Research and publications
Portfolio Theory & Performance Analysis
In the last ten years, commercial and technical innovations have been increasingly prevalent within the asset management industry. It therefore seems essential to allow both practitioners and resea ...
Author(s):
Noël Amenc, Véronique Le Sourd
Summary:
In the last ten years, commercial and technical innovations have been increasingly prevalent within the asset management industry. It therefore seems essential to allow both practitioners and researchers to situate these innovations within a clear and consistent conceptual framework. That is the objective fixed by this publication, which establishes a link between the major concerns of managers (evaluating the investment management process, measuring performance and controlling risk) and the results of research into portfolio theory. Notable subjects are the implementation of multifactor and style analysis models for performance and risk measurement. These probably constitute the most significant conceptual advances for the asset management industry since the formalisation of the capital asset pricing model. Finally, a review of criticisms of the models and results from the literature on portfolio performance attribution allow the reader to comprehend, with a sense of perspective, the academic and empirical "evidence" in the area of measurement and persistence of the outperformance of funds and managers.
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| Date : | 01/02/2002 |
| Editor : | Economica |
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