Contents Learning Outcome Statements (LOS) Study Session 8—Applications of Economic Analysis to Portfolio Management Reading 16: Capital Market Expectations Exam Focus Module 16.1: Formulating Capital Market Expectations Module 16.2: Statistical Tools and Discounted Cash Flow Models Module 16.3: Risk Premiums, Financial Equilibrium, and Surveys Module 16.4: The Business Cycle Module 16.5: Monetary Policy and Interest Rates Module 16.6: The Trend Rate of Growth Module 16.7: International Considerations Module 16.8: Market Forecasting 10 Module 16.9: Exchange Rate Forecasting 11 Module 16.10: Comprehensive Example 12 Key Concepts 13 Answer Key for Module Quizzes Reading 17: Equity Market Valuation Exam Focus Module 17.1: Cobb-Douglas Production Function Module 17.2: Dividend Discount Models Module 17.3: Top-Down VS Bottom-Up Module 17.4: Fed Model Module 17.5: The Yardeni Model Module 17.6: CAPE Module 17.7: Q-Models Key Concepts 10 Answer Key for Module Quizzes Topic Assessment: Economic Analysis Topic Assessment Answers: Economic Analysis Study Session 9—Asset Allocation and Related Decisions in Portfolio Management (1) Reading 18: Introduction to Asset Allocation Exam Focus Module 18.1: Economic Balance Sheet Module 18.2: Approaches to Asset Allocation Module 18.3: Allocation by Asset Class or Risk Factor Module 18.4: Example: Strategic Asset Allocation Module 18.5: Other Approaches and Issues Key Concepts Answer Key for Module Quizzes Reading 19: Principles of Asset Allocation Exam Focus Module 19.1: Basic Mean-Variance Optimization Module 19.2: Reverse Optimization, Black Litterman, Resampling, and Other Approaches Module 19.3: Example Module 19.4: Issues for Individuals Module 19.5: A Risk Budgeting Approach Module 19.6: An ALM Approach Module 19.7: Goals-Based and Miscellaneous Approaches Module 19.8: Rebalancing Policy 10 Key Concepts 11 Answer Key for Module Quizzes Study Session 10—Asset Allocation and Related Decisions in Portfolio Management (2) Reading 20: Asset Allocation With Real-World Constraints Exam Focus Module 20.1: Real World Issues Module 20.2: Adjusting the Strategic asset allocation Module 20.3: Behavioral Issues Key Concepts Answer Key for Module Quizzes Reading 21: Currency Management: An Introduction Exam Focus Module 21.1: Managing Currency Exposure Module 21.2: Active Strategies: Fundamentals and Technical Module 21.3: Active Strategies: Carry and Volatility Trading Module 21.4: Implementation and Forwards Module 21.5: Implementation and Options Key Concepts Answer Key for Module Quizzes Topic Assessment: Asset Allocation Topic Assessment Answers: Asset Allocation Study Session 11—Fixed-Income Portfolio Management (1) Reading 22: Fixed-Income Portfolio Management: Introduction Exam Focus Module 22.1: Role of Fixed Income Module 22.2: Modeling Return Module 22.3: Leverage and Tax Issues Key Concepts Answer Key for Module Quizzes Reading 23: Liability-Driven and Index-Based Strategies Exam Focus Module 23.1: LDI, Basics Module 23.2: Managing a Duration Gap Module 23.3: Advanced strategies Module 23.4: Risks Module 23.5: Index-Based Investing 10 11 12 13 Module 23.6: Introduction: Bullet, Ladder, Barbell Key Concepts Answer Key for Module Quizzes Study Session 12—Fixed-Income Portfolio Management (2) Reading 24: Yield Curve Strategies Exam Focus Module 24.1: Introduction and Strategies for an Unchanged Curve Module 24.2: Strategies for Changing Yield Curves Module 24.3: Adjusting Convexity Module 24.4: Carry Trades Module 24.5: Determining an Optimal Strategy Module 24.6: Using Derivatives to Implement a Yield Curve Strategy Module 24.7: Using Key Rate Durations to Determine Optimal Strategy Module 24.8: Inter-Market Curve Strategies and Conclusion 10 Key Concepts 11 Answer Key for Module Quizzes Reading 25: Fixed-Income Active Management: Credit Strategies Exam Focus Module 25.1: IG vs HY and Measuring Spread Module 25.2: Top-Down and Bottom-Up Module 25.3: Liquidity, Tail, and International Risks Module 25.4: Structured Instruments Key Concepts Answer Key for Module Quizzes Topic Assessment: Fixed-Income Portfolio Management Topic Assessment Answers: Fixed-Income Portfolio Management Formulas List of pages 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 vii viii ix x xi 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 84 85 86 87 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 115 116 117 118 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