Borrow it
Coverart for item
The Resource Portfolio Construction, Measurement, and Efficiency : Essays in Honor of Jack Treynor, edited by John B. Guerard, Jr, (electronic resource)

Portfolio Construction, Measurement, and Efficiency : Essays in Honor of Jack Treynor, edited by John B. Guerard, Jr, (electronic resource)

Creator
Summary
This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960's, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor's lasting contributions to the field but suggests new areas for research and analysis.--
Language
eng
Work
Publication
Extent
1 online resource (XXXIII, 453 pages)
Contents
  • Foreword #1
  • Foreword #2: Jack Treynor: An Appreciation
  • Foreword #3: Jack Treynor and the Q-Group
  • Ch 1 The Theory of Risk, Return, and Performance Measurement
  • Ch 2 Origins of Portfolio Theory: Selection and Evaluation
  • Ch 3 Market Timing
  • Ch 4 Returns, Risk, Portfolio Selection, and Evaluation
  • Ch 5 Validating Return-Generating Models
  • Ch 6 Invisible Costs and Profitability
  • Ch 7 Mean-ETL Portfolio Construction in U.S. Equity Market
  • Ch 8 Portfolio Performance Assessment: Statistical Issues and Methods for Improvement
  • Ch 9 The Duality of Value and Mean Reversion
  • Ch 10 Performance of Earnings Yield and Momentum Factors in US and International Equity Markets
  • Ch 11 Alpha Construction in a Consistent Investment Process
  • Ch 12 Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns
  • Ch 13 The Behavior of Sentiment-Induced Share Returns: Measurement when Fundamentals are Observable
  • Ch 14 Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds
  • Ch 15 Fundamental versus Traditional Indexation for International Mutual Funds
  • Ch 16 Forecasting Implied Volatilities for Options on Index Futures
  • Ch 17 The Swiss Black Swan Bad Scenario: Another Casualty of the Eurozone Crisis
  • Ch 18 Leveling the Playing Field
  • Ch 19 Uncommon Value: The Investment Performance of Contrarian Funds
Isbn
9783319339764
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-33976-4
Instance
Label
Portfolio Construction, Measurement, and Efficiency : Essays in Honor of Jack Treynor
Title
Portfolio Construction, Measurement, and Efficiency
Title remainder
Essays in Honor of Jack Treynor
Statement of responsibility
edited by John B. Guerard, Jr
Creator
Subject
Language
eng
Summary
This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960's, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor's lasting contributions to the field but suggests new areas for research and analysis.--
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Guerard, Jr., John B,
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Springer eBooks.
http://library.link/vocab/subjectName
  • Finance
  • Corporate governance
  • Corporations
  • Risk management
  • Economics, Mathematical
  • Macroeconomics
  • Finance
  • Corporate Finance
  • Risk Management
  • Corporate Governance
  • Macroeconomics/Monetary Economics//Financial Economics
  • Quantitative Finance
Label
Portfolio Construction, Measurement, and Efficiency : Essays in Honor of Jack Treynor, edited by John B. Guerard, Jr, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-33976-4
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Foreword #1 -- Foreword #2: Jack Treynor: An Appreciation -- Foreword #3: Jack Treynor and the Q-Group -- Ch 1 The Theory of Risk, Return, and Performance Measurement -- Ch 2 Origins of Portfolio Theory: Selection and Evaluation -- Ch 3 Market Timing -- Ch 4 Returns, Risk, Portfolio Selection, and Evaluation -- Ch 5 Validating Return-Generating Models -- Ch 6 Invisible Costs and Profitability -- Ch 7 Mean-ETL Portfolio Construction in U.S. Equity Market -- Ch 8 Portfolio Performance Assessment: Statistical Issues and Methods for Improvement -- Ch 9 The Duality of Value and Mean Reversion -- Ch 10 Performance of Earnings Yield and Momentum Factors in US and International Equity Markets -- Ch 11 Alpha Construction in a Consistent Investment Process -- Ch 12 Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns -- Ch 13 The Behavior of Sentiment-Induced Share Returns: Measurement when Fundamentals are Observable -- Ch 14 Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds -- Ch 15 Fundamental versus Traditional Indexation for International Mutual Funds -- Ch 16 Forecasting Implied Volatilities for Options on Index Futures -- Ch 17 The Swiss Black Swan Bad Scenario: Another Casualty of the Eurozone Crisis -- Ch 18 Leveling the Playing Field -- Ch 19 Uncommon Value: The Investment Performance of Contrarian Funds
Control code
978-3-319-33976-4
Dimensions
unknown
Extent
1 online resource (XXXIII, 453 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319339764
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-33976-4
Other physical details
56 illustrations, 49 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)981973171
Label
Portfolio Construction, Measurement, and Efficiency : Essays in Honor of Jack Treynor, edited by John B. Guerard, Jr, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=http://dx.doi.org/10.1007/978-3-319-33976-4
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Foreword #1 -- Foreword #2: Jack Treynor: An Appreciation -- Foreword #3: Jack Treynor and the Q-Group -- Ch 1 The Theory of Risk, Return, and Performance Measurement -- Ch 2 Origins of Portfolio Theory: Selection and Evaluation -- Ch 3 Market Timing -- Ch 4 Returns, Risk, Portfolio Selection, and Evaluation -- Ch 5 Validating Return-Generating Models -- Ch 6 Invisible Costs and Profitability -- Ch 7 Mean-ETL Portfolio Construction in U.S. Equity Market -- Ch 8 Portfolio Performance Assessment: Statistical Issues and Methods for Improvement -- Ch 9 The Duality of Value and Mean Reversion -- Ch 10 Performance of Earnings Yield and Momentum Factors in US and International Equity Markets -- Ch 11 Alpha Construction in a Consistent Investment Process -- Ch 12 Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns -- Ch 13 The Behavior of Sentiment-Induced Share Returns: Measurement when Fundamentals are Observable -- Ch 14 Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds -- Ch 15 Fundamental versus Traditional Indexation for International Mutual Funds -- Ch 16 Forecasting Implied Volatilities for Options on Index Futures -- Ch 17 The Swiss Black Swan Bad Scenario: Another Casualty of the Eurozone Crisis -- Ch 18 Leveling the Playing Field -- Ch 19 Uncommon Value: The Investment Performance of Contrarian Funds
Control code
978-3-319-33976-4
Dimensions
unknown
Extent
1 online resource (XXXIII, 453 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319339764
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-33976-4
Other physical details
56 illustrations, 49 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)981973171

Subject

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055

Library Links

Structured data from the Bibframe namespace is licensed under the Creative Commons Attribution 4.0 International License by European University Institute. Additional terms may apply to data associated with third party namespaces.
Processing Feedback ...