Modern portfolio theory and investment analysis:
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| Previous Title: | Elton, Edwin J. Modern portfolio theory and investment analysis |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
Wiley
2003
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| Edition: | 6. ed. |
| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis |
| Physical Description: | XIV, 705 S. graph. Darst. |
| ISBN: | 0471238546 |
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| _version_ | 1804129317880332288 |
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| adam_text | MODERN
PORTFOLIO THEORY
AND INVESTMENT
ANALYSIS
SIXTH EDITION
EDWIN J ELTON
Leonard N Stern School of Business
New York University
MARTIN J GRUBER
Leonard N Stern School of Business
New York University
STEPHEN J BROWN
Leonard N Stern School of Business
New York University
WILLIAM N GOETZMANN
Yale University
John Wiley amp; Sons, Inc
Contents
Part 1 INTRODUCTION 1
Chapter 1 INTRODUCTION 2
Outline of the Book 2
The Economic Theory of Choice: An Illustration Under Certainty 4
Conclusion 8
Multiple Assets and Risk 8
Questions and Problems 8
Bibliography 10
Chapter 2 FINANCIAL SECURITIES 11
Types of Marketable Financial Securities 11
The Return Characteristics of Alternative Security Types 18
Stock Market Indexes 21
Bond Market Indexes 22
Conclusion 23
Chapter 3 FINANCIAL MARKETS 24
Trading Mechanics 24
Margin 27
•Markets 31
Trade Types and Costs 38
Conclusion 40
Bibliography 40
Part 2 PORTFOLIO ANALYSIS 41
Section 1 MEAN VARIANCE PORTFOLIO THEORY 43
Chapter 4 THE CHARACTERISTICS OF THE OPPORTUNITY SET UNDER RISK 44
Determining the Average Outcome 45
A Measure of Dispersion 46
Variance of Combinations of Assets 49
Characteristics of Portfolios in General 51
Two Concluding Examples 61
Conclusion 64
IX
CONTENTS
Questions and Problems
Bibliography 66
Chapter 5 DELINEATING EFFICIENT PORTFOLIOS 68
Combinations of Two Risky Assets Revisited: Short Sales Not Allowed 68
The Shape of the Portfolio Possibilities Curve 77
The Efficient Frontier with Riskless Lending and Borrowing 84
Examples and Applications 88
Three Examples 92
Conclusion 96
Questions and Problems 96
Bibliography 97
Chapter 6 TECHNIQUES FOR CALCULATING THE EFFICIENT FRONTIER 99
Short Sales Allowed with Riskless Lending and Borrowing 100
Short Sales Allowed: No Riskless Lending and Borrowing 104
Riskless Lending and Borrowing with Short Sales Not Allowed 104
No Short Selling and No Riskless Lending and Borrowing 105
The Incorporation of Additional Constraints 106
An Example 107
Conclusion 110
Appendix A: An Alternative Definition of Short Sales 110
Appendix B: Determining the Derivative 111
Appendix C: Solving Systems of Simultaneous Equations 115
Appendix D: A General Solution 117
Appendix E: Quadratic Programming and Kuhn-Tucker Conditions 122
Questions and Problems 125
Bibliography 126
Section 2 SIMPLIFYING THE PORTFOLIO SELECTION PROCESS 129
Chapter 7 THE CORRELATION STRUCTURE OF SECURITY RETURNS:
THE SINGLE-INDEX MODEL 130
The Inputs to Portfolio Analysis 131
Single-Index Models: An Overview 132
Characteristics of the Single-Index Model 137
Estimating Beta 139
The Market Model 152
An Example 153
Questions and Problems 154
Bibliography 156
Chapter 8 THE CORRELATION STRUCTURE OF SECURITY RETURNS:
MULTI-INDEX MODELS AND GROUPING TECHNIQUES 1 6 1
Multi-Index Models 162
Average Correlation Models 169
Mixed Models 170
Fundamental Multi-Index Models 170
Conclusion 174
Appendix A: Procedure for Reducing Any Multi-Index Model to a
