocation: Importance in Investment Management 3. The Investment Governance Background to Asset Allocation -- 3.1. Governance Structures -- 3.2. Articulating Investment Objectives -- 3.3. Allocation of Rights and Responsibilities -- 3.4. Investment Policy Statement -- 3.5. Asset Allocation and Rebalancing Policy -- 3.6. Reporting Framework -- 3.7. The Governance Audit -- 4. The Economic Balance Sheet and Asset Allocation -- 5. Approaches to Asset Allocation -- 5.1. Relevant Objectives -- 5.2. Relevant Risk Concepts -- 5.3. Modeling Asset Class Risk -- 6. Strategic Asset Allocation -- 6.1. Asset Only -- 6.2. Liability Relative -- 6.3. Goals Based -- 7. Implementation Choices -- 7.1. Passive/Active Management of Asset Class Weights -- 7.2. Passive/Active Management of Allocations to Asset Classes -- 7.3. Risk Budgeting Perspectives in Asset Allocation and Implementation -- 8. Rebalancing: Strategic Considerations -- 8.1. A Framework for Rebalancing -- 8.2. Strategic Considerations in Rebalancing -- 9. Summary -- References -- Practice Problems -- Chapter 6: Principles of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Developing Asset Only Asset Allocations -- 2.1. Mean-Variance Optimization: Overview -- 2.2. Monte Carlo Simulation -- 2.3. Criticisms of Mean-Variance Optimization -- 2.4. Addressing the Criticisms of Mean-Variance Optimization -- 2.5. Allocating to Less Liquid Asset Classes -- 2.6. Risk Budgeting -- 2.7. Factor-Based Asset Allocation -- 3. Developing Liability-Relative Asset Allocations -- 3.1. Characterizing the Liabilities -- 3.2. Approaches to Liability-Relative Asset Allocation -- 3.3. Examining the Robustness of Asset Allocation Alternatives -- 3.4. Factor Modeling in Liability-Relative Approaches -- 4. Developing Goals-Based Asset Allocations -- 4.1. The Goals-Based Asset Allocation Process -- 4.2. Describing Client Goals -- 4.3. Constructing Sub-Portfolios 4.4. The Overall Portfolio -- 4.5. Revisiting the Module Process in Detail -- 4.6. Periodically Revisiting the Overall Asset Allocation -- 4.7. Issues Related to Goals-Based Asset Allocation -- 5. Heuristics and Other Approaches to Asset Allocation -- 5.1. The "120 minus your age" rule -- 5.2. The 60/40 stock/bond heuristic -- 5.3. The endowment model -- 5.4. Risk parity -- 5.5. The 1/N rule -- 6. Portfolio Rebalancing in Practice -- 7. Conclusions -- References -- Practice Problems -- Chapter 7: Asset Allocation with Real-World Constraints -- Learning Outcomes -- 1. Introduction -- 2. Constraints in Asset Allocation -- 2.1. Asset Size -- 2.2. Liquidity -- 2.3. Time Horizon -- 2.4. Regulatory and Other External Constraints -- 3. Asset Allocation for the Taxable Investor -- 3.1. After-Tax Portfolio Optimization -- 3.2. Taxes and Portfolio Rebalancing -- 3.3. Strategies to Reduce Tax Impact -- 4. Revising the Strategic Asset Allocation -- 4.1. Goals -- 5. Short-Term Shifts in Asset Allocation -- 5.1. Discretionary TAA -- 5.2. Systematic TAA -- 6. Dealing with Behavioral Biases in Asset Allocation -- 6.1. Loss Aversion -- 6.2. Illusion of Control -- 6.3. Mental Accounting -- 6.4. Representativeness Bias -- 6.5. Framing Bias -- 6.6. Availability Bias -- 7. Summary -- References -- Practice Problems -- Chapter 8: Currency Management: An Introduction -- Learning Outcomes -- 1. Introduction -- 2. Review of Foreign Exchange Concepts -- 2.1. Spot Markets -- 2.2. Forward Markets -- 2.3. FX Swap Markets -- 2.4. Currency Options -- 3. Currency Risk and Portfolio Return and Risk -- 3.1. Return Decomposition -- 3.2. Volatility Decomposition -- 4. Currency Management: Strategic Decisions -- 4.1. The Investment Policy Statement -- 4.2. The Portfolio Optimization Problem -- 4.3. Choice of Currency Exposures 4.4. Locating the Portfolio Along the Currency Risk Spectrum -- 4.5. Formulating a Client-Appropriate Currency Management Program -- 5. Currency Management: Tactical Decisions -- 5.1. Active Currency Management Based on Economic Fundamentals -- 5.2. Active Currency Management Based on Technical