Modern Portfolio Theory and Investment AnalysisJohn Wiley & Sons, 16 lis 2009 - 752 An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs. |
Spis treści
Part | 4 |
FINANCIAL SECURITIES | 11 |
Chapter | 17 |
FINANCIAL MARKETS | 24 |
PORTFOLIO ANALYSIS | 41 |
CONTENTS | 64 |
TECHNIQUES FOR CALCULATING | 99 |
SIMPLIFYING THE PORTFOLIO SELECTION PROCESS | 129 |
Nonmarketable Assets | 316 |
Conclusion | 322 |
EMPIRICAL TESTS OF EQUILIBRIUM MODELS | 332 |
THE ARBITRAGE PRICING MODEL APTA MULTIFACTOR | 360 |
EFFICIENT MARKETS | 398 |
Chapter 19 | 467 |
Questions and Problems | 481 |
Chapter 22 | 538 |
Mixed Models | 167 |
Conclusion | 173 |
CONTENTS xv | 180 |
SELECTING THE OPTIMUM PORTFOLIO | 209 |
HOW TO SELECT AMONG THE PORTFOLIOS | 219 |
WIDENING THE SELECTION UNIVERSE | 253 |
CONTENTS | 281 |
Pricing Model | 296 |
NONSTANDARD FORMS OF CAPITAL ASSET PRICING MODELS | 303 |
CONTENTS | 561 |
OPTION PRICING THEORY | 573 |
THE VALUATION AND USES OF FINANCIAL FUTURES | 611 |
EVALUATING THE INVESTMENT PROCESS | 629 |
EVALUATION OF SECURITY ANALYSIS | 682 |
PORTFOLIO MANAGEMENT REVISITED | 697 |
713 | |
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Kluczowe wyrazy i wyrażenia
ANALYSIS AND PORTFOLIO Arbitrage Pricing Theory asset pricing model assume assumption average Beta Black–Scholes CAPITAL ASSET PRICING CAPITAL MARKETS CAPM cash flows CHAPTER common stock consumption correlation coefficient covariance determine discount discussed dividends earnings efficient frontier efficient portfolios Elton equation equilibrium model equity estimate examine example excess return expected return expected value factor Fama Financial and Quantitative Financial Economics firm forecast future growth Gruber inflation interest rate international diversification investment investor Journal of Business Journal of Finance lending and borrowing market portfolio mean return multi-index model opportunity set optimal portfolio optimum option outcomes period PORTFOLIO ANALYSIS Portfolio Selection PORTFOLIO THEORY premium problem Quantitative Analysis regression risk riskless asset riskless lending riskless rate risky assets SECURITY ANALYSIS security market line security returns sell short sales short selling single-index model standard deviation stock price Table techniques term tests trade variables yield curve yield to maturity zero