Principles for Drafting an Investment Policy with Illustrations

International Journal of Portfolio Analysis and Management, Vol. 1, No. 2, pp. 144-160, Forthcoming

27 Pages Posted: 10 Sep 2012

See all articles by A. (Tassos) G. Malliaris

A. (Tassos) G. Malliaris

Loyola University of Chicago - Department of Economics

Robert Gyorgy

Northern Trust Corporation

Date Written: May 15, 2012

Abstract

During the past few decades, significant theoretical advances in portfolio theory and asset pricing have substantially increased our understanding of how to construct optimal portfolios. These theoretical developments have challenged professional portfolio management to develop appropriate tools to incorporate these novel ideas. In this paper we contribute by focusing on the critical role of the investment policy as a tool that connects portfolio theory to portfolio management. We select, list, discuss and illustrate with examples several principles that are essential items of an investment policy.

Keywords: Portfolio Selection, Strategic Allocation, Active vs Passive Portfolio Management, Investment Policy, Portfolio Management

JEL Classification: G10, G11, G15, G23

Suggested Citation

Malliaris, A. (Tassos) G. and Gyorgy, Robert, Principles for Drafting an Investment Policy with Illustrations (May 15, 2012). International Journal of Portfolio Analysis and Management, Vol. 1, No. 2, pp. 144-160, Forthcoming . Available at SSRN: https://ssrn.com/abstract=2144458

A. (Tassos) G. Malliaris (Contact Author)

Loyola University of Chicago - Department of Economics ( email )

16 E. Pearson Ave
Quinlan School of Business
Chicago, IL 60611
United States
312-915-6063 (Phone)

Robert Gyorgy

Northern Trust Corporation ( email )

50 South LaSalle Street
Chicago, IL 60603
United States

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