Multi-Index Model with Orthogonal Indexes 174
Appendix B: Mean Return, Variance, and Covariance of a
Multi-Index Model 175
Questions and Problems 177
Bibliography 178
CONTENTS XI
Chapter 9 SIMPLE TECHNIQUES FOR DETERMINING
THE EFFICIENT FRONTIER 182
Section 3
Chapter 10
The Single-Index Model 183
Security Selection with a Purchasable Index 194
The Constant Correlation Model 195
Other Return Structures 198
An Example 198
Conclusion 199
Appendix A: Single-Index Model—Short Sales Allowed 200
Appendix B: Constant Correlation Coefficient—Short Sales Allowed 202
Appendix C: Single-Index Model with Short Sales Not Allowed 203
Appendix D: Constant Correlation Coefficient—Short Sales
Not Allowed 205
Appendix E: Single-Index Model, Short Sales Allowed, and a
Market Asset 206
Questions and Problems 207
Bibliography 208
SELECTING THE OPTIMUM PORTFOLIO 209
210UTILITY ANALYSIS
An Introduction to Preference Functions 211
The Economic Properties of Utility Functions 214
Utility and the Investor Horizon 221
Empirical Evidence on the Suitability of Alternative
Preference Functions 222
Appendix A: An Axiomatic Derivation of the Expected Utility Theorem 223
Appendix B: Absolute and Relative Risk Aversion 226
Questions and Problems 229
Bibliography 230
Chapter 11 OTHER PORTFOLIO SELECTION MODELS 232
Maximizing the Geometric Mean Return 233
Safety First 235
Stochastic Dominance 241
Skewness and Portfolio Analysis 247
Value at Risk (VaR) 248
Conclusion 250
Appendix A: Safety First with Riskless Lending and Borrowing 250
Appendix B: Proof of the Sufficiency of the Stochastic
Dominance Theorems 254
Questions and Problems 256
Bibliography 256
Section 4 WIDENING THE SELECTION UNIVERSE 261
Chapter 12 INTERNATIONAL DIVERSIFICATION 262
The World Portfolio 262
Calculating the Return on Foreign Investments 264
The Risk of Foreign Securities 266
Returns from International Diversification 271
The Effect of Exchange Risk 273
Return Expectations and Portfolio Performance 275 ^ ^
Other Evidence on Internationally Diversified Portfolios 278
Models for Managing International Portfolios 280
xii CONTENTS
Conclusion 285
Questions and Problems
Bibliography 286
Part 3 MODELS OF EQUILIBRIUM IN THE CAPITAL
MARKETS 291
Chapter 13 THE STANDARD CAPITAL ASSET PRICING MODEL 292
The Assumptions Underlying the Standard Capital Asset
Pricing Model (CAPM) 292
The Capital Asset Pricing Model 293
Prices and the CAPM 302
Conclusion 304
Questions and Problems 306
Bibliography 306
Chapter 14 NONSTANDARD FORMS OF CAPITAL ASSET PRICING MODELS 309
Short Sales Disallowed 310
Modifications of Riskless Lending and Borrowing 310
Personal Taxes 320
Nonmarketable Assets 321
Heterogeneous Expectations 324
Non-Price-Taking Behavior 324
Multiperiod CAPM 325
The Consumption-Oriented CAPM 326
Inflation Risk and Equilibrium 327
The Multi-Beta CAPM 327
Conclusion 328
Appendix: Derivation of the General Equilibrium with Taxes 328
Questions and Problems 331
Bibliography 332
Chapter 15 EMPIRICAL TESTS OF EQUILIBRIUM MODELS 338
The Models—Ex-Ante Expectations and Ex-Post Tests 338
Empirical Tests of the CAPM 339
Testing Some Alternative Forms of the CAPM Model 351
Testing the Post-Tax Form of the CAPM Model 351
Some Reservations about Traditional Tests of General Equilibrium
Relationships and Some New Research 355
Conclusion 357
Appendix: Random Errors in Beta and Bias in the Parameters
of the CAPM 358
Questions and Problems 359
Bibliography 360
Chapter 16 THE ARBITRAGE PRICING MODEL APT-V NEW APPROACH
TO EXPLAINING ASSET PRICES 364
APT—What Is It? 364
Estimating and Testing APT 369
