Modern portfolio theory and investment analysis

著者

書誌事項

Modern portfolio theory and investment analysis

Edwin J. Elton, Martin J. Gruber

Wiley, c1987

3rd ed

大学図書館所蔵 件 / 全52件

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注記

Includes bibliographies and index

内容説明・目次

内容説明

This edition of an undergraduate text examines the characteristics and analysis of individual securities along with the theory and practice of combining securities into portfolios. Changes in this edition include a new chapter on valuation, financial futures and substantial updating reflecting recent changes in theory. The book details the theory of modern portfolio analysis and discusses the differences between portfolios and the individual securities from which they are formed. It describes the equilibrium in capital markets and reviews the characteristics and evaluation of individual securities, including their market efficiency, the valuation of common stocks, valuation of bonds, nature and valuation of options and the valuation and uses of futures. It concludes with a discussion of the evaluation of the investment analysis and portfolio management process, stressing techniques for evaluating every stage of the investment process.

目次

  • PORTFOLIO ANALYSIS: MEAN VARIANCE PORTFOLIO THEORY: The Characteristics of the Opportunity Set Under
  • Delineating Efficient Portfolios
  • Techniques for Calculating the Efficient Frontier
  • SIMPLIFYING THE PORTFOLIO SELECTION PROCESS: The Correlation Structure of Security Returns: The Single Index Model
  • The Correlation Structure of Security Returns: Multi- index Models and Grouping Technique
  • Simple Techniques for Determining the Efficient Frontier
  • SELECTING THE OPTIMAL PORTFOLIO
  • Utility Analysis
  • Other Portfolio Selection Models
  • WIDENING THE SELECTION UNIVERSE: International Diversification
  • MODELS OF EQUILIBRIUM IN THE CAPITAL MARKETS: The Standard Capital Asset Pricing Model
  • Nonstandard Forms of Capital Asset Pricing Models
  • Empirical Tests of Equilibrium Models
  • The Arbitrage Pricing Model
  • APT - A New Approach to Explaining Asset Prices
  • SECURITY ANALYSIS AND PORTFOLIO THEORY: Efficient Markets
  • The Valuation Process
  • Earnings Estimation
  • Interest Rate Theory and the Pricing of Bonds
  • The Management of Bond Portfolios
  • Option Pricing Theory
  • THE VALUATION AND USES OF FINANCIAL FUTURES: EVALUATING THE INVESTMENT PROCESS: Evaluation of Portfolio Performance
  • Evaluation of Security Analysis.

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