Investment and Portfolio Management: CIN 4203
The Investment and Portfolio Management course is meant to comprehend on financial markets in particular and the equity markets from an investment decision making pespective. This guide will direct the researcher torwards sources that entail information on concepts characterised by the investment mix and policy, asset allocation, investment attribution and balancing risk against perfomance.
Table of Contents
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Journals/Magazines

Applied Economics Some full text available

Applied Economics is a peer-reviewed journal encouraging the application of economic analysis to specific problems in both the public and private sectors. It particularly fosters quantitative and empirical studies, the results of which are of use in the practical field, and thus helps to bring economic theory nearer to reality.
note: Electronic Journal
International Journal of Quality & Reliability Management Some full text available

The International Journal of Quality & Reliability Management (IJQRM) deals with all aspects of business and manufacturing improvements, from the training of senior managers, to innovations in processing and production to raise standards of product quality. It is this unique blend of managerial and technical material that makes IJQRM a valuable resource for senior managers striving for higher standards.
note: Electronic Journal
Journal of Property Investment & Finance Some full text available

The Journal of Property Investment & Finance is an international forum for the interchange of information and ideas relating to property valuation and investment, property management and decision making in the commercial property market. The aim is to inform and encourage debate internationally between academics and practising professionals in all aspects of real estate research and practice.
note: Electronic Journal
Journal of Property Research Some full text available

Journal of Property Research is an international journal of research, particularly applied research, into property investment and development. Journal of Property Research welcomes original papers on any area of real estate investment and development. These may be theoretical, empirical, case studies or critical literature surveys.
note: Electronic Journal
Management Decision Some full text available

The  Management Decision journal has enjoyed outstanding international impact. Peer-reviewed and published ten times per year, the journal offers key informative content and interesting methodologies to stimulate the interests of business scholars, leaders, and professional managers around the world.
note: Electronic Journal
Management Science Some full text available

Management Science is a scholarly journal that publishes scientific research on the practice of management. Within our scope are all aspects of management related to strategy, entrepreneurship, innovation, information technology, and organizations as well as all functional areas of business, such as accounting, finance, marketing, and operations. We include studies on organizational, managerial, and individual decision making, from both normative and descriptive perspectives.
note: Electronic Journal
Managerial Finance Some full text available

The journal aims to provide an international forum for the publication of high quality research in: finance, financial management, international finance, economics, banking, financial markets, financial institutions, financial strategy, accounting and management information, corporate finance, investments, real estate, insurance and risk management, global finance, financial education and all other issues related to finance.
note: Electronic Journal
Property Management Some full text available

Property Management aims to provide current information and research findings in the property management field. The journal has adopted a wide subject remit and addresses key issues from an international perspective, covering all aspects of property management, such as social inclusion and environmental issues, or the physical, economic and social aspects of property.
note: Electronic Journal
Quantitative Finance Some full text available

The Quantitative Finance journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations.
note: Electronic Journal
The European Journal of Finance Some full text available

The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance.  The journal aims to publish work that is motivated by significant issues in the theory or practice of finance.The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research, teaching and practice.
note: Electronic Journal

Articles

Editorial Viewpoint: Index Funds and Active Portfolio Management Some full text available

Observers view index funds as a threat to active investment management and to the research function in particular. Most actively Managed portfolios hold some asserts because the portfolio manager believes they offer abnormal returns.
note: Article
Moral Hazard and the Portfolio Management Problem Some full text available

This paper investigates the significance of nonlinear contracts on the incentive for portfolio managers to collect information. In addition, the manager must be motivated to disclose this information truthfully. We analyze three contracting regimes: (1) first-best where effort is observable, (2) linear with un-observable effort, and (3) the optimal contract within the Bhattacharya-Pfleiderer quadratic class. We find that the linear contract leads to a serious lack of effort expenditure by the manager. This under investment problem can be successfully overcome through the use of quadratic contracts. These contracts are shown to be asymptotically optimal for very risk-tolerant principals.
note: Article
Proactive Portfolio Management: Manage Now to Realize Returns Later Some full text available

Increased competition and a change in economic conditions have permanently changed the expected returns of private equity funds. As a result, successful private equity firms will be required to add value through an active and disciplined portfolio management process. The author describes a comprehensive, proactive portfolio management process and related tools that have been successfully implemented at a leading private equity fund. The article reviews investment oversight tools such as summary scorecard preparation, exit plan development and scenario modeling, systematic risk/opportunity assessment, and the creation of deal team action plans, along with specific examples of "real world" applications. The suggested approach can help private equity firms realize improved performance by accelerating their response to early warning signs such as key performance indicators; achieving better alignment of deal team and company activities with the ultimate exit plan throughout the life of an investment; optimizing the timing and positioning of an investment exit; and improving the management of the private equity firm's professional resources.
note: Article
Risk-Constrained Dynamic Active Portfolio Management Some full text available

Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, we consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance goals and the risk of a shortfall. Specifically, we consider an objective that relates the probability of achieving a given performance objective to the time it takes to achieve the objective. This allows a new direct quantitative analysis of the risk/return tradeoff, with risk defined directly in terms of probability of shortfall relative to the benchmark, and return defined in terms of the expected time to reach investment goals relative to the benchmark. The resulting optimal policy is a state-dependent policy that provides new insights. As a special case, our analysis includes the case where the investor wants to minimize the expected time until a given performance goal is reached subject to a constraint on the shortfall probability.
note: Article
Sensible Return Forecasting for Portfolio Management Some full text available

Black and Litterman showed that a Bayesian adjustment to expected-return forecasts makes them more suitable for use in portfolio management. A new adjustment applies directly to return-forecasting models rather than to the forecasts they produce. This approach eliminates the need for an arbitrary adjustment when forecasts are inserted into a portfolio-choice model and integrates the return-forecasting and portfolio-choice steps of quantitative investment management.
note: Article
Audit Firm Portfolio Management Decisions Some full text available

The article examines client acceptance and client continuance decisions of a large audit firm to provide empirical evidence on the extent and nature of risk avoidance that the firm uses to purposefully manage its client portfolio. Our results support several key new inferences regarding audit firm portfolio management decisions. First, the results show that this firm is shedding the riskier clients in its portfolio, consistent with the risk avoidance theory of audit firm portfolio management. Second, the results show that the firm's newly accepted clients are less risky than its continuing clients. Although results of both the client continuance and client acceptance decisions imply a less risky portfolio emerging over time, there are greater differences in risk between continuing and discontinued clients than between continuing and newly accepted clients. Third, we find that audit risk factors are more important in audit firm portfolio management decisions than are financial risk factors. Finally, we find no evidence that audit pricing affects the client acceptance and continuance decisions of this firm, controlling for risk and other client characteristic
note: Article
Downside Loss Aversion and Portfolio Management Some full text available

Downside loss-averse preferences have seen a resurgence in the portfolio management literature. This is due to the increasing use of derivatives in managing equity portfolios and the increased use of quantitative techniques for bond portfolio management. We employ the lower partial moment as a risk measure for downside loss aversion and compare mean-variance (M-V) and mean-lower partial moment (M-LPM) optimal portfolios under non-normal asset return distributions. When asset returns are nearly normally distributed, there is little difference between the optimal M-V and M-LPM portfolios. When asset returns are non-normal with large left tails, we document significant differences in M-V and M-LPM optimal portfolios. This observation is consistent with industry usage of M-V theory for equity portfolios but not for fixed-income portfolios.
note: Article
Market Timing and Portfolio Management Some full text available

In the context of portfolio management , market timing refers to the practice of predicting whether some broadly index of market prices will rise or fall, and investing appropriately. This practice has become sufficiently well established among portfolio managers to be considered as one of the several "styles of management.
note: Article
Option Writing and Portfolio Management Some full text available

The writing and selling of put and call options by institutional investors is suggested as a useful investment tactic for enhancing portfolio performance. Under certain conditions of indifference in expectations and within an appropriate portfolio framework, option writing may increase portfolio return without exposing the investor to additional risk. The suggested guidelines for using option writing are timely in view of increased competition among institutional investors and recent emphasis on portfolio performance.
note: Article
Performance and Portfolio Management Some full text available

The word "performance" has received considerable attention recently in relation to investing funds. Many techniques are now being used to measure relative performance. This development is likely to enhance the quality of service rendered by portfolio management. Several approaches toward handling accounts are reviewed in this article with the implication that attention devoted to producing favorable results can prove to be highly rewarding in future years.
note: Article

Course Outline

Investment and Portfolio Management. Some full text available

This course focuses on the fundamental concepts in investment and portfolio management: risk-return tradeoff, portfolio optimization, diversification and arbitrage. The objective of the course is to develop a thorough understanding of the key principals of investment and asset pricing theory and to learn
how to apply them in practice.
note: Course Outline