APT and CAPM 381
Recapitulation 382
Conclusion 391
Appendix A: A Simple Example of Factor Analysis 391
Appendix B: Specification of the APT with an Unobserved
Market Factor 392
CONTENTS XIII
Part 4
Chapter 17
Chapter 18
Chapter 19
Questions and Problems
Bibliography 394
SECURITY ANALYSIS AND PORTFOLIO THEORY
EFFICIENT MARKETS
Some Background 404
Tests of Return Predictability 406
Announcement and Price Return 422
Methodology of Event Studies 423
Strong Form Efficiency 428
Market Rationality 431
Conclusion 433
Questions and Problems 433
Bibliography 434
THE VALUATION PROCESS
Discounted Cash Flow Models 445
Cross-Sectional Regression Analysis 457
An Ongoing System 461
Conclusion 466
Questions and Problems 466
Bibliography 467
EARNINGS ESTIMATION
The Elusive Number Called Earnings
The Importance of Earnings 474
Characteristics of Earnings and Earnings Forecasts
Conclusion 484
Questions and Problems 485
Bibliography 485
Chapter 20 INTEREST RATE THEORY AND THE PRICING OF BONDS
An Introduction to Debt Securities 488
The Many Definitions of Rates 490
Bond Prices and Spot Rates 497
Determining Spot Rates 499
The Determinants of Bond Prices 501
Conclusion 517
Appendix A: Special Considerations in Bond Pricing
Appendix B: Estimating Spot Rates 517
Appendix C: Calculating Bond Equivalent Yield and Effective
Annual Yield 519
Questions and Problems 520
Bibliography 521
Chapter 21 THE MANAGEMENT OF BOND PORTFOLIOS
Duration 525
Protecting Against Term Structure Shifts 533
Bond Portfolio Management of Yearly Returns
Swaps 546
Appendix A: Duration Measures 548
Appendix B: Exact Matching Programs 552
Appendix C: Bond-Swapping Techniques 554
Appendix D: Convexity 555
XIV CONTENTS
Questions and Problems 556
Bibliography 557
Chapter 22 OPTION PRICING THEORY
Types of Options 560
Some Basic Characteristics of Option Values 566
Valuation Models 571
Artificial or Homemade Options 582
Uses of Options 583
Conclusion 586
Appendix A: Derivation of the Binomial Formula 586 ,
Appendix B: Derivation of the Black-Scholes Formula 589
Questions and Problems 591
Bibliography 592
Chapter 23 THE VALUATION AND USES OF FINANCIAL FUTURES
Description of Financial Futures 598
Valuation of Financial Futures 602
The Uses of Financial Futures 608
Nonfinancial Futures and Commodity Funds 612
Questions and Problems 613
Bibliography 613
Part 5 EVALUATING THE INVESTMENT PROCESS
Chapter 24 EVALUATION OF PORTFOLIO PERFORMANCE
Evaluation Techniques 619
Decomposition of Overall Evaluation 635
Multi-Index, APT, and Performance Evaluation 645
Mutual Fund Performance 651
Conclusion 655
Questions and Problems 655
Bibliography 656
Chapter 25 EVALUATION OF SECURITY ANALYSIS
Why the Emphasis on Earnings? 661
The Evaluation of Earnings Forecasts 662
Evaluating the Valuation Process 669
Conclusion 672
Questions and Problems 673
Bibliography 673
Chapter 26 PORTFOLIO MANAGEMENT REVISITED
Managing Stock Portfolios 676
Active Management 679
Passive Versus Active 680
International Diversification 681
Bond Management 681
Bond and Stock Investment with a Liability Stream 684
Bibliography 689
Index 691
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV014521352 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:03:13Z |
| institution | BVB |
| isbn | 0471238546 |
| language | English |
| lccn | 2002024598 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009886913 |
| oclc_num | 49924982 |
| open_access_boolean | |
| owner | DE-945 DE-19 DE-BY-UBM DE-92 DE-1050 DE-1102 DE-91G DE-BY-TUM DE-858 DE-1047 DE-703 DE-521 DE-11 DE-188 |
