Portfolio Theory and Performance Analysis

Asset management has become central to the development of the financial industry, both in the United States and Europe. The increasing number of cross-border merger and acquisition operations and the extremely high valuations that are put on those operations are evidence of the major financial establishments' desire to invest in a sector that they consider to be essential to their strategy of globalising and "financialising" their activities.
Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives.
Faced with an abundance of tools and academic references, it is important to place all the practices, empirical studies and innovations in their context, given that they are always described as "major" by their promoters in the area of portfolio theory.
Portfolio Theory and Performance Analysis - allow the professionals, whether managers or investors, to take a step back and c learly separate true innovations from mere improvements to well-known, existing techniques; - puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement; - takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits.
This book connects each of the major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory, whether these involve measuring the return on a portfolio, analysing portfolio risk or evaluating the quality of the portfolio management process.

Noel Amenc is professor of finance at the Edhec Business School, where he is in charge of the Risk and Asset Management research centre.  Noel is also associate editor of the Journal of Alternative Investments. He is the author of numerous publications in the domain of portfolio management, notably in the areas of asset allocation and performance measurement.  He also holds significant positions within the asset management industry, including head of research with Misys Asset Management Systems.
Veronique Le Sourd  holds an advanced graduate diploma in applied mathematics from the Université Pierre and Marie Curie (Paris VI) and has worked as a research assistant within the finance and economics departments of HEC Business School.  She is currently a research engineer for Misys Asset Management Systems and associate researcher with the Edhec Risk and Asset Management Research Centre.