Dictionaries

Financial Dictionary Some full text available

One of the main sources of financial dictionary is the financial glossary by Campbell R. Harvey, renowned finance expert and J. Paul Sticht, professor of International Business at Duke University. It provides concise definitions of 8,000 terms with 18,000 useful links. This information comes from the world of banking and investing, providing users with thorough and reliable meanings to all the most common, and even uncommon, financial terms.
note: Dictionary

Books

Alternative Assets : Investments for a Post-Crisis World Some full text available
This book will provide investors with a primer on each alternative asset class, plus practical tips on pros and cons, implementation, returns analysis, and fees and costs. It will also provide introductory guidance on how to set investment targets, and how alternative assets can be accommodated within the allocation process.
note: Book
Investment Leadership and Portfolio Management : The Path to Successful Stewardship for Investment Firms Some full text available

Author: Singer, Brian   Fedorinchik, Greg  
Publisher: John Wiley & Sons
Date Published: 2010
Subjects: Portfolio management.   Investments.  

The book documents on how Investment Leadership & Portfolio Management provides a top down analysis of successful strategies, structures, and actions that create an environment that leads to strong macro investment performance and rewarding investor outcomes. By examining how to manage and lead an investment firm through successful investment decision-making processes and actions, this book reveals what it will take to succeed in a radically changed investment landscape. From firm governance and firm structure-for single capability, multi-capability, and investment and product firms-to culture, strategy, vision, and execution
note: Book
Investment Management : Portfolio Diversification, Risk, and Timing : Fact and Fiction Some full text available

Author: Hagin, Robert L.  
Publisher: Wiley
Date Published: 02/2004
Subjects: Investments.   Portfolio management.   Investment analysis

This book avails a new look at the important issue of investment management in the 21st century Written for professional and private investors-as well as fiduciaries who rely on investment professionals-this book presents the content of an advanced investment-management course in an easy-to-read, question-and-answer format.
note: Book
Most Important Thing - Uncommon Sense for the Thoughtful Investor Some full text available

Author: Marks, Howard  
Publisher: Columbia University Press
Date Published: 04/2011
Subjects: Investments.   Investment analysis.   Risk management.   Portfolio management.

The Most Important Thing explains the keys to successful investment and the pitfalls that can destroy capital or ruin a career. The author teaches by example, detailing the development of an investment philosophy that fully acknowledges the complexities of investing and the perils of the financial world. Brilliantly applying insight to today's volatile markets, the author offers a volume that is part memoir, part creed, with a number of broad takeaways.
note: Book
Multi-Asset Investing : A Practical Guide to Modern Portfolio Management Some full text available


Author: Lustig, Yoram  
Publisher: Harriman House
Date Published: 01/2013
Subjects: Portfolio management.   Risk.

Planning, constructing and managing a multi-asset portfolio A multi-asset investment management approach provides diversification benefits, enhances risk-adjusted returns and enables a portfolio to be tailored to a wide range of investing objectives, whether these are generating returns or income, or matching liabilities. This book is divided into four parts that follow the four stages of the multi-asset investment management process: 1. Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio. 2. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation. 3. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management. This section includes examples of investment strategies. 4. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment.
note: Book
Portfolio Management in Practice Some full text available

Author: Brentani, Christine  
Publisher: Elsevier Science & Technology
Date Published: 12/2003
Subjects: Portfolio management.   Investment analysis

The author takes the stance that as individuals are becoming more and more responsible for ensuring their own financial future, portfolio or fund management has taken on an increasingly important role in banks' ranges of offerings to their clients.  Interest rates have come down and the stock market has gone up and come down again, clients have a choice of leaving their saving in deposit accounts, or putting those savings in unit trusts or investment portfolios which invest in equities and/or bonds. Individuals are becoming aware that they might need to top up government pension allocations.
note: Book
Practical Portfolio Performance Measurement and Attribution Some full text available

Author: Bacon, Carl R.  
Publisher: Wiley
Date Published: 2008
Subjects: Investment analysis.   Portfolio management.

 The book comprehends that performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. This book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards
note: Book
Robert W. Kolb Series : Institutional Money Management : An Inside Look at Strategies, Players, and Practices Some full text available

Author: Shawky, Hany A.   Smith, David M.  
Publisher: John Wiley & Sons
Date Published: 11/2011
Subjects: Investment analysis.   Portfolio management.

