＂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 Portfoli
內容簡介：
"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
關於作者：
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.
目錄：
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 EquityVenture 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
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