| owner_facet | DE-945 DE-19 DE-BY-UBM DE-92 DE-1050 DE-1102 DE-91G DE-BY-TUM DE-858 DE-1047 DE-703 DE-521 DE-11 DE-188 |
| physical | XIV, 705 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Wiley |
| record_format | marc |
| spelling | Modern portfolio theory and investment analysis Edwin J. Elton ... 6. ed. New York, NY Wiley 2003 XIV, 705 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Analyse financière Analyse financière ram Analyse financière rasuqam Gestion de portefeuille Gestion de portefeuille ram Gestion de portefeuille rasuqam Investeringen gtt Marché des capitaux rasuqam Placement financier rasuqam Portfolio-analyse gtt Risque financier rasuqam Théorie du portefeuille rasuqam Portfolio management Investment analysis Portfolio-Investition (DE-588)4175391-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Analyse (DE-588)4122795-5 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 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 Elton, Edwin J. Sonstige oth Bis 5. Auflage Elton, Edwin J. Modern portfolio theory and investment analysis http://www.loc.gov/catdir/description/wiley037/2002024598.html Publisher description http://www.loc.gov/catdir/toc/wiley023/2002024598.html Table of contents HEBIS Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009886913&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 | Modern portfolio theory and investment analysis Analyse financière Analyse financière ram Analyse financière rasuqam Gestion de portefeuille Gestion de portefeuille ram Gestion de portefeuille rasuqam Investeringen gtt Marché des capitaux rasuqam Placement financier rasuqam Portfolio-analyse gtt Risque financier rasuqam Théorie du portefeuille rasuqam Portfolio management Investment analysis Portfolio-Investition (DE-588)4175391-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Analyse (DE-588)4122795-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| subject_GND | (DE-588)4175391-4 (DE-588)4046834-3 (DE-588)4122795-5 (DE-588)4115601-8 (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 ... |
| title_fullStr | Modern portfolio theory and investment analysis Edwin J. Elton ... |
| title_full_unstemmed | Modern portfolio theory and investment analysis Edwin J. Elton ... |
| title_old | Elton, Edwin J. Modern portfolio theory and investment analysis |
| title_short | Modern portfolio theory and investment analysis |
| title_sort | modern portfolio theory and investment analysis |
| topic | Analyse financière Analyse financière ram Analyse financière rasuqam Gestion de portefeuille Gestion de portefeuille ram Gestion de portefeuille rasuqam Investeringen gtt Marché des capitaux rasuqam Placement financier rasuqam Portfolio-analyse gtt Risque financier rasuqam Théorie du portefeuille rasuqam Portfolio management Investment analysis Portfolio-Investition (DE-588)4175391-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Analyse (DE-588)4122795-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| topic_facet | Analyse financière Gestion de portefeuille Investeringen Marché des capitaux Placement financier Portfolio-analyse Risque financier Théorie du portefeuille Portfolio management Investment analysis Portfolio-Investition Portfolio Selection Analyse Portfoliomanagement Finanzanalyse Lehrbuch |
| url | http://www.loc.gov/catdir/description/wiley037/2002024598.html http://www.loc.gov/catdir/toc/wiley023/2002024598.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009886913&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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