Modern investment theory
Author(s)
Bibliographic Information
Modern investment theory
Prentice Hall, c1993
3rd ed
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Note
Previous ed.: 1990
Includes bibliographical references and index
Description and Table of Contents
Description
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.
Table of Contents
- 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.
by "Nielsen BookData"