Analysis -- 5.3. Active Currency Management Based on the Carry Trade -- 5.4. Active Currency Management Based on Volatility Trading -- 6. Tools of Currency Management -- 6.1. Forward Contracts -- 6.2. Currency Options -- 6.3. Strategies to Reduce Hedging Costs and Modify a Portfolio's Risk Profile -- 6.4. Hedging Multiple Foreign Currencies -- 6.5. Basic Intuitions for Using Currency Management Tools -- 7. Currency Management for Emerging Market Currencies -- 7.1. Special Considerations in Managing Emerging Market Currency Exposures -- 7.2. Non-Deliverable Forwards -- 8. Summary -- References -- Practice Problems -- Chapter 9: Overview of Fixed-Income Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Roles of Fixed-Income Securities in Portfolios -- 2.1. Diversification Benefits -- 2.2. Benefits of Regular Cash Flows -- 2.3. Inflation Hedging Potential -- 3. Fixed-Income Mandates -- 3.1. Liability-Based Mandates -- 3.2. Total Return Mandates -- 4. Bond Market Liquidity -- 4.1. Liquidity among Bond Market Sub-Sectors -- 4.2. The Effects of Liquidity on Fixed-Income Portfolio Management -- 5. A Model for Fixed-Income Returns -- 5.1. Decomposing Expected Returns -- 5.2. Estimation of the Inputs -- 5.3. Limitations of the Expected Return Decomposition -- 6. Leverage -- 6.1. Using Leverage -- 6.2. Methods for Leveraging Fixed-Income Portfolios -- 6.3. Risks of Leverage -- 7. Fixed-Income Portfolio Taxation -- 7.1. Principles of Fixed-Income Taxation -- 7.2. Investment Vehicles and Taxes -- 8. Summary -- References -- Practice Problems Chapter 10: Liability-Driven and Index-Based Strategies Erscheint auch als Druck-Ausgabe Institute, CFA Portfolio Management in Practice, Volume 1 : Investment Management Newark : John Wiley & Sons, Incorporated,c2020 9781119743699 |
| spellingShingle | Institute, CFA Portfolio Management in Practice, Volume 1 Investment Management Cover -- Portfolio Management In Practice Volume 1 -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the CFA Institute Investment Series -- Chapter 1: Professionalism in the Investment Industry -- Learning Outcomes -- 1. Introduction -- 2. Professions -- 2.1. How Professions Establish Trust -- 2.2. Professions Are Evolving -- 3. Professionalism in Investment Management -- 3.1. Trust in the Investment Industry -- 3.2. CFA Institute as an Investment Professional Body -- 4. Expectations of Investment Professionals -- 5. Framework for Ethical Decision-Making -- 5.1. Description of the Framework -- 6. Challenges for Investment Professionals -- 7. Summary -- References -- Practice Problems -- Chapter 2: Fintech in Investment Management -- Learning Outcomes -- 1. Introduction -- 2. What is Fintech? -- 3. Big Data -- 3.1. Sources of Big Data -- 3.2. Big Data Challenges -- 4. Advanced Analytical Tools: Artificial Intelligence and Machine Learning -- 4.1. Types of Machine Learning -- 5. Data Science: Extracting Information from Big Data -- 5.1. Data Processing Methods -- 5.2. Data Visualization -- 6. Selected Applications of Fintech to Investment Management -- 6.1. Text Analytics and Natural Language Processing -- 6.2. Robo-Advisory Services -- 6.3. Risk Analysis -- 6.4. Algorithmic Trading -- 7. Distributed Ledger Technology -- 7.1. Permissioned and Permissionless Networks -- 7.2. Applications of Distributed Ledger Technology to Investment Management -- Summary -- Practice Problems -- Chapter 3: Capital Market Expectations, Part 1: Framework and Macro Considerations -- Learning Outcomes -- 1. Introduction -- 2. Framework and Challenges -- 2.1. A Framework for Developing Capital Market Expectations -- 2.2. Challenges in Forecasting -- 3. Economic and Market Analysis -- 3.1. The Role of Economic Analysis 3.2. Analysis of Economic Growth -- 3.3. Approaches to Economic Forecasting -- 3.4. Business Cycle Analysis -- 3.5. Analysis of Monetary and Fiscal Policy -- 3.6. International Interactions -- 4. Summary -- References -- Practice Problems -- Chapter 4: Capital Market Expectations, Part 2: Forecasting Asset