Portfolio Management

Portfolio Management

by Scott D. Stewart, Christopher D. Piros, Jeffrey C. Heisler
Released March 2019
Publisher(s): Wiley
ISBN: 9781119397410

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Book description

A career’s worth of portfolio management knowledge in one thorough, efficient guide

Portfolio Management is an authoritative guide for those who wish to manage money professionally. This invaluable resource presents effective portfolio management practices supported by their underlying theory, providing the tools and instruction required to meet investor objectives and deliver superior performance. Highlighting a practitioner’s view of portfolio management, this guide offers real-world perspective on investment processes, portfolio decision making, and the business of managing money for real clients. Real world examples and detailed test cases—supported by sophisticated Excel templates and true client situations—illustrate real investment scenarios and provide insight into the factors separating success from failure. The book is an ideal textbook for courses in advanced investments, portfolio management or applied capital markets finance. It is also a useful tool for practitioners who seek hands-on learning of advanced portfolio techniques.

Managing other people’s money is a challenging and ever-evolving business. Investment professionals must keep pace with the current market environment to effectively manage their client’s assets while students require a foundation built on the most relevant, up-to-date information and techniques. This invaluable resource allows readers to:

  • Learn and apply advanced multi-period portfolio methods to all major asset classes.
  • Design, test, and implement investment processes.
  • Win and keep client mandates.
  • Grasp the theoretical foundations of major investment tools

Teaching and learning aids include:

  • Easy-to-use Excel templates with immediately accessible tools.
  • Accessible PowerPoint slides, sample exam and quiz questions and sample syllabi
  • Video lectures

Proliferation of mathematics in economics, growing sophistication of investors, and rising competition in the industry requires advanced training of investment professionals. Portfolio Management provides expert guidance to this increasingly complex field, covering the important advancements in theory and intricacies of practice.

