Managing Investment Portfolios, Third Edition: A Dynamic Process 9780470080146 下载 pdf 百度网盘 epub 免费 2025 电子版 mobi 在线

"A rare blend of a well-organized, comprehensive guide to

portfolio management and a deep, cutting-edge treatment of the key

topics by distinguished authors who have all practiced what they

preach. The subtitle, A Dynamic Process, points to the fresh,

modern ideas that sparkle throughout this new edition. Just reading

Peter Bernstein's thoughtful Foreword can move you forward in your

thinking about this critical subject."

—Martin L. Leibowitz, Morgan Stanley

"Managing Investment Portfolios remains the definitive volume in

explaining investment management as a process, providing

organization and structure to a complex, multipart set of concepts

and procedures. Anyone involved in the management of portfolios

will benefit from a careful reading of this new edition."

—Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of

Management, North Carolina State University

Foreword xiii Preface xvii Acknowledgments xix Introduction xxi

CHAPTER 1 The Portfolio Management Process and the Investment

Policy Statement 1 1 Introduction 1 2 Investment Management 2 3 The

Portfolio Perspective 4 4 Portfolio Management as a Process 4 5 The

Portfolio Management Process Logic 5 6 Investment Objectives and

Constraints 11 7 The Dynamics of the Process 17 8 The Future of

Portfolio Management 18 9 The Ethical Responsibilities of Portfolio

Managers 18 CHAPTER 2 Managing Individual Investor Portfolios 20 1

Introduction 20 2 CaseStudy 21 3 Investor Characteristics 24 4

Investment Policy Statement 34 5 An Introduction to Asset

Allocation 50 CHAPTER 3 Managing Institutional Investor Portfolios

63 1 Overview 63 2 PensionFunds 64 3 Foundations and Endowments 85

4 The Insurance Industry 101 5 Banks and Other Institutional

Investors 120 CHAPTER 4 Capital Market Expectations 128 1

Introduction 128 2 Organizing the Task: Framework and Challenges

129 3 Tools for Formulating Capital Market Expectations 146 4

Economic Analysis 174 CHAPTER 5 Asset Allocation 230 1 Introduction

230 2 What is Asset Allocation? 231 3 Asset Allocation and the

Investor's Risk and Return Objectives 236 4 The Selection of Asset

Classes 248 5 The Steps in Asset Allocation 254 6 Optimization 257

7 Implementing the Strategic Asset Allocation 296 8 Strategic Asset

Allocation for Individual Investors 299 9 Strategic Asset

Allocation for Institutional Investors 307 10 Tactical Asset

Allocation 320 CHAPTER 6 Fixed-Income Portfolio Management 328 1

Introduction 328 2 A Framework for Fixed-Income Portfolio

Management 329 3 Managing Funds Against a Bond Market Index 331 4

Managing Funds Against Liabilities 346 5 Other Fixed-Income

Strategies 369 6 International Bond Investing 390 7 Selecting a

Fixed-Income Manager 402 CHAPTER 7 Equity Portfolio Management 407

1 Introduction 407 2 The Role of the Equity Portfolio 408 3

Approaches to Equity Investment 410 4 Passive Equity Investing 412

5 Active Equity Investing 429 6 Semiactive Equity Investing 455 7

Managing a Portfolio of Managers 458 8 Identifying, Selecting, and

Contracting with Equity Portfolio Managers 466 9 Structuring Equity

Research and Security Selection 474 CHAPTER 8 Alternative

Investments Portfolio Management 477 1 Introduction 477 2

Alternative Investments: Definitions, Similarities, and Contrasts

478 3 Real Estate 485 4 Private Equity/Venture Capital 498 5

Commodity Investments 516 6 Hedge Funds 530 7 Managed Futures 557 8

Distressed Securities 568 CHAPTER 9 Risk Management 579 1

Introduction 579 2 Risk Management as a Process 580 3 Risk

Governance 583 4 Identifying Risks 585 5 Measuring Risk 596 6

Managing Risk 624 CHAPTER 10 Execution of Portfolio Decisions 637 1

Introduction 637 2 The Context of Trading: Market Microstructure

638 3 The Costs of Trading 653 4 Types of Traders and Their

Preferred Order Types 663 5 Trade Execution Decisions and Tactics

666 6 Serving the Client's Interests 678 7 Concluding Remarks 681

CHAPTER 11 Monitoring And Rebalancing 682 1 Introduction 682 2

Monitoring 683 3 Rebalancing the Portfolio 701 4 Concluding Remarks

716 CHAPTER 12 Evaluating Portfolio Performance 717 1 Introduction

717 2 The Importance of Performance Evaluation 718 3 The Three

Components of Performance Evaluation 719 4 Performance Measurement

720 5 Benchmarks 731 6 Performance Attribution 744 7 Performance

Appraisal 766 8 The Practice of Performance Evaluation 775 CHAPTER

13 Global Investment Performance Standards 783 1 Introduction 783 2

Background of the GIPS Standards 784 3 Provisions of the GIPS

Standards 792 4 Verification 840 5 GIPS Advertising Guidelines 845

6 Other Issues 847 Appendix: GIPS Glossary 856 Glossary 864

References 888 About the CFA Program 903 About the Authors 904

Index 913

JOHN L. MAGINN, CFA, is President of Maginn Associates, Inc., a

financial consulting firm. He is also an adjunct professor in the

MBA program at Creighton University. He is retired from Mutual of