Class Returns -- Learning Outcomes -- 1. Introduction -- 2. Overview of Tools and Approaches -- 2.1. The Nature of the Problem -- 2.2. Approaches to Forecasting -- 3. Forecasting Fixed-Income Returns -- 3.1. Applying DCF to Fixed Income -- 3.2. The Building Block Approach to Fixed-Income Returns -- 3.3. Risks in Emerging Market Bonds -- 4. Forecasting Equity Returns -- 4.1. Historical Statistics Approach to Equity Returns -- 4.2. DCF Approach to Equity Returns -- 4.3. Risk Premium Approaches to Equity Returns -- 4.4. Risks in Emerging Market Equities -- 5. Forecasting Real Estate Returns -- 5.1. Historical Real Estate Returns -- 5.2. Real Estate Cycles -- 5.3. Capitalization Rates -- 5.4. The Risk Premium Perspective on Real Estate Expected Return -- 5.5. Real Estate in Equilibrium -- 5.6. Public vs. Private Real Estate -- 5.7. Long-Term Housing Returns -- 6. Forecasting Exchange Rates -- 6.1. Focus on Goods and Services, Trade, and the Current Account -- 6.2. Focus on Capital Flows -- 7. Forecasting Volatility -- 7.1. Estimating a Constant VCV Matrix with Sample Statistics -- 7.2. VCV Matrices from Multi-Factor Models -- 7.3. Shrinkage Estimation of VCV Matrices -- 7.4. Estimating Volatility from Smoothed Returns -- 7.5. Time-Varying Volatility: ARCH Models -- 8. Adjusting a Global Portfolio -- 8.1. Macro-Based Recommendations -- 8.2. Quantifying the Views -- Summary -- References -- Practice Problems -- Chapter 5: Overview of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Asset Allocation: Importance in Investment Management 3. The Investment Governance Background to Asset Allocation -- 3.1. Governance Structures -- 3.2. Articulating Investment Objectives -- 3.3. Allocation of Rights and Responsibilities -- 3.4. Investment Policy Statement -- 3.5. Asset Allocation and Rebalancing Policy -- 3.6. Reporting Framework -- 3.7. The Governance Audit -- 4. The Economic Balance Sheet and Asset Allocation -- 5. Approaches to Asset Allocation -- 5.1. Relevant Objectives -- 5.2. Relevant Risk Concepts -- 5.3. Modeling Asset Class Risk -- 6. Strategic Asset Allocation -- 6.1. Asset Only -- 6.2. Liability Relative -- 6.3. Goals Based -- 7. Implementation Choices -- 7.1. Passive/Active Management of Asset Class Weights -- 7.2. Passive/Active Management of Allocations to Asset Classes -- 7.3. Risk Budgeting Perspectives in Asset Allocation and Implementation -- 8. Rebalancing: Strategic Considerations -- 8.1. A Framework for Rebalancing -- 8.2. Strategic Considerations in Rebalancing -- 9. Summary -- References -- Practice Problems -- Chapter 6: Principles of Asset Allocation -- Learning Outcomes -- 1. Introduction -- 2. Developing Asset Only Asset Allocations -- 2.1. Mean-Variance Optimization: Overview -- 2.2. Monte Carlo Simulation -- 2.3. Criticisms of Mean-Variance Optimization -- 2.4. Addressing the Criticisms of Mean-Variance Optimization -- 2.5. Allocating to Less Liquid Asset Classes -- 2.6. Risk Budgeting -- 2.7. Factor-Based Asset Allocation -- 3. Developing Liability-Relative Asset Allocations -- 3.1. Characterizing the Liabilities -- 3.2. Approaches to Liability-Relative Asset Allocation -- 3.3. Examining the Robustness of Asset Allocation Alternatives -- 3.4. Factor Modeling in Liability-Relative Approaches -- 4. Developing Goals-Based Asset Allocations -- 4.1. The Goals-Based Asset Allocation Process -- 4.2. Describing Client Goals -- 4.3. Constructing Sub-Portfolios 4.4. The Overall Portfolio -- 4.5. Revisiting the Module Process in Detail -- 4.6. Periodically Revisiting the Overall Asset Allocation -- 4.7. Issues Related to Goals-Based Asset Allocation -- 5. Heuristics and Other Approaches to Asset Allocation -- 5.1. The "120 minus your age" rule -- 5.2. The 60/40 stock/bond heuristic -- 5.3. The endowment model -- 5.4. Risk parity -- 5.5. The 1/N rule -- 6. Portfolio Rebalancing in Practice -- 7. Conclusions -- References -- Practice Problems -- Chapter 7: Asset Allocation with Real-World Constraints -- Learning Outcomes -- 1. Introduction -- 