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Portfolio Theory and Management


  • Baker, H. Kent
    (Professor of Finance, American University)

  • Filbeck, Greg
    (Samuel P. Black III Professor of Insurance and Risk Management, Pennsylvania State University)


Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics. Available in OSO: Contributors to this volume - H. KENT BAKER University Professor of Finance and Kogod Research Professor, Kogod School of Business, American University NANNE BRUNIA Lecturer in Finance, University of Groningen AXEL BUCHNER Assistant Professor of Finance, DekaBank Chair in Finance and Financial Control, Passau University ARNAUD CAVE HEC Management School, University of Liege RICCARDO CESARI Professor of Mathematical Finance, University of Bologna RICCARDO CESARI Professor, University of Bologna SARAH MULLER, CFA Doctoral candidate, EBS Business School JOSHUA M. DAVIS Senior Vice President, Portfolio Manager, Quantitative Strategies, PIMCO JAMES L. FARRELL, JR. Chairman, Institute of Quantitative Research in Finance (the Q-Group) GREG FILBECK Samuel P. Black III Professor of Insurance and Risk Management, The Behrend College, Penn State Erie MICHAEL S. FINKE Associate Professor, Division of Personal Financial Planning, Texas Tech University RETO FORRER Research Associate, Department of Financial Management, University of Basel, Switzerland. ROLAND FUSS Professor of Finance, Union Investment Chair of Asset Management, EBS Business School PASCAL GANTENBEIN Henri B. Meier Professor of Financial Management, Head of Department of Financial Management, University of Basel, Switzerland. NIKOLAY GOSPODINOV Associate Professor, Concordia University and CIREQ MASSIMO GUIDOLIN Professor of Finance, IGIER, Bocconi University and CAIR, Manchester Business School MICHAEL A. GUILLEMETTE Doctoral Candidate, Division of Personal Financial Planning, Texas Tech University SHERMAN D. HANNA Professor, Consumer Sciences Department, The Ohio State University LARS HELGE HASS Chair of Empirical Capital Market Research, WHU - Otto Beisheim School of Management NILS HEROLD Research Associate, Department of Financial Management, University of Basel, Switzerland. HUNTER M. HOLZHAUER Assistant Professor of Finance, Penn State Erie, The Behrend College GEORGES HUBNER The Deloitte Chair of Portfolio Management and Performance, HEC Management School, University of Liege; Associate Professor of Finance, School of Economics and Business, Maastricht University; Chief Scientific Officer, Gambit Financial Solutions Ltd. ERIC JACQUIER Associate Professor, HEC Montreal, Visiting Associate Professor, MIT Sloan CHRISTOPH KASERER Professor of Finance, Head of the Department of Financial Management and Capital Markets, TUM School of Management, Technische Universitat Munchen MATTHIEU LEBLANC Head of the Financial Research Department, Edmond de Rothschild Asset Management. THOMAS LEJEUNE F.R.S.-FNRS Research Fellow, HEC Management School, University of Liege ABRAHAM LIOUI Professor, EDHEC Business School HARALD LOHRE Portfolio Manager, Deka Investment GmbH MASSIMILIANO MARZO Professor of Economics, University of Bologna ANDREW MASON Lecturer in Finance, University of Surrey THORSTEN NEUMANN Head of Quantitative Strategies, Union Investment Institutional GmbH SEBASTIEN PAGE Executive Vice President, Head of Client Analytics, PIMCO AUKE PLANTINGA Associate Professor in Finance, University of Groningen PATRICE PONCET Distinguished Professor, ESSEC Business School DIANNA PREECE Professor of Finance, University of Louisville JULIANE PROELSS Research Fellow, Center of Alternative Investments, WHU - Otto Beisheim School of Management ERIC J. ROBBINS, CFA Portfolio Manager, Robbins Wealth Management and Lecturer in Finance, Penn State Erie CESARE ROBOTTI "Financial Economist and Associate Policy Adviser, Federal Reserve Bank of Atlanta, Affiliate Professor, EDHEC Risk Institute GERASIMOS G. ROMPOTIS Senior Auditor, KPMG Greece, Researcher National and Kapodistrian University of Athens, Greece TIMOTHY P. RYAN, CIPM Vice President, Hartford Investment Management Company GABRIELE SABATO Senior Manager, Royal Bank of Scotland, Group Risk Management PANAGIOTIS SCHIZAS Lecturer of Finance, University of Peloponnese DENIS SCHWEIZER Assistant Professor of Alternative Investments, WHU - Otto Beisheim School of Management HERSH SHEFRIN Mario L. Belotti Professor of Finance, Santa Clara University J. CLAY SINGLETON George D. and Harriet W. Cornell Professor of Finance, Crummer Graduate School, Rollins College REMUS D. VALSAN Lecturer in Corporate Law, University of Edinburgh NIKLAS WAGNER Professor of Finance, DekaBank Chair in Finance and Financial Control, Passau University THOMAS WINTERFELDT Risk Controller, DG HYP Deutsche Genossenschafts-Hypothekenbank MOIN A. YAHYA Associate Professor of Law, University of Alberta PAOLO ZAGAGLIA Researcher, University of Bologna

Suggested Citation

  • Baker, H. Kent & Filbeck, Greg (ed.), 2013. "Portfolio Theory and Management," OUP Catalogue, Oxford University Press, number 9780199829699.
  • Handle: RePEc:oxp:obooks:9780199829699

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