This chapter identifies and investigates the stages of the investment portfolio management, dividing the investment process into the following stages: the identification of the objectives and the constraints of the investment policy; the formalisation of the investment strategy; the implementation of the financial strategy; the periodic rebalancing of the portfolio; the assessment of results and risk control. The starting point for setting up an investment management policy is the identification of the objectives and obligations of the investor. Once the objectives and constraints of the investment policy have been defined, institutional investors need to identify the financial strategy they intend to implement, in order to achieve efficient risk-return combinations from the resources invested during a given period of time. In order to reach these objectives, the investor must identify: the approach underlying the investment policy; financial instruments in which to invest and the associated risks; ex ante constraints to risk exposure; management style adopted; management method, whether internal or delegated, to adopt when such a choice is possible; and organisational division of tasks and responsibilities of the various subjects involved in the investment process. The financial strategy must be subjected to periodical review, in order to assess its effective congruence with the objectives and requirements of the investor. This chapter provides an in-depth analysis of each stage of the investment management policy.