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BL
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| Record Number
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840285
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| Main Entry
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Stewart, Scott.
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| Title & Author
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Professional Portfolio Management
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| Publication Statement
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Newark :: John Wiley & Sons, Incorporated,, 2019.
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| Page. NO
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1 online resource (722 pages)
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| ISBN
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111939743X
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: 1119397448
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: 9781119397434
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: 9781119397441
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1119397413
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9781119397410
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| Notes
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The Impact of Required Expenditures and Alternative Probability Distributions
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| Contents
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Cover; Title Page; Copyright; Contents; About the Authors; Acknowledgments; Preface; Chapter 1 Introduction; 1.1 Introduction to the Investment Industry; 1.2 What is a Portfolio Manager?; 1.3 What Investment Problems Do Portfolio Managers Seek to Solve?; Asset Allocation and Asset Class Portfolio Responsibilities; Representative Investment Problems; 1.4 Spectrum of Portfolio Managers; 1.5 Layout of This Book; Problems; Endnotes; Chapter 2 Client Objectives for Diversified Portfolios; 2.1 Introduction; 2.2 Definitions of Risk
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2.3 The Portfolio Management Process and the Investment Policy StatementThe Investment Policy Statement; 2.4 Institutional Investors; Foundations and Endowments; Pension Plans; Defined Benefit Plans; Defined Contribution Plans; 2.5 Individual Investors; Understanding the Client: Situational Profiling; The Individual's IPS: Objectives and Constraints; Trends in the Wealth Management Business; 2.6 Asset Class Portfolios; Summary; Investment Case; Problems; JAKE Investment Management, LLC: Investment and Spending Policy Review; Endnotes; Chapter 3 Asset Allocation: The Mean -- Variance Framework
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3.1 Introduction: Motivation of the Mean-Variance Approach to Asset AllocationTypes of Asset Allocation; Asset Classes; The Mean-Variance Framework; 3.2 Theory: Outline of the Mean-Variance Framework4; Utility Theory; Return Behavior; Return Variance; Portfolio Return and Variance; Objective Function; Constraints; Investment Horizon; 3.3 Practice: Solution of Stylized Problems Using the Mean-Variance Framework; The Efficient Frontier; The Optimal Portfolio; Investment Horizons; The Shortfall Constraint; Asset-Liability Management; Practice Summary; Summary; Problems
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4.3 Time Varying Investment OpportunitiesSummary; Problems; Appendix: Mixed Estimation with Multiple Assets; Endnotes; Chapter 5 Advanced Topics in Asset Allocation; 5.1 Introduction; 5.2 Horizon Effects in the M V Framework; Horizon Dependent Risk Aversion; Horizon Dependent Risk and Return; 5.3 Dynamic Programming; The General Framework; Mean-Variance with Recursive Shortfall Constraints; The Impact of Mean Reversion; Some Intuition about Changing Investment Opportunities; Portfolio Choice with Mean Reversion; 5.4 Simulation
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Appendix 1: Returns, Compounding, and Sample StatisticsA. Returns; B. Continuous Compounding; C. Sample Statistics; D. Application in Excel-Sample Statistics and Excel Formulas; Appendix 2: Optimization; Constraints; Solution; Quadratic Programming; Appendix 3: Notation; Investment; Statistical; Endnotes; Chapter 4 Asset Allocation Inputs; 4.1 Sensitivity of the Mean-Variance Model to Inputs; 4.2 Constant Investment Opportunities; Using Sample Moments; James-Stein Estimation; Linking Returns to the Economy; Implied Views; Cross Sectional Risk Models; Combining Estimates: Mixed Estimation
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| Dewey Classification
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332.6
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| Added Entry
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Heisler, Jeffrey.
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Piros, Christopher D.
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