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1、ILPIPincludesthefollowinginstitutionsCourseManualCourseManualCourseManualPortfolioManagementPortfolioManagementPortfolioManagementCopyright©200Copyright©2008Copyright©200888,AZEK,AZEK,AZEK/ILPIP,AZEK/ILPIP/ILPIP,/ILPIP,,,GenevaGenevaGenevaGenevaPORTFOLIOMANAGEMENTCOURSEMANUALCopyright©200
2、8,AZEK/ILPIPPORTFOLIOMANAGEMENTCopyrightÓ2008,AZEK/ILPIPAllrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,electronic,mechanical,photocopying,recording,orotherwise,withoutthepriorwrittenpermissionofAZEK/ILPIP.1.)ModernPort
3、folioTheory2.)InvestmentPolicy3.)AssetAllocation4.)Asset/Liability-AnalysisandManagement5.)PracticalPortfolioManagement6.)PerformanceMeasurement7.)ManagementofInvestmentInstitutions8.)Exercises:Questions9.)Exercises:SolutionsPORTFOLIOMANAGEMENTChapter1MODERNPORTFOLIOTHEORYCopyright©2008,A
4、ZEK/ILPIPPORTFOLIOMANAGEMENTCopyrightÓ2008,AZEK/ILPIPAllrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,electronic,mechanical,photocopying,recording,orotherwise,withoutthepriorwrittenpermissionofAZEK/ILPIP.TableofContents1
5、.ModernPortfolioTheory11.1Therisk/returnframework..................................................................................................................11.1.1Returnandmeasuresofreturn...............................................................................................
6、...........21.1.1.1Holdingperiodreturn..................................................................................................................21.1.1.2Arithmeticversusgeometricaverageofholdingperiodreturns..................................................31.1.1.3Timevalueofmoney:
7、compoundinganddiscounting.................................................................51.1.1.4Annualisationofreturns............................................................................................................111.1.2Risk...........................