2. Constraints in Asset Allocation -- 2.1. Asset Size -- 2.2. Liquidity -- 2.3. Time Horizon -- 2.4. Regulatory and Other External Constraints -- 3. Asset Allocation for the Taxable Investor -- 3.1. After-Tax Portfolio Optimization -- 3.2. Taxes and Portfolio Rebalancing -- 3.3. Strategies to Reduce Tax Impact -- 4. Revising the Strategic Asset Allocation -- 4.1. Goals -- 5. Short-Term Shifts in Asset Allocation -- 5.1. Discretionary TAA -- 5.2. Systematic TAA -- 6. Dealing with Behavioral Biases in Asset Allocation -- 6.1. Loss Aversion -- 6.2. Illusion of Control -- 6.3. Mental Accounting -- 6.4. Representativeness Bias -- 6.5. Framing Bias -- 6.6. Availability Bias -- 7. Summary -- References -- Practice Problems -- Chapter 8: Currency Management: An Introduction -- Learning Outcomes -- 1. Introduction -- 2. Review of Foreign Exchange Concepts -- 2.1. Spot Markets -- 2.2. Forward Markets -- 2.3. FX Swap Markets -- 2.4. Currency Options -- 3. Currency Risk and Portfolio Return and Risk -- 3.1. Return Decomposition -- 3.2. Volatility Decomposition -- 4. Currency Management: Strategic Decisions -- 4.1. The Investment Policy Statement -- 4.2. The Portfolio Optimization Problem -- 4.3. Choice of Currency Exposures 4.4. Locating the Portfolio Along the Currency Risk Spectrum -- 4.5. Formulating a Client-Appropriate Currency Management Program -- 5. Currency Management: Tactical Decisions -- 5.1. Active Currency Management Based on Economic Fundamentals -- 5.2. Active Currency Management Based on Technical Analysis -- 5.3. Active Currency Management Based on the Carry Trade -- 5.4. Active Currency Management Based on Volatility Trading -- 6. Tools of Currency Management -- 6.1. Forward Contracts -- 6.2. Currency Options -- 6.3. Strategies to Reduce Hedging Costs and Modify a Portfolio's Risk Profile -- 6.4. Hedging Multiple Foreign Currencies -- 6.5. Basic Intuitions for Using Currency Management Tools -- 7. Currency Management for Emerging Market Currencies -- 7.1. Special Considerations in Managing Emerging Market Currency Exposures -- 7.2. Non-Deliverable Forwards -- 8. Summary -- References -- Practice Problems -- Chapter 9: Overview of Fixed-Income Portfolio Management -- Learning Outcomes -- 1. Introduction -- 2. Roles of Fixed-Income Securities in Portfolios -- 2.1. Diversification Benefits -- 2.2. Benefits of Regular Cash Flows -- 2.3. Inflation Hedging Potential -- 3. Fixed-Income Mandates -- 3.1. Liability-Based Mandates -- 3.2. Total Return Mandates -- 4. Bond Market Liquidity -- 4.1. Liquidity among Bond Market Sub-Sectors -- 4.2. The Effects of Liquidity on Fixed-Income Portfolio Management -- 5. A Model for Fixed-Income Returns -- 5.1. Decomposing Expected Returns -- 5.2. Estimation of the Inputs -- 5.3. Limitations of the Expected Return Decomposition -- 6. Leverage -- 6.1. Using Leverage -- 6.2. Methods for Leveraging Fixed-Income Portfolios -- 6.3. Risks of Leverage -- 7. Fixed-Income Portfolio Taxation -- 7.1. Principles of Fixed-Income Taxation -- 7.2. Investment Vehicles and Taxes -- 8. Summary -- References -- Practice Problems Chapter 10: Liability-Driven and Index-Based Strategies |
| title | Portfolio Management in Practice, Volume 1 Investment Management |
| title_auth | Portfolio Management in Practice, Volume 1 Investment Management |
| title_exact_search | Portfolio Management in Practice, Volume 1 Investment Management |
| title_exact_search_txtP | Portfolio Management in Practice, Volume 1 Investment Management |
| title_full | Portfolio Management in Practice, Volume 1 Investment Management |
| title_fullStr | Portfolio Management in Practice, Volume 1 Investment Management |
| title_full_unstemmed | Portfolio Management in Practice, Volume 1 Investment Management |
| title_short | Portfolio Management in Practice, Volume 1 |
| title_sort | portfolio management in practice volume 1 investment management |
| title_sub | Investment Management |
| work_keys_str_mv | AT institutecfa portfoliomanagementinpracticevolume1investmentmanagement |