Modern portfolio theory and investment analysis:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Wiley
1991
|
| Edition: | 4. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 736 S. graph. Darst. |
| ISBN: | 0471532487 |
Staff View
MARC
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| 245 | 1 | 0 | |a Modern portfolio theory and investment analysis |c Edwin J. Elton ; Martin J. Gruber |
| 250 | |a 4. ed. | ||
| 264 | 1 | |a New York [u.a.] |b Wiley |c 1991 | |
| 300 | |a XVI, 736 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Analyse financière | |
| 650 | 4 | |a Gestion de portefeuille | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Investment analysis | |
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Record in the Search Index
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| adam_text | Contents
Chapter 1 INTRODUCTION 1
Outline of the Book 1
The Economic Theory of Choice: An Illustration
Under Certainty 3
Conclusion 8
Multiple Assets and Risk 8
Questions and Problems 9
Bibliography 10
Parti PORTFOLIO ANALYSIS 11
Section 1 MEAN VARIANCE PORTFOLIO THEORY 13
Chapter 2 THE CHARACTERISTICS OF THE
OPPORTUNITY SET UNDER RISK 15
Determining the Average Outcome 16
A Measure of Dispersion 18
Variance of Combinations of Assets 20
Characteristics of Portfolios in General 24
Conclusion 32
Questions and Problems 34
Bibliography 36
Chapter 3 DELINEATING EFFICIENT PORTFOLIOS 38
Combination of Two Risky Assets Revisited:
Short Sales Not Allowed 38
ix
X CONTENTS
The Shape of the Portfolio Possibilities Curve 49
The Efficient Frontier with Riskless Lending and
Borrowing 57
Conclusion 61
Questions and Problems 61 .
Bibliography 62
Chapter 4 TECHNIQUES FOR CALCULATING THE
EFFICIENT FRONTIER 65
Short Sales Allowed with Riskless Lending and
Borrowing 66
Short Sales Allowed: No Riskless Lending and
Borrowing 71
Riskless Lending and Borrowing with Short
Sales not Allowed 72
No Short Selling and No Riskless Lending and
Borrowing 72
The Incorporation of Additional Constraints 73
Conclusion 74
Appendix A An Alternative Definition of Short
Sales 74
Appendix B Determining the Derivative 75
Appendix C Solving Systems of Simultaneous
Equations 79
Appendix D A General Solution 82
Appendix E Quadratic Programming and Kuhn
Tucker Conditions 88
Questions and Problems 90
Bibliography 91
Section 2 SIMPLIFYING THE PORTFOLIO
SELECTION PROCESS 95
Chapter 5 THE CORRELATION STRUCTURE OF
SECURITY RETURNS: THE SINGLE
INDEX MODEL 97
The Inputs to Portfolio Analysis 98
Single Index Models: An Overview 99
Characteristics of the Single Index Model 105
Estimating Beta 107
The Market Model 123
Questions and Problems 123
Bibliography , 125
CONTENTS XI
Chapter 6 THE CORRELATION STRUCTURE OF
SECURITY RETURNS: MULTI INDEX MODELS
AND GROUPING TECHNIQUE 132
Multi Index Models 133
Average Correlation Models 141
Mixed Models 142
Fundamental Multi Index Models* 143
Conclusion 148
Appendix A Procedure for Reducing Any
Multi Index Model to a Multi Index Model with
Orthogonal Indices 148
Appendix B Mean Return, Variance, and
Covariance of a Multi Index Model 149
Questions and Problems 151
Bibliography 152
Chapter 7 SIMPLE TECHNIQUES FOR DETERMINING
THE EFFICIENT FONTIER 157
The Single Index Model 158
The Constant Correlation Model 171
Other Return Structures 175
Conclusions 175
Appendix A Single Index Model—Short
Sales Allowed 175
Appendix B Constant Correlation
Coefficient—Short Sales Allowed 178
Appendix C Single Index Model with Short
Sales Not Allowed 179
Appendix D Constant Correlation
Coefficient—Short Sales Not Allowed 182
Questions and Problems 183
Bibliography 184
Section 3 SELECTING THE OPTIMUM PORTFOLIO 187
Chapter 8 UTILITY ANALYSIS 189
An Introduction to Preference Functions 190
The Economic Properties of Utility Functions 194
Empirical Evidence on the Suitability of
Alternative Preference Functions 201
Appendix A An Axiomatic Derivation of the
Expected Utility Function 202
Appendix B Absolute and Relative
Risk Aversion 206
XII CONTENTS
Questions and Problems 209
Bibliography 210
Chapter 9 OTHER PORTFOLIO SELECTION MODELS 212
Maximizing the Geometric Mean Return 213
Safety First 216
Stochastic Dominance 222
Skewness and Portfolio Analysis 230
Conclusion 231
Appendix A Safety First with Riskless Lending
and Borrowing 231
Appendix B Proof of the Sufficiency of the
