Portfolio Theory and Management

HKB: Professor of Finance and Kogod Research Professor, American University; GF: Samuel P. Black III Professor of Insurance and Risk Management, Pennsylvania State University

• Acknowledgments ; Chapter 1 Portfolio Theory and Management: An Overview (H. Kent Baker and Greg Filbeck) ; Section I. Portfolio Theory and Asset Pricing ; Chapter 2 Modern Portfolio Theory (Eric Jacquier) ; Chapter 3 Asset Pricing Theories, Models, and Tests (Nikolay Gospodinov and Cesare Robotti) ; Chapter 4 Asset Pricing and Behavioral Finance (Hersh Shefrin) ; Section II. The Investment Policy Statement and Fiduciary Duties ; Chapter 5 Assessing Risk Tolerance (Sherman D. Hanna, Michael A. Guillemette, and Michael S. Finke) ; Chapter 6 Private Wealth Management (Dianna Preece) ; Chapter 7 Institutional Wealth Management (Eric J. Robbins) ; Chapter 8 Fiduciary Duties and Responsibilities of Portfolio Managers (Remus D. Valsan and Moin A. Yahya) ; Section III. Asset Allocation and Portfolio Construction ; Chapter 9 The Role of Asset Allocation in the Investment Decision-Making Process (James L. Farrell, Jr.) ; Chapter 10 Asset Allocation Models (J. Clay Singleton) ; Chapter 11 Preference Models in Portfolio Construction and Evaluation (Massimo Guidolin) ; Chapter 12 Portfolio Construction with Downside Risk (Harald Lohre, Thorsten Neumann, and Thomas Winterfeldt) ; Chapter 13 Asset Allocation with Downside Risk Management (Joshua M. Davis and Sebastien Page) ; Chapter 14 Alternative Investments (Lars Helge Hass, Denis Schweizer, Juliane Proelss) ; Section IV. Risk Management ; Chapter 15 Measuring and Managing Market Risk (Christoph Kaserer) ; Chapter 16 Measuring and Managing Credit and Other Risks (Gabriele Sabato) ; Section V. Portfolio Execution, Monitoring, and Rebalancing ; Chapter 17 Trading Strategies, Portfolio Monitoring, and Rebalancing (Ricardo Cesari and Massimiliano Marzo) ; Chapter 18 Effective Trade Execution (Ricardo Cesari, Massimiliano Marzo, and Paolo Zagalia) ; Chapter 19 Market Timing Methods and Results (Panagiotis Schizas) ; Section VI. Evaluating and Reporting Portfolio Performance ; Chapter 20 Evaluating Portfolio Performance: Reconciling Asset Selection and Market Timing (Arnaud Cave, Georges Hubner, and Thomas Lejeune) ; Chapter 21 Benchmarking (Abraham Lioui and Patrice Poncet) ; Chapter 22 Attribution Analysis (Nanne Brunia and Auke Plantinga) ; Chapter 23 Equity Investment Styles (Andrew Mason) ; Chapter 24 Use of Derivatives (Matthieu Leblanc) ; Chapter 25 Performance Presentation (Timothy P. Ryan) ; Section VII. Special Topics ; Chapter 26 Exchange Traded Funds: The Success Story of the Last Two Decades (Gerasimos G. Rompotis) ; Chapter 27 The Past, Present, and Future of Hedge Funds (Roland Fuss and Sarah Muller) ; Chapter 28 Portfolio and Risk Management for Private Equity Fund Investments (Niklas Wagner and Axel Buchner) ; Chapter 29 Venture Capital (Paschal Gantenbein, Reto Forrer, and Nils Herold) ; Chapter 30 Socially Responsible Investing (Hunter Holzhauer)

Portfolio Theory and Management is a comprehensive survey of modern financial theory and practice. It contains thirty articles organized into seven general areas, written by authorities in their respective fields. It would be an excellent 'Readings' book for a course on modern finance, and an equally excellent source-book for professional academics and practitioners in the field.