This book provides a detailed examination of the objectives, constraints, methods, and stakeholders for the dominant types of institutional investors, focuses on the portfolio management strategies and techniques used by institutional investors; it contains contributed chapters from numerous thought-leaders in the field of finance. The practice of institutional investment management presents a diverse set of challenges but with this book as your guide, you'll gain a better understanding of how you can overcome these challenges and manage your portfolio more effectively.
note: Book
Wiley Finance : Investment Theory and Risk Management Some full text available

Author: Peterson, Steven  
Publisher: John Wiley & Sons
Date Published: 04/2012
Subjects: Investment analysis.   Portfolio management.   Risk management.

This book is a map to today′s investment environment. The book′s sophisticated quantitative methods show how investment performance can be evaluated, using Jensen′s Alpha, Sharpe′s Ratio, and DDM. The author delves into four types of optimal portfolios (one that is fully invested, one with targeted returns, another with no short sales, and one with capped investment allocations).
note: Book

Open Access Resources

Investment and Portfolio Management: The Development of a Graduate Level Business Course Some full text available

This paper describes the results of a project to develop a graduate-level business course in Investment and Portfolio Management for use in a Master of Business Administration degree program at Warner Southern College (Florida). The lesson topics include overview of investment and portfolio analysis; markets for securities and taxes; risk and return; economic analysis; industry analysis; company analysis; bond analysis; derivatives; technical analysis; portfolio analysis; portfolio selection; and managed portfolios.
note: Open Access Resource
Behavioral Portfolio Management Some full text available

Behavioral Portfolio Management (BPM) is presented as a superior way to make investment decisions. Underlying BPM is the dynamic market interplay between Emotional Crowds and Behavioral Data Investors. BPM’s first Basic Principle is that Emotional Crowds dominate the determination of both prices and volatility, with fundamentals playing a small role. The second Basic Principle is that Behavioral Data Investors earn superior returns. I present the evidence supporting these first two Principles. The third Basic Principle is that investment risk is the chance of under performance. It is important to distinguish between emotions and investment risk so that good decisions are made. In order to achieve the best results using BPM, investment professionals should redirect their own emotions, harness the market’s emotions, and mitigate the impact of client emotions on their portfolio.
note: Open Access Resource
Investment Constraints and Delegated Portfolio Management Some full text available

This paper examines the optimal use of investment constraints in delegated portfolio management. We show that investment constraints, which limit managers’ uses of margin purchase and short-sales, can benefit investors by enhancing managers’ incentives to acquire long-term investment information – information that identifies significant asset mis-pricing, which may take a long time to be corrected. Our analysis helps explain why mutual fund managers are typically subject to much tighter investment constraints and receive less high-powered compensation than do hedge fund managers.
note: Open Access Resources
Financial news analysis for intelligent portfolio management Some full text available

In portfolio management, it is important for an investor to monitor his or her port- folio regularly in addition to asset allocation, because it must be determined whether or not the return results of the portfolio meet the expectations of the investor, or whether there is a need to change the strategic asset allocation. The monitoring process also provides comprehensive, detailed information on the investment positions of the investor. The result of the controlling monitoring might require changes in the asset allocation in order to realign the long-term asset allocation strategy. It is important to note that portfolio management, as an investment process, is not a static, but a dynamic one, where you should regularly adapt your decisions to changes in the market and in your own circumstances
note: Open Access Resource
Investment and Portfolio Management Some full text available

Investment is the employment of funds on assets with the aim of earning income or capital appreciation Investment has two attributes namely time and risk. Present consumption is sacrificed to get a return in the future. The sacrifice that has to be borne is certain but the return in the future may be uncertain. This attribute of investment indicates the risk factor. The risk is undertaken with a view to reap some return from the investment. For a layman, investment means some monetary commitment. A person’s commitment to buy a flat or a house for his personal use may be an investment from his point of view. This cannot be considered as an actual investment as it involves sacrifice but does not yield any financial return.
note: Open Access Resource

Dissertations

Active vs. Passive Portfolio Management Some full text available

In the finance community there is a huge debate about whether or not active portfolio managers can provide better returns than passive managers. While active managers often provide excess returns, the costs of running an active fund offset whatever gains were made in the market. The objective of this report is to figure out whether or not active funds provide larger returns than passive funds on a cost adjusted basis. This report will identify which type of fund is a more cost effective investment, as well as identify different properties of funds and how they operate. The goal of doing this research is to provide information to the average investor, rather than a multi-millionaire, about what kind of fund may be more appropriate for them to invest in. To successfully complete this project I collected quantitative fund data from fidelity, and qualitative information from various finance and business journals. After running a multivariate analysis of variance on my data I found that passive funds in the 1 year period provided significantly greater returns than active funds on a cost adjusted basis. Next, over the 3 year period, there was no significant difference between the returns of active and passive stock funds. However, during the 5 year period return active funds proved to be a more cost effective investment strategy. From my results I have concluded that active portfolio management is not a more cost effective investment tool than passive management.
note: Dissertation
Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error Some full text available

