April 2011
Beginner
704 pages
21h 44m
English
book
The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Second Edition
by Frank J. Fabozzi, Harry M. Markowitz
Content preview from The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Second Edition
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
QUESTIONS
1. ABCD Asset Management is going to pick a new benchmark for their investment-grade fixed income fund. The investment banking arm of ABCD’s parent company, ABCD Capital, publishes an investment-grade bond index which includes Treasuries, agency debt, and mortgages. Name at least two of the principles of a good index that ABCD Asset Management would violate if they chose ABCD Capital’s investment-grade bond index as their benchmark and give the reasons why those principles might be violated.
2.
a. Discuss the principles as they relate to creating a custom index using the Markowitz model of mean/variance optimization.
b. What do you see as the main issues as they relate to the principles?
3. Specify three different optimization criteria that can be used in scenario-based portfolio construction. Briefly describe the relationship between them, and their respective pros and cons.
4. ABCD asset management has a fund benchmarked against a USD fixed income index, which includes Treasuries, agency debt, TIPS, mortgages and investment-grade corporate bonds. Specify at least four constraints that can be used by ABCD when formulating a scenario-based optimal portfolio versus an index. Also describe briefly how the scenarios should be selected to avoid an implicit bias in positioning.
5. Discuss the interplay between the weighting (or probabilities) in a set of bearish/bullish scenarios, maxmin, and the constraints used in the optimization.
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.