Table of contents

  1. Cover
  2. About the Authors
  3. Acknowledgments
  4. Preface
    1. SUPPLEMENTS
    2. ENDNOTE
  5. CHAPTER 1: Introduction
    1. 1.1 INTRODUCTION TO THE INVESTMENT INDUSTRY
    2. 1.2 WHAT IS A PORTFOLIO MANAGER?
    3. 1.3 WHAT INVESTMENT PROBLEMS DO PORTFOLIO MANAGERS SEEK TO SOLVE?
    4. 1.4 SPECTRUM OF PORTFOLIO MANAGERS
    5. 1.5 LAYOUT OF THIS BOOK
    6. PROBLEMS
    7. ENDNOTES
  6. CHAPTER 2: Client Objectives for Diversified Portfolios
    1. 2.1 INTRODUCTION
    2. 2.2 DEFINITIONS OF RISK
    3. 2.3 THE PORTFOLIO MANAGEMENT PROCESS AND THE INVESTMENT POLICY STATEMENT
    4. 2.4 INSTITUTIONAL INVESTORS
    5. 2.5 INDIVIDUAL INVESTORS
    6. 2.6 ASSET CLASS PORTFOLIOS
    7. SUMMARY
    8. PROBLEMS
    9. ENDNOTES
  7. CHAPTER 3: Asset Allocation: The Mean - Variance Framework
    1. 3.1 INTRODUCTION: MOTIVATION OF THE MEAN–VARIANCE APPROACH TO ASSET ALLOCATION
    2. 3.2 THEORY: OUTLINE OF THE MEAN–VARIANCE FRAMEWORK
    3. 3.3 PRACTICE: SOLUTION OF STYLIZED PROBLEMS USING THE MEAN–VARIANCE FRAMEWORK
    4. SUMMARY
    5. PROBLEMS
    6. APPENDIX 1: RETURNS, COMPOUNDING, AND SAMPLE STATISTICS
    7. APPENDIX 2: OPTIMIZATION
    8. APPENDIX 3: NOTATION
    9. ENDNOTES
  8. CHAPTER 4: Asset Allocation Inputs
    1. 4.1 SENSITIVITY OF THE MEAN–VARIANCE MODEL TO INPUTS
    2. 4.2 CONSTANT INVESTMENT OPPORTUNITIES
    3. 4.3 TIME-VARYING INVESTMENT OPPORTUNITIES
    4. SUMMARY
    5. PROBLEMS
    6. APPENDIX: MIXED ESTIMATION WITH MULTIPLE ASSETS
    7. ENDNOTES
  9. CHAPTER 5: Advanced Topics in Asset Allocation
    1. 5.1 INTRODUCTION
    2. 5.2 HORIZON EFFECTS IN THE M-V FRAMEWORK
    3. 5.3 DYNAMIC PROGRAMMING
    4. 5.4 SIMULATION
    5. 5.5 ASSET ALLOCATION WITH ACTIVE MANAGERS
    6. 5.6 PORTFOLIO INSURANCE
    7. SUMMARY
    8. PROBLEMS
    9. APPENDIX 1: THE ESTIMATED VAR1 MODEL
    10. APPENDIX 2: DP SOLUTION OF THE MEAN REVERSION MODEL
    11. ENDNOTES
  10. CHAPTER 6: The Investment Management Process
    1. 6.1 INTRODUCTION
    2. 6.2 THE EFFICIENT MARKET HYPOTHESIS (EMH)
    3. 6.3 GENERAL DISCUSSION OF INVESTMENT STRATEGIES
    4. 6.4 THE FIVE KEY ELEMENTS OF THE INVESTMENT PROCESS
    5. 6.5 THE IMPORTANCE OF QUALITY CONTROL AND OTHER RECOMMENDATIONS
    6. 6.6 A SAMPLE INVESTMENT STRATEGY: THE SRY MODEL
    7. SUMMARY
    8. PROBLEMS
    9. ENDNOTES
  11. CHAPTER 7: Introduction to Equity Portfolio Investing: The Investor's View
    1. 7.1 INTRODUCTION
    2. 7.2 EQUITY STRATEGIES
    3. 7.3 SELECTING THE EQUITY MIX
    4. 7.4 ALTERNATIVE EQUITY MIXES
    5. 7.5 THE EQUITY MANAGEMENT BUSINESS
    6. 7.6 IMPLEMENTING THE EQUITY MIX
    7. 7.7 EQUITY PORTFOLIO INVESTMENT OBJECTIVES
    8. SUMMARY
    9. PROBLEMS
    10. ENDNOTES
  12. CHAPTER 8: Equity Portfolio Construction
    1. 8.1 INTRODUCTION
    2. 8.2 PASSIVE VERSUS ACTIVE MANAGEMENT
    3. 8.3 PASSIVE PORTFOLIO CONSTRUCTION
    4. 8.4 GOALS FOR ACTIVE MANAGEMENT
    5. 8.5 SECTOR MANAGEMENT
    6. 8.6 STYLE AND SECTOR MANAGEMENT
    7. 8.7 IDENTIFYING STYLE
    8. 8.8 SAMPLE ACTIVE PORTFOLIO
    9. SUMMARY
    10. PROBLEMS
    11. ENDNOTES
  13. CHAPTER 9: Fixed-Income Management
    1. 9.1 INTRODUCTION
    2. 9.2 FIXED-INCOME MARKETS, INSTRUMENTS, AND CONCEPTS
    3. 9.3 FIXED-INCOME MANDATES
    4. 9.4 PASSIVE MANAGEMENT
    5. 9.5 ACTIVE MANAGEMENT
    6. 9.6 STRUCTURED PORTFOLIOS
    7. SUMMARY
    8. PROBLEMS
    9. ENDNOTES
  14. CHAPTER 10: Global Investing
    1. 10.1 INTRODUCTION
