Amazon no longer offers textbook rentals. We do!

Institutional Investment Management : Equity and Bond Portfolio Strategies and Applications

by: Fabozzi, Frank J.

Institutional Investment Management : Equity and Bond Portfolio Strategies and Applications

by: Fabozzi, Frank J.

ISBN 13:
9780470400944
ISBN 10:
0470400943
Edition: 1st
Format: Hardcover
Copyright: 10/05/2009
Publisher: Wiley

Rent

Sorry, this item is currently unavailable.

Note: Supplemental materials are not guaranteed with Rental or Used book purchases.

Extend or Purchase Your Rental at Any Time

Need to keep your rental past your due date? At any time before your due date you can extend or purchase your rental through your account.

Summary

This comprehensive handbook of investment management theories, concepts, and applications begins with Fabozzi offering readers an overview of the financial markets and investments, as well as a look at institutional investors and their objectives. He then discusses the following, in detail: Portfolio Theory and Asset Pricing; Common Stock Analysis and Portfolio Management; Fixed Income Analysis and Portfolio Management, Mutual Funds, Exchange-Traded Funds, and Alternative Investments; and Asset Allocation and Performance Evaluation. Fabozzi offers applications of these theories and concepts throughout, with a focus on fixed income products and derivatives. He also provides appendix material on statistical concepts with a review of an income statement and balance sheet. All of this information is presented in such fashion tailored to fit both the needs of the learning professional and student alike.

Preface
Acknowledgments
About the Author
Overview of Investment Management
Setting Investment Objectives
Establishing an Investment Policy
Selecting a Portfolio Strategy
Constructing and Monitoring the Portfolio
Measuring and Evaluating Performance
References

Portfolio Theory and Asset Pricing
Theory of Portfolio Selection
Some Basic Concepts
Measuring a Portfolio's Expected Return
Measuring Portfolio Risk
Portfolio Diversification
Choosing a Portfolio of Risky Assets
Index Model's Approximations to the Covariance Structure
Summary
References
Applying Mean-Variance Analysis
Using Historical Data to Estimate Inputs
Application of Portfolio Theory to Asset Allocation
Implementing the Optimal Portfolio
Summary
References
Issues in the Theory of Portfolio Selection
Quick Review of Probability Theory
Limitations of the Variance as a Risk Measure
Desirable Features of Investment Risk Measures
Alternative Risk Measures for Portfolio Selection
Extensions of the Theory of Portfolio Selection
Behavioral Finance Attack on the Theory of Portfolio
Summary
References
Asset Pricing Theories
Characteristics of an Asset Pricing Model
Capital Asset Pricing Model
Arbitrage Pricing Theory Model
Some Principles to Take Away
Summary
Appendix
References

Common Stock Analysis and Portfolio Management
The U.S. Equity Markets
Exchange Market Structures
The U.S. Stock Markets Exchanges and OTC Markets
Off-Exchange Markets and Alternative Electronic Markets
Evolving Stock Market Practices
Basic Functioning of Stock Markets
Summary
References
Common Stock Strategies and Performance Evaluation
Market Efficiency
Stock Market Indicators
Top-Down vs. Bottom-Up Approaches
Fundamental vs. Technical Analysis
Strategies Based on Technical Analysis
Strategies Based on Fundamental Analysis
Equity Style Investing
Passive Strategies
Measuring and Evaluating Performance
Summary
References
Financial Analysis
Financial Ratio Analysis
Cash Flow Analysis
Usefulness of Cash Flows in Financial Analysis
Summary
References
Applied Equity Valuation
Discounted Cash Flow Models
Relative Valuation Methods
DCF vs. RV Methods
Summary
References
Forecasting Stock Returns
The Concept of Predictability
A Closer Look at Pricing Models
Predictive Return Models
Is Forecasting Markets Worth the Effort?
Summary
References
Managing a Common Stock Portfolio with Fundamental Factor Models
Tracking Error
Fundamental Factor Model Description and Estimation
Risk Decomposition
Applications in Portfolio Construction and Risk Control
Summary
References
Transaction Costs and Trade Execution in Common Stock Portfolio Management
Trading Mechanics
Trading Arrangements for Institutional Investors
A Taxonomy of Transaction Costs
Liquidity and Transaction Costs
Market Impact Measurements and Empirical Findings
Forecasting and Modeling Market Impact
Incorporating Transaction Costs in Asset-Allocation Models
Optimal Trading
Integrated Portfolio Management Beyond Expected Return and Portfolio Risk
Summary
References
Using Stock Index Futures and Equity Swaps in Equity Portfolio Management
Derivatives Process
Basic Features of Futures Contracts
Basic Features of Stock Index Futures
Applications for Stock Index Futures
Equity Swaps
Summary
References
Using Equity Options in Investment Management
Basic Features of Options
Basic Features of Listed Equity Options
Risk and Return Characteristics of Listed Options
The Option Price
Use of Listed Equity Options in Portfolio Management
OTC Equity Options The Basics
Use of Exotic Equity Options
Summary
References
Equity Option Pricing Models
Put-Call Parity Relationship
Option Pricing Models
Sensitivity of the Option Price to a Change in Factors
Estimating Expected Stock Return Volatility
Summary
References

