Modern investment theory
著者
書誌事項
Modern investment theory
Prentice Hall, c1993
3rd ed
大学図書館所蔵 全4件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Previous ed.: 1990
Includes bibliographical references and index
内容説明・目次
内容説明
This text offers coverage of investments with an emphasis on portfolio theory. It also includes extensive discussion of capital asset pricing, pricing of derivative securities, interest rates and bond management. Stock valuation, estimating future earnings and dividends and fixed income markets are examined closely. Further features include options and forward futures contracts; a new chapter on applied portfolio management; mini case studies with real-world situations; and details of utility theory. The book is designed for intermediate undergraduate or post-graduate level courses on investment, investment management, security analysis and portfolio theory.
目次
- Part 1 Background: introduction to modern investment theory
- securities and markets
- some statistical concepts. Part 2 Portfolio management: combining individual securities into portfolios. Appendices: formulas for the expected rate of return and variance of a portfolio
- finding the efficient set
- a three dimensional approach to finding the efficient set
- using lagrangian multipliers to find the minimum variance set
- proof of property
- utility and risk aversion
- index models. Part 3 Risk, expected return and performance measurement: the capital asset pricing model
- empirical tests of the capital asset pricing model
- arbitrage pricing theory - the power of Markowitz portfolio optimization. Appendix: finding the portfolio with the minimum volatility of differences
- measuring portfolio performance. Part 4 Interest rates and bond management: the level of interest rates
- the term structure of interest rates. Appendix: averaging multiple rates of return
- bond portfolio management interest immunization. Part 5 The pricing of complex securities: European option pricing. Appendices: proof that dVc/dVs is the probability of exercise for call option on a stock with a uniform distribution
- American option pricing
- the Geske-Roll-Whaley American option pricing model
- additional issues in option pricing
- financial forward and futures contracts.
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