    2. 10.2 INVESTING WITH A GLOBAL PERSPECTIVE
    3. 10.3 GLOBAL INVESTMENT OPPORTUNITIES
    4. 10.4 THE IMPACT OF CURRENCY
    5. 10.5 INTERNATIONAL DIVERSIFICATION: FAILURE TO DELIVER?
    6. 10.6 IMPLICATIONS OF GLOBALIZATION
    7. 10.7 CURRENCY OVERLAYS: INCENTIVE-COMPATIBLE PERFORMANCE EVALUATION
    8. SUMMARY
    9. PROBLEMS
    10. ENDNOTES
  15. CHAPTER 11: Alternative Investment Classes
    1. 11.1 INTRODUCTION
    2. 11.2 HEDGE FUNDS
    3. 11.3 VENTURE CAPITAL AND PRIVATE EQUITY
    4. 11.4 REAL ESTATE
    5. 11.5 COMMODITIES
    6. 11.6 ALTERNATIVES MANAGER SELECTION
    7. 11.7 ALLOCATING ASSETS INCLUDING ALTERNATIVES
    8. SUMMARY
    9. PROBLEMS
    10. APPENDIX: SOURCES FOR RETURN SERIES
    11. ENDNOTES
  16. CHAPTER 12: Portfolio Management Through Time: Taxes and Transaction Costs
    1. 12.1 INTRODUCTION
    2. 12.2 PERFORMANCE SHORTFALL
    3. 12.3 PORTFOLIO ADJUSTMENTS WITHOUT TAXES OR COSTS
    4. 12.4 TRANSACTION COSTS
    5. 12.5 TAXATION OF INVESTMENT RETURNS IN THE UNITED STATES
    6. 12.6 STRATEGIES TO REDUCE INDIVIDUAL INVESTOR TAXES
    7. 12.7 TAX MANAGING A PORTFOLIO OF SECURITIES
    8. SUMMARY
    9. PROBLEMS
    10. ENDNOTES
  17. CHAPTER 13: Performance Measurement and Attribution
    1. 13.1 INTRODUCTION
    2. 13.2 PERFORMANCE MEASUREMENT
    3. 13.3 PERFORMANCE ATTRIBUTION
    4. 13.4 PERFORMANCE APPRAISAL: INCENTIVE EFFECTS
    5. SUMMARY
    6. PROBLEMS
    7. APPENDIX: CALCULATION OF RISK MEASURES
    8. ENDNOTES
  18. CHAPTER 14: Incentives, Ethics, and Policy
    1. 14.1 INTRODUCTION
    2. 14.2 THE INVESTMENT COMPANY BUSINESS MODEL
    3. 14.3 INCENTIVES FOR BUSINESSPEOPLE AND PORTFOLIO MANAGERS
    4. 14.4 ETHICAL SITUATIONS
    5. 14.5 INDUSTRY GUIDELINES FOR GOOD BUSINESS PRACTICES
    6. 14.6 INTERNAL COMPANY POLICIES TO PROTECT THE FRANCHISE
    7. 14.7 EFFECTIVE MANAGER AND ANALYST COMPENSATION POLICIES
    8. SUMMARY
    9. PROBLEMS
    10. APPENDIX: SAMPLE LIST OF INVESTMENT POLICIES
    11. ENDNOTES
  19. CHAPTER 15: Investor and Client Behavior
    1. 15.1 INTRODUCTION
    2. 15.2 THEORY AND OBSERVATIONS OF HUMAN BEHAVIOR
    3. 15.3 IMPLICATIONS FOR ACTIVE MANAGEMENT
    4. 15.4 IMPLICATIONS FOR SETTING INVESTMENT POLICY
    5. 15.5 IMPLICATIONS FOR MANAGER SELECTION
    6. SUMMARY
    7. PROBLEMS
    8. ENDNOTES
  20. CHAPTER 16: Managing Client Relations
    1. 16.1 INTRODUCTION
    2. 16.2 GENERAL RECOMMENDATIONS FOR CLIENT MANAGEMENT
    3. 16.3 MEETING CLIENT NEEDS
    4. 16.4 MANAGER SELECTION PROCESS
    5. 16.5 SECURING NEW CLIENTS
    6. 16.6 RETAINING CLIENTS
    7. 16.7 CASE STUDY
    8. SUMMARY
    9. PROBLEMS
    10. ENDNOTES
  21. Sample Cases
  22. Jerry W.
    1. PRIVATE WEALTH CASE: DESIGNING AN INVESTMENT PLAN FOR JERRY W.
    2. APPENDICES
    3. INVESTOR QUESTIONNAIRE
    4. ENDNOTES
  23. MSSI
    1. DEFINED BENEFIT PLAN CASE: DESIGNING THE INVESTMENT STRUCTURE FOR MSSI CORPORATION'S DEFINED BENEFIT PLAN
  24. McClain Capital
    1. DEFINED CONTRIBUTION PLAN CASE: DESIGNING A CUSTOM DEFINED CONTRIBUTION PLAN
  25. The Fairbanks Fund
    1. FUND CASE: THE FAIRBANKS SMALL-CAP U.S. EQUITY FUND
    2. WHITTIER WEALTH MANAGEMENT: FAIRBANKS SMALL-CAP EQUITY FUND
  26. Glossary
  27. References
  28. Index
  29. End User License Agreement

Product information

  • Title: Portfolio Management
  • Author(s): Scott D. Stewart, Christopher D. Piros, Jeffrey C. Heisler
  • Release date: March 2019
  • Publisher(s): Wiley
  • ISBN: 9781119397410