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Portfolio Theory and Management

H. Kent Baker and Greg Filbeck

Abstract

The world of portfolio management has expanded greatly over the past three decades, and along with it, so have the theoretical tools necessary to appropriately service the needs of both private wealth and institutional clients. While the foundations of modern finance emerged during the 1950s and asset pricing models were developed in a portfolio context in the 1960s, portfolio management has now expanded into more complex models. Further, the traditional assumption of rational investor behavior with decisions made on the basis of statistical distributions has expanded to consider behavioral at ... More

Keywords: portfolio theory, portfolio management, asset pricing, investment policy statement, asset allocation, risk management, portfolio rebalancing, performance evaluation

Bibliographic Information

Print publication date: 2013 Print ISBN-13: 9780199829699
Published to Oxford Scholarship Online: May 2013 DOI:10.1093/acprof:oso/9780199829699.001.0001

Authors

Affiliations are at time of print publication.

H. Kent Baker, editor
Professor of Finance, American University

Greg Filbeck, editor
Samuel P. Black III Professor of Insurance and Risk Management, Pennsylvania State University

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Contents

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1 Portfolio Theory and Management

H. Kent Baker, and Greg Filbeck

Section One Portfolio Theory and Asset Pricing

3 Asset Pricing Theories, Models, and Tests

Nikolay Gospodinov, and Cesare Robotti

Section Two The Investment Policy Statement and Fiduciary Duties

5 Assessing Risk Tolerance

Sherman D. Hanna, Michael A. Guillemette, and Michael S. Finke

6 Private Wealth Management

Dianna C. Preece

Section Three Asset Allocation and Portfolio Construction

10 Asset Allocation Models

J. Clay Singleton

12 Portfolio Construction with Downside Risk

Harald Lohre, Thorsten Neumann, and Thomas Winterfeldt

13 Asset Allocation with Downside Risk Management

Joshua M. Davis, and Sébastien Page

14 Alternative Investments

Lars Helge Hass, Denis Schweizer, and Juliane Proelss

Section Four Risk Management

Section Five Portfolio Execution, Monitoring, and Rebalancing

17 Trading Strategies, Portfolio Monitoring, and Rebalancing

Riccardo Cesari, and Massimiliano Marzo

18 Effective Trade Execution

Riccardo Cesari, Massimiliano Marzo, and Paolo Zagaglia

Section Six Evaluating and Reporting Portfolio Performance

20 Evaluating Portfolio Performance

Arnaud CavÉ, Georges HÜbner, and Thomas Lejeune

21 Benchmarking

Abraham Lioui, and Patrice Poncet

22 Attribution Analysis

Nanne Brunia, and Auke Plantinga

24 Use of Derivatives

Matthieu Leblanc

25 Performance Presentation

Timothy P. Ryan

Section Seven Special Topics

26 Exchange Traded Funds

Gerasimos G. Rompotis

27 The Past, Present, and Future of Hedge Funds

Roland Füss, and Sarah Müller

29 Venture Capital

Pascal Gantenbein, Reto Forrer, and Nils Herold

30 Socially Responsible Investing

Hunter M. Holzhauer

End Matter