Risk management has always been in key component of portfolio management. While more and more complicated models are proposed and implemented as research advances, they all inevitably rely on imperfect assumptions and estimates. This dissertation aims to investigate the gap between complicated theoretical modelling and practice. We mainly focus on two directions: model risk and reblancing error. In the first part of the thesis, we develop a framework for quantifying the impact of model error and for measuring and minimizing risk in a way that is robust to model error. This robust approach starts from a baseline model and finds the worst-case error in risk measurement that would be incurred through a deviation from the baseline model, given a precise constraint on the plausibility of the deviation. Using relative entropy to constrain model distance leads to an explicit characterization of worst-case model errors; this characterization lends itself to Monte Carlo simulation, allowing straightforward calculation of bounds on model error with very little computational effort beyond that required to evaluate performance under the baseline nominal model. This approach goes well beyond the effect of errors in parameter estimates to consider errors in the underlying stochastic assumptions of the model and to characterize the greatest vulnerabilities to error in a model.
note: Dissertation
Optimal Portfolio Construction and Active Portfolio Management Including Alterntive Investments Some full text available

One aspect of financial engineering is the development of portfolio management strategies. It is the aim of this work to explore and extend optimal portfolio construction techniques currentlt found in the literature. A special emphasis is given to alternative investments. In order to derive an optimal asset allocation strategy, a risk measure has to be introduced and the asset price dynamics have to be modeled. 
note: Dissertation
Portfolio management: The use of alternative investments for the purpose of diversification Some full text available

 The study will concentrate on a literature study and overview of basic portfolio theory, after which it will progress into a more detailed study of the key concepts of portfolio theory namely risk, return and diversification. The study will then aim to identify and discuss various alternative investments. This section will give consideration to, among others, the basic constituency of each of the identified asset classes, key characteristics of each of the asset classes and basic determinants of value.
note: Dissertation

Handbooks & Guides

Complete Guide to Portfolio Construction and Management Some full text available
The Complete Guide to Portfolio Construction and Management provides practical investment advice for building a robust, diversified portfolio. Written by a high-profile investment adviser, this book reveals a practical portfolio management framework and new approach to portfolio construction based on four key market forces: macro, fundamental, technical, and behavioural. It is an insight that takes the focus off numbers, looking instead at the role of risk and behavior in finance. The author postulates that traditional portfolio management techniques are flawed, investors need to understand those flaws and learn how to incorporate risk management and behavioral finance into their asset management strategies.
note: Guide
Efficient Portfolio Management - A Guide to Effective Investment Supervision Processes Some full text available

Investment supervisors who seek a “best practices” approach to the investment process must necessarily base their approach upon the principles of modern portfolio theory, with special emphasis on strategic asset allocation and active risk budgeting. This approach should provide for the efficient deployment of active and passive instruments across both traditional and alternative asset classes. The intelligent application of these principles can meaningfully contribute to the design and execution of a sound investment program. This article provides one approach that has been successfully used by investment supervisors to manage global investment portfolio for clients.
note: Guide
Guide to Investment Strategy Some full text available

The book shows how to construct strategies that are appropriate for each investor. With its detailed analysis, supported by data and anecdotes drawn from investment experiences, it is above all a practical guide. It shows how new insights from behavioral analysis are widely reflected in the actual choices investors make. It also emphasizes the importance of basing recommendations for investment strategy on the principles of traditional finance. And it takes into account current research on the goals investors want to achieve and the mistakes they frequently make
note: Guide
Investment Manager Analysis : A Comprehensive Guide to Portfolio Selection, Monitoring and Optimization Some full text available

The guide provides a practical, thorough, and completely objective method to analyze and select an investment manager. It takes the mystery (and the consultants) out of the equation. The author postulates that investment products are invariably managed by investment professionals (even quantitative strategies need to be created, monitored, and tweaked by people). The analytical process described in this guide combines both qualitative and quantitative measures, which effectively combine the art and science of evaluating and selecting investment products.
note: Guide

Newspapers--International

The Economic Times. Some full text available
This newspaper offers comprehensive news regarding the financial atmosphere all over the globe.
note: Newspaper
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