Stochastic Theorems 236
Questions and Problems 238
Bibliography 239
Section 4 WIDENING THE SELECTION UNIVERSE 245
Chapter 10 INTERNATIONAL DIVERSIFICATION* 247
The World Portfolio 247
Calculating the Return on Foreign Investments 249
The Risk of Foreign Securities 252
Returns from International Diversification 258
The Effect of Exchange Risk 261
Return Expectations and Portfolio Performance 262
Other Evidence on Internationally
Diversified Portfolios 266
Models for Managing International Portfolios 270
Conclusion 274
Questions and Problems 274
Bibliography 276
Part 2 MODELS OF EQUILIBRIUM IN THE
CAPITAL MARKETS 281
Chapter 11 THE STANDARD CAPITAL ASSET
PRICING MODEL 283
The Assumptions Underlying the Standard
Capital Asset Pricing Model CCAPM] 284
The Capital Asset Pricing Model 285
Prices and the CAPM 295
Conclusion 296
Questions and Problems 299
Bibliography 300
CONTENTS Xlii
Chapter 12 NONSTANDARD FORMS OF CAPITAL ASSET
PRICING MODELS 302
Short Sales Disallowed 303
Modifications of Riskless Lending
and Borrowing 303
Personal Taxes 315
Nonmarketable Assets 317
Heterogeneous Expectations 319
Non Price Taking Behavior 320
Multiperiod CAPM 321
The Consumption Oriented CAPM 322
Inflation Risk and Equilibrium 323
The Multi Beta CAPM 324
Conclusion 325
Appendix Derivation of the General Equilibrium
with Taxes 325
Questions and Problems 328
Bibliography 329
Chapter 13 EMPIRICAL TESTS OF
EQUILIBRIUM MODELS 337
The Models—Ex Ante Expectations and
Ex Post Tests 337
Empirical Tests of the CAPM 339
Testing Some Alternative Forms of the CAPM
Model 352
Testing the Post Tax Form of the CAPM Model 353
Testing the Consumption Based
CAPM CCCAPM) 354
Some Reservations About Traditional Tests of
General Equilibrium Relationships and Some
New Research 357
Conclusion 359
Appendix Random Errors in Beta and Bias in
the Parameters of the CAPM 360
Questions and Problems 362
Bibliography 362
Chapter 14 THE ARBITRAGE PRICING MODEL OF APT—
A NEW APPROACH TO EXPLAINING ASSET
PRICES 368
APT—What Is It? 369
Estimating and Testing APT 375
APT and CAPM 386
Conclusions 387
Xiv CONTENTS
Appendix Specification of the APT with an
Unobserved Market Factor 388
Questions and Problems 389
Bibliography 390
Part 3 SECURITY ANALYSIS AND
PORTFOLIO THEORY 397
Chapter 15 EFFICIENT MARKETS 399
Some Background 402
Weak Form Tests 403
Empirical Tests of Weak Form Efficiency 405
Semi Strong Form Tests 418
Strong Form Tests 425
Implications of Efficiency 427
Market Anomalies 428
Market Rationality 432
Questions and Problems 433
Bibliography 433
Chapter 16 THE VALUATION PROCESS 449
Discounted Cash Flow Models 450
Cross sectional Regression Analysis 464
An Ongoing System 469
Conclusion 475
Questions and Problems 476
Bibliography 477
Chapter 17 EARNINGS ESTIMATION 482
The Elusive Number Called Earnings 482
The Importance of Earnings 484
Characteristics of Earnings and Earnings
Forecasts 489
Conclusion 498
Questions and Problems 498
Bibliography 498
Chapter 18 INTEREST RATE THEORY AND THE PRICING
OF BONDS 501
An Introduction to Debt Securities 502
The Many Definitions of Rates 504
Bond Prices and Spot Rates 510
Determining Spot Rates 511
CONTENTS XV
The Determinants of Bond Prices 514
Conclusion 533
Appendix A Special Considerations in
Bond Pricing 533
Appendix B Estimating Spot Rates 534
Questions and Problems 536
Bibliography 537
Chapter 19 THE MANAGEMENT OF BOND PORTFOLIOS 542
Duration 542
Protecting Against Term Structure Shifts 549
Indexation 553
Actively Managed Bond Portfolios 553
Management Styles 561
Appendix A Duration Measures 562
Appendix B Exact Matching Programs 565
Appendix C Bond Swapping Techniques 567
Appendix D Convexity 568
Questions and Problems 569
Bibliography 570
Chapter 20 OPTION PRICING THEORY 573
Types of Options 573
Some Basic Characteristics of Option Values 579
Valuation Models 585
Implicit Estimates of Stock s Own Variance
from Option Formulas 596
Use of Options 599
Conclusion 603
Appendix A Derivation of the Binomial Formula 603
Appendix B Derivation of the
Black Scholes Formula 606
Questions and Problems 608
Bibliography 609
Chapter 21 THE VALUATION AND USES OF
FINANCIAL FUTURES 617
Description of Financial Futures 618
Valuation of Financial Futures 622
The Uses of Financial Futures 629
Nonfinancial Futures and Commodity Funds 633
Questions and Problems 634
Bibliography 635
XVi CONTENTS
