Asset Management: Portfolio Construction, Performance and Returns

✍ Scribed by Stephen Satchell (eds.)

• Publisher: Palgrave Macmillan
• Year: 2016
• Tongue: English
• Leaves: 389
• Edition: 1
• Category: Library

✦ Synopsis

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.

✦ Table of Contents

Front Matter....Pages i-xix
Introduction....Pages 1-8
Performance of UK Equity Unit Trusts....Pages 9-35
A Demystification of the Black-Litterman Model: Managing Quantitative and Traditional Portfolio Construction....Pages 36-53
Tracking Error: Ex Ante Versus Ex Post Measures....Pages 54-62
Performance Clustering and Incentives in the UK Pension Fund Industry....Pages 63-94
Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds....Pages 95-126
The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets....Pages 127-163
The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets Part 2....Pages 164-190
Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies....Pages 191-223
Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit?....Pages 224-257
Measuring Investor Sentiment in Equity Markets....Pages 258-269
Incorporating Estimation Errors into Portfolio Selection: Robust Portfolio Construction....Pages 270-294
Best-Practice Pension Fund Governance....Pages 295-322
Fundamental Indexation in Europe....Pages 323-330
Fundamental Indexation: An Active Value Strategy in Disguise....Pages 331-338
A Robust Optimization Approach to Pension Fund Management....Pages 339-363
Back Matter....Pages 364-369

✦ Subjects

Investments and Securities;Risk Management;Investment Appraisal;Personal Finance/Wealth Management/Pension Planning;Capital Markets