Portfolio theory and investment management:
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford u.a.
Blackwell
1994
|
| Edition: | 2. ed. |
| Series: | Blackwell business
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VII, 181 S. graph. Darst. |
| ISBN: | 0631191828 0855206217 |
Staff View
MARC
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| 100 | 1 | |a Dobbins, Richard |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Portfolio theory and investment management |c Richard Dobbins , Stephen F. Witt and John Fielding |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Oxford u.a. |b Blackwell |c 1994 | |
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Record in the Search Index
| _version_ | 1804124223690506240 |
|---|---|
| adam_text | Contents
List of Figures vi
List of Tables viii
Preface ix
1 The revolution in portfolio theory: a summary 1
Introduction 1
The capital asset pricing model 1
Return 5
Risk 6
Diversification 12
The efficient market hypothesis 16
Modern investment management 18
The traditional approach to investment management:
a note 19
Further reading 20
2 The mean variance approach to portfolio management 22
Uncertainty and utility theory 22
The Markowitz mean variance formulation 24
Objections to the Markowitz model 36
International portfolio diversification 37
Conclusions 41
Appendix: axioms of rational investor behaviour 42
Further reading 44
iv Contents
3 The capital asset pricing model 45
Assumptions 45
The market model 45
Risk free assets and the capital market line 48
The capital asset pricing model 53
Individual securities and the security market line 57
Relaxing the assumptions 60
Measurement of portfolio performance 63
A critique of the capital asset pricing model 65
Further reading 68
4 The efficient market hypothesis: the early evidence 69
Introduction 69
Weak form tests of the EMH 70
Semi strong form tests of the EMH 74
Strong form tests of the EMH 78
Stock market inefficiency 80
Conclusion 82
Further reading 82
5 Implications of the efficient market hypothesis 83
Introduction 83
Implications for individual security selection 84
Implications for portfolio management 89
Implications for financial management 95
Beating the EMH 108
Other market inefficiencies 109
Further reading 109
6 The efficient market hypothesis revisited: some recent
developments 110
Introduction HO
Anomalies HI
Psychological issues H7
Alternatives to the efficient market model 121
Power of the tests of the efficient market hypothesis 123
Excess volatility 125
Mean reversion 127
Return forecasting regressions 12
Alternatives to the capital asset pricing model 130
Summary 132
1 ^^
Further readinp 1 J
Contents v
7 Risk measurement services 134
Available risk measurement services 134
The London Business School s Risk Measurement
Service 134
Measuring the risk and return of individual shares 135
Measuring the risk and return of portfolios 140
The stability of betas 144
Portfolio management 146
Further reading 148
8 Option pricing theory 149
Introduction 149
Option markets 151
Factors affecting the price of an option 152
The Black Scholes option valuation formula 154
Implications of option pricing theory for corporate
financial policy 156
Further reading 157
9 Concluding comments 158
Appendix: study questions 159
References 167
Author index 175
Subject index 177
Figures
Figure 1.1 Security market line 3
Figure 1.2 Risk is the one in six rule 6
Figure 1.3 Risk reduction by diversification 7
Figure 1.4 Measuring security betas 10
Figure 1.5 Characteristic line 11
Figure 1.6 Markowitz mean variance approach 13
Figure 1.7 Capital market line 15
Figure 2.1 Markowitz efficient frontier 28
Figure 2.2 Selection of the optimal portfolio 29
Figure 2.3 Attainable and efficient portfolios (example) 31
Figure 2.4 Geometric representation of portfolios 32
Figure 2.5 Set of iso mean lines 33
Figure 2.6 Set of iso variance curves 34
Figure 2.7 Interaction of iso mean lines and iso variance
curves 35
Figure 3.1 Characteristic line 47
Figure 3.2 Capital market line 49
Figure 3.3 Security market line 59
Figure 3.4 Security market line: risk premium form 59
Figure 3.5 Capital market line: different lending and bor¬
rowing rates 61
Figure 3.6 Incorrect evaluation of performance caused by
inaccurate assessment of portfolio risk level 66
Figure 3.7 Incorrect evaluation of performance caused by
incorrect positioning of security market line 67
Figure 5.1 Portfolio selection 93
Figures vii
Figure 5.2 Trade off between risk and return 96
Figure 5.3 Classification of projects into risk categories 98
Figure 5.4 Leverage with corporation tax and liquidation
costs 107
Figure 8.1 Gain/loss arising from call option contract
(example) 150
Tables
Table 2.1 Two asset portfolios with varying correlations
(example) 31
Table 2.2 Groups of countries considered in previous
research 39
Table 7.1 Risk and return measures for selected
companies 139
Table 7.2 Portfolio composition (example) 142
Table A.I (Untitled) 165
|
| any_adam_object | 1 |
| author | Dobbins, Richard Witt, Stephen F. Fielding, John |
| author_facet | Dobbins, Richard Witt, Stephen F. Fielding, John |
| author_role | aut aut aut |
| author_sort | Dobbins, Richard |
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| building | Verbundindex |
| bvnumber | BV009866053 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4529 |
| callnumber-raw | HG4529.5.D62 1994 |
| callnumber-search | HG4529.5.D62 1994 |
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| callnumber-subject | HG - Finance |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 332.6 20 |
| dewey-search | 332.6 332.6 20 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV009866053 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:42:15Z |
| institution | BVB |
| isbn | 0631191828 0855206217 |
| language | English |
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| physical | VII, 181 S. graph. Darst. |
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| publisher | Blackwell |
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| spelling | Dobbins, Richard Verfasser aut Portfolio theory and investment management Richard Dobbins , Stephen F. Witt and John Fielding 2. ed. Oxford u.a. Blackwell 1994 VII, 181 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Blackwell business Analyse financière ram Gestion de portefeuille ram Gestion de portefeuilles ram Portfolio-theorie gtt Portfolio management Investment analysis Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 s Portfolio Selection (DE-588)4046834-3 s DE-604 Portfoliomanagement (DE-588)4115601-8 s 1\p DE-604 Witt, Stephen F. Verfasser aut Fielding, John Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006533185&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 |
| spellingShingle | Dobbins, Richard Witt, Stephen F. Fielding, John Portfolio theory and investment management Analyse financière ram Gestion de portefeuille ram Gestion de portefeuilles ram Portfolio-theorie gtt Portfolio management Investment analysis Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4073213-7 (DE-588)4115601-8 |
| title | Portfolio theory and investment management |
| title_auth | Portfolio theory and investment management |
| title_exact_search | Portfolio theory and investment management |
| title_full | Portfolio theory and investment management Richard Dobbins , Stephen F. Witt and John Fielding |
| title_fullStr | Portfolio theory and investment management Richard Dobbins , Stephen F. Witt and John Fielding |
| title_full_unstemmed | Portfolio theory and investment management Richard Dobbins , Stephen F. Witt and John Fielding |
| title_short | Portfolio theory and investment management |
| title_sort | portfolio theory and investment management |
| topic | Analyse financière ram Gestion de portefeuille ram Gestion de portefeuilles ram Portfolio-theorie gtt Portfolio management Investment analysis Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Analyse financière Gestion de portefeuille Gestion de portefeuilles Portfolio-theorie Portfolio management Investment analysis Portfolio Selection Kapitalanlage Portfoliomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006533185&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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