Portfolio Theory and Performance Analysis - Rilegato

Amenc, Noel; Le Sourd, Veronique

Rilegato

ISBN 10: 0470858745 ISBN 13: 9780470858745

Casa editrice: John Wiley & Sons Inc, 2003

Riassunto

For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory.

In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession.

• Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques
• Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement
• Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits

Su questo libro

Informazioni sull?autore

Noel Amenc is professor of finance at the Edhec Business School, where he is in charge of the Risk and Asset Management research centre.  Noel is also associate editor of the Journal of Alternative Investments. He is the author of numerous publications in the domain of portfolio management, notably in the areas of asset allocation and performance measurement.  He also holds significant positions within the asset management industry, including head of research with Misys Asset Management Systems.

Veronique Le Sourd  holds an advanced graduate diploma in applied mathematics from the Université Pierre and Marie Curie (Paris VI) and has worked as a research assistant within the finance and economics departments of HEC Business School.  She is currently a research engineer for Misys Asset Management Systems and associate researcher with the Edhec Risk and Asset Management Research Centre.

Dalla quarta di copertina

This book is a most extensive and remarkable synthesis of the contribution of best-known academics in finance to modern portfolio and market efficiencies theories. Indeed, a valuable hindsight and updating of the evolutionary perspective of portfolio management, investment process and performance analysis on multistyles and multiclasses assets. – Pierre Palasi, Chairman, LCF Rothschild Multimanagment

A wonderful step forward in portfolio management texts! The book is a “soup-to-nuts” feast covering almost all aspects of portfolio management. It takes readers from the basic conceptual underpinnings through important issues such as VaR, extreme value distribution. It covers both equities and fixed income. The material is well laid out, up-to-date, and strikes a welcome balance between presenting the academic background for topics and providing a good feel for current industry practice. I also liked the fact the international issues surfaced frequently, as they should! – Terry Marsh, Professor of Finance, University of California, Berkeley

The contribution of Prof. Amenc and V. Le Sourd will undoubtedly enable practitioners and other investors alike to better apprehend the tools and techniques available to them, as well as their relevance, in making informed investment decisions in today’s increasingly turbulent and complex financial markets – Jean Castellini, Managing Director, Frank Russell Company Ltd (France)

Sound investment decisions rest on identifying and selecting portfolio managers who are expected to deliver superior performance. Measuring the performance of portfolio managers is a challenging task, because performance must be evaluated in a risk-adjusted sense. In this book, Nöel Amenc and Véronique Le Sourd provide the reader with an insightful account of how modern portfolio theory can be used to achieve relevant risk-adjusted performance evaluation. The authors have managed to compile a very comprehensive and structured overview of the set of statistical techniques used to distinguish systematic performance effects from pure chance and to account for the risks taken to earn them. This book is likely to become the reference work in portfolio performance evaluation – Lionel Martellini, PhD, Assistance Professor of Finance, Marshall School of Business, University of Southern California

Dettagli dell?edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2003
• Lingua: Inglese
• ISBN 10: 0470858745
• ISBN 13: 9780470858745
• Rilegatura: Copertina rigida
• Numero di pagine: 256
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile