Modern investment theory
著者
書誌事項
Modern investment theory
Prentice Hall International, c1997
4th ed, international ed
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注記
Previous ed.: 1993
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, arbitrage pricing, pricing of derivative securities, interest rates, and bond management. Stock valuation, estimating future earnings and dividends, and fixed income markets are also examined.
目次
I. BACKGROUND. 1. Introduction to Modern Investment Theory. 2. Securities and Markets. 3. Some Statistical Concepts. II. PORTFOLIO MANAGEMENT. 4. Combining Individual Securities into Portfolios. 5. Finding the Efficient Set. 6. Factor Models. III. RISK, EXPECTED RETURN, AND PERFORMANCE MEASUREMENT. 7. The Capital Asset Pricing Model. 8. Empirical Tests of the Capital Asset Pricing Model. 9. The Arbitrage Pricing Theory. 10. The Tracking Power of Markowitz Portfolio Optimization. 11. Measuring Portfolio Performance. IV. INTEREST RATES AND BOND MANAGEMENT. 12. The Level of Interest Rates. 13. The Term Structure of Interest Rates. 14. Bond Portfolio Management. 15. Interest Immunization. V. THE PRICING OF DERIVATIVE SECURITIES. 16. European Option Pricing. 17. American Option Pricing. 18. Additional Issues in Option Pricing. 19. Financial Forward and Futures Contracts. VI. ISSUES IN INVESTMENT MANAGEMENT. 20. The Effect of Taxes on Investment Strategy and Securities Prices. 21. Stock Valuation. 22. Issues in Estimating Future Earnings and Dividends. 23. Market Efficiency: The Concept. 24. Market Efficiency: The Evidence. Glossary. Appendix 10: Additional Properties of Minimum Variance Set. Appendix 11: Invest Software. Glossary. Index.
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