Bond Analysis and Portfolio Management
Bond Fundamentals and Risks
Features of Bonds
Risks Associated with Investing in Bonds
Summary
Appendix Calculating Accrued Interest
References
Treasury and Agency Securities, Corporate Bonds, and Municipal Bonds
Treasury Securities
Federal Agency Securities
Corporate Bonds
Municipal Bonds
Non-U.S. Bonds
Summary
References
Structured Products RMBS, CMBS, and ABS
Agency Residential Mortgage-Backed Securities
Private-Label Residential MBS
Mortgage-Related, Asset-Backed Securities Subprime MBS
Commercial Mortgage-Backed Securities
Nonmortgage Asset-Backed Securities
Summary
References
The Structure of Interest Rates
The Base Interest Rate
The Risk Premium Between Non-Treasury and Treasury Securities with the Same Maturity
Factors Affecting the Risk Premium
Term Structure of Interest Rates
Summary
References
Bond Pricing and Yield Measures
Pricing of Option-Free Bonds
Conventional Yield Measures
Portfolio Yield Measures
Total Return
Summary
Bond Price Volatility and the Measurement of Interest Rate Risk
Price Volatility Properties of Option-Free Bonds
Factors that Affect a Bond's Price Volatility
Measuring Interest Rate Risk Using the Price Value of a Basis Point
Measuring Interest Rate Risk Using Duration and Convexity
Measuring Exposure to Yield Curve Changes Key Rate Duration
Summary
References
Valuing Bonds with Embedded Options
The Interest Rate Lattice
Calibrating the Lattice
Using the Lattice for Valuation
Using the Lattice Model to Value Bonds with Embedded Options
Extensions
Summary
References
Bond Portfolio Strategies
Bond Market Indexes
The Spectrum of Strategies
Value-Added Strategies
Using Factor Models to Manage a Portfolio
Liability-Driven Strategies
Summary
References
Using Derivatives in Bond Portfolio Management
Using Treasury Bond and Note Futures Contracts in Bond Portfolio Management
Use of Interest Rate Options in Bond Portfolio Management
Using Interest Rate Swaps in Bond Portfolio Management
Using Stock Index Futures and Treasury Bond Futures to Implement an Asset Allocation Decision
Using Credit Default Swaps to Manage Credit Risk
Summary
References
Investment Companies, Exchange-Traded Funds, and Alternative Investments
Investment Companies, Exchange-Traded Funds, and Investment-Oriented Life Insurance
Investment Companies
Exchange-Traded Funds
Investment-Oriented Life Insurance
Summary
References
Alternative Assets
Hedge Funds
Private Equity
Commodity Investments
Summary
References
Appendix
Measuring and Forecasting Yield Volatility
Calculating the Standard Deviation from Historical Data
Modeling and Forecasting Yield Volatility
Summary
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

Amazon no longer offers textbook rentals. We do!

Institutional Investment Management : Equity and Bond Portfolio Strategies and Applications

Institutional Investment Management : Equity and Bond Portfolio Strategies and Applications

9780470400944

0470400943

Summary

Author Biography

Table of Contents

Supplemental Materials

Write a Review