Part 4 EVALUATING THE INVESTMENT PROCESS 639
Chapter 22 EVALUATION OF PORTFOLIO PERFORMANCE 641
Evaluation Techniques 642
Decomposition of Overall Evaluation 661
Problems in Portfolio Measurement 671
Mutual Fund Performance 675
Conclusion 680
Questions and Problems 681
Bibliography 682
Chapter 23 EVALUATION OF SECURITY ANALYSIS 686
Why the Emphasis on Earnings? 687
The Evaluation of Earnings Forecasts 688
Evaluating the Valuation Process 697
Conclusion 700
Questions and Problems 701
Bibliography 702
Chapter 24 PORTFOLIO MANAGEMENT REVISITED 703
Managing Stock Portfolios 704
Active Management 708
Passive Versus Active 709
International Diversification 710
Bond Management 710
Bond and Stock Investment with a
Liability Stream 714
Bibliography 720
Index 721
|
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| author | Elton, Edwin J. Gruber, Martin Jay 1937- |
| author_GND | (DE-588)170014290 (DE-588)140411135 |
| author_facet | Elton, Edwin J. Gruber, Martin Jay 1937- |
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| callnumber-subject | HG - Finance |
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| dewey-search | 332.6 20 332.6 |
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| discipline | Wirtschaftswissenschaften |
| edition | 4. ed. |
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| id | DE-604.BV005495026 |
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| physical | XVI, 736 S. graph. Darst. |
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| publisher | Wiley |
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| spelling | Elton, Edwin J. Verfasser (DE-588)170014290 aut Modern portfolio theory and investment analysis Edwin J. Elton ; Martin J. Gruber 4. ed. New York [u.a.] Wiley 1991 XVI, 736 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Analyse financière Gestion de portefeuille Portfolio management Investment analysis Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Analyse (DE-588)4122795-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio-Investition (DE-588)4175391-4 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Portfoliomanagement (DE-588)4115601-8 s DE-604 Finanzanalyse (DE-588)4133000-6 s Portfolio Selection (DE-588)4046834-3 s DE-188 Analyse (DE-588)4122795-5 s 1\p DE-604 Portfolio-Investition (DE-588)4175391-4 s 2\p DE-604 Gruber, Martin Jay 1937- Verfasser (DE-588)140411135 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003441504&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Elton, Edwin J. Gruber, Martin Jay 1937- Modern portfolio theory and investment analysis Analyse financière Gestion de portefeuille Portfolio management Investment analysis Portfoliomanagement (DE-588)4115601-8 gnd Analyse (DE-588)4122795-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfolio-Investition (DE-588)4175391-4 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4122795-5 (DE-588)4046834-3 (DE-588)4175391-4 (DE-588)4133000-6 (DE-588)4123623-3 |
| title | Modern portfolio theory and investment analysis |
| title_auth | Modern portfolio theory and investment analysis |
| title_exact_search | Modern portfolio theory and investment analysis |
| title_full | Modern portfolio theory and investment analysis Edwin J. Elton ; Martin J. Gruber |
| title_fullStr | Modern portfolio theory and investment analysis Edwin J. Elton ; Martin J. Gruber |
| title_full_unstemmed | Modern portfolio theory and investment analysis Edwin J. Elton ; Martin J. Gruber |
| title_short | Modern portfolio theory and investment analysis |
| title_sort | modern portfolio theory and investment analysis |
| topic | Analyse financière Gestion de portefeuille Portfolio management Investment analysis Portfoliomanagement (DE-588)4115601-8 gnd Analyse (DE-588)4122795-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfolio-Investition (DE-588)4175391-4 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| topic_facet | Analyse financière Gestion de portefeuille Portfolio management Investment analysis Portfoliomanagement Analyse Portfolio Selection Portfolio-Investition Finanzanalyse Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003441504&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT eltonedwinj modernportfoliotheoryandinvestmentanalysis AT grubermartinjay modernportfoliotheoryandinvestmentanalysis |