Omaha, where he was the chief investment officer and treasurer, and

is also a past chairman of the board of trustees of AIMR, the

predecessor to CFA Institute.

DONALD L. TUTTLE, CFA, was vice president of CFA Institute in

its Curriculum and Examinations Department from 1992 until his

retirement in 2004. He received a BSBA and MBA from the University

of Florida and a PhD from the University of North Carolina at

Chapel Hill. Dr. Tuttle taught for 21 years at Indiana University,

where he chaired the Finance Department from 1970 to 1980. He was

Associate Professor of Finance at the University of North Carolina

and was a visiting professor at the European Institute of Business

Administration (INSEAD), the University Florida, Georgetown

University, and the University of Virginia. He has authored

numerous articles in leading finance journals and five books on

security analysis and portfolio management.He is a member of the

Advisory Board of The Journal of Portfolio Management and was a

trustee of over 100 mutual funds from 1982 to mandatory retirement

age in 2005.

JERALD E. PINTO, PHD, CFA, is Director in of Curriculum

Developmentat CFA Institute. Before coming to CFA Institute in

2002, he was a consultant to corporations, foundations, and

partnerships in investment planning, portfolio analysis, and

quantitative analysis. He has also worked in the investment and

banking industries in New York City and taught finance at New York

University's Stern School of Business. He holds an MBA from Baruch

College and a PhD in finance from the Stern School. Pinto obtained

his CFA charter in 1992.

DENNIS W. McLEAVEY, CFA, is Head of Professional Development

Products at CFA Institute. During his twenty-five-year academic

career, he taught at the University of Western Ontario, the

University of Connecticut, the University of Rhode Island (where he

founded a student-managed fund), and Babson College. McLeavey

completed a doctorate in production management and industrial

engineering at Indiana University in 1972, and earned his CFA

charter in 1990.

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A profession—whether it be medicine, law, or other—has certain hallmark characteristics. These characteristics are part of what attracts serious individuals to devote the energy of their life’s work to the investment endeavor. First, and tightly connected to this Series, there must be a body of knowledge. Second, there needs to be some entry requirements such as those required to achieve the CFA credential. Third, there must be a commitment to continuing education. Fourth, a profession must serve a purpose beyond one’s direct selfish interest. In this case, by properly conducting one’s affairs and putting client interests first, the investment professional can work as a fair-minded cog in the wheel of the incredibly productive global capital markets. This encourages the citizenry to part w...

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"A rare blend of a well-organized, comprehensive guide to

portfolio management and a deep, cutting-edge treatment of the key

topics by distinguished authors who have all practiced what they

preach. The subtitle, A Dynamic Process, points to the fresh,

modern ideas that sparkle throughout this new edition. Just reading

Peter Bernstein's thoughtful Foreword can move you forward in your

thinking about this critical subject." --Martin L. Leibowitz,

Morgan Stanley "Managing Investment Portfolios remains the

definitive volume in explaining investment management as a process,

providing organization and structure to a complex, multipart set of

concepts and procedures. Anyone involved in the management of

portfolios will benefit from a careful reading of this new

edition." --Charles P. Jones, CFA, Edwin Gill Professor of Finance,

College of Management, North Carolina State University

媒体评论

"A rare blend of a well-organized, comprehensive guide to

portfolio management and a deep, cutting-edge treatment of the key

topics by distinguished authors who have all practiced what they

preach. The subtitle, A Dynamic Process, points to the fresh,

modern ideas that sparkle throughout this new edition. Just reading

Peter Bernstein's thoughtful Foreword can move you forward in your

thinking about this critical subject."

—Martin L. Leibowitz, Morgan Stanley

"Managing Investment Portfolios remains the definitive volume in

explaining investment management as a process, providing

organization and structure to a complex, multipart set of concepts

and procedures. Anyone involved in the management of portfolios

will benefit from a careful reading of this new edition."

—Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of

Management, North Carolina State University

书籍介绍

"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject."

—Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition."

—Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University