The Theory of Active Portfolio Management参考.ppt

CHAPTER 27 The Theory of Active Portfolio Management CHAPTER 28 Investment Policy and the Framework of the CFA Institute Table 28.1 Components of the Investment Management Process Table 28.2 Components of the Investment Policy Statement Table 28.3 Determination of Portfolio Policies Table 28.4 Matrix of Objectives Liquidity Ease (speed) with which an asset can be sold and created into cash Investment horizon - planned liquidation date of the investment Regulations Prudent investor rule Tax considerations Unique needs Specifying Constraints on Investment Policies Table 28.5 Matrix of Constraints Policy Statements The Policy Statement (IPS) provides for: Governance of the investment program, The appropriate asset allocation, Roles of internal and/or external managers, Monitoring the results, Risk management, Appropriate reporting, Accountability A course of action in case of market turmoil Asset Allocation By far the most important part of policy determination is asset allocation, that is, deciding how much of the portfolio to invest in each major asset category. Specify asset classes Specify capital market expectation Derive the efficient portfolio frontier. Find the optimal asset mix. Manage taxes. Managing Portfolios of Individual Investors Human capital and insurance Investment in residence Saving for retirement and the assumption of risk Retirement planning models Manage your own portfolio or rely on others? Tax Sheltering for Individual Investors Tax-deferral option - controlling the timing of gains on investments. Tax-deferred retirement plans IRAs Keogh plans Deferred annuities Fixed Variable Variable and universal life insurance Pension Funds Defined contribution plans Investment policy is essentially the same as for a tax-qualified individual retirement account Defined benefit plans Contractual arrangement setting out the rights and obligations of all parties Pension Funds The tax status of pension funds makes them favor assets with the largest sp