Andrew Allentuck
Monday, May 3, 2004

Portfolio Theory and Performance Analysis
By Noël Amenc and Véronique Le Sourd
John Wiley & Sons, 2003, 266 pages

A mathematical introduction to the measurement of investment managers performance, this academic work brings the literature of the field up to date. Noël Amenc, editor of the Journal of Alternative Investments and a professor of finance at France's Edhec Business School, and Véronique Le Sourd, a mathematician at the Edhec Risk and Asset Management Centre, take the reader through major issues in performance measurement.>>

Those issues include:

    1. Is active management worth the cost?
    2. Can active managers beat the market?
    3. Association for Investment Management and Research standards
    4. Measurement of asset returns
    5. Modern portfolio theory and the Markowitz and Sharpe parameters
    6. The capital asset pricing model and its numerous children
    7. Multifactor models
    8. Portfolio construction
    9. Fixed income modeling and measurement

This is a serious work for serious readers who have a strong grasp of mathematical statistics and a desire to work through pages of equations. Others need not apply.