Modern portfolio theory and investment analysis:
Examining the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, this text stresses the economic intuition behind the subject matter while presenting advanced concepts on investment analysis and portfolio manage...
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| Previous Title: | Elton, Edwin J. Modern portfolio theory and investment analysis |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2007
|
| Edition: | 7. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | Examining the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, this text stresses the economic intuition behind the subject matter while presenting advanced concepts on investment analysis and portfolio management. |
| Physical Description: | XVIII, 728 S. graph. Darst. |
| ISBN: | 9780470050828 0470050829 |
Staff View
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| 250 | |a 7. ed. | ||
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| 300 | |a XVIII, 728 S. |b graph. Darst. | ||
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| 520 | 3 | |a Examining the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, this text stresses the economic intuition behind the subject matter while presenting advanced concepts on investment analysis and portfolio management. | |
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Record in the Search Index
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| adam_text | Contents
Part I INTRODUCTION
Chapter
Outline of the Book
The Economic Theory of Choice: An Illustration Under Certainty
Conclusion
Multiple Assets and Risk
Questions and Problems
Bibliography
Chapter
Types of Marketable Financial Securities
The Return Characteristics of Alternative Security Types
Stock Market Indexes
Bond Market Indexes
Conclusion
Chapter
Trading Mechanics
Margin
Markets
Trade Types and Costs
Conclusion
Bibliography
Part
Section
Chapter
Determining the Average Outcome
A Measure of Dispersion
Variance of Combinations of Assets
Characteristics of Portfolios in General
Two Concluding Examples
Conclusion
Xlii
XIV
CONTENTS
Questions and Problems
Bibliography
Chapter
Combinations of Two Risky Assets Revisited: Short Sales Not Allowed
The Shape of the Portfolio Possibilities Curve
The Efficient Frontier with Riskless Lending and Borrowing
Examples and Applications
Three Examples
Conclusion
Questions and Problems
Bibliography
Chapter
EFFICIENT FRONTIER
Short Sales Allowed with Riskless Lending and Borrowing
Short Sales Allowed: No Riskless Lending and Borrowing
Riskless Lending and Borrowing with Short Sales Not Allowed
No Short Selling and No Riskless Lending and Borrowing
The Incorporation of Additional Constraints
An Example
Conclusion
Appendix A: An Alternative Definition of Short Sales
Appendix B: Determining the Derivative
Appendix C: Solving Systems of Simultaneous Equations
Appendix D: A General Solution
Appendix E: Quadratic Programming and Kuhn-Tucker Conditions
Questions and Problems
Bibliography
Section
Chapter
THE SINGLE-INDEX MODEL
The Inputs to Portfolio Analysis
Single-Index Models: An Overview
Characteristics of the Single-Index Model
Estimating Beta
The Market Model
An Example
Questions and Problems
Bibliography
Chapter
MULTI-INDEX MODELS AND GROUPING TECHNIQUES
Multi-Index Models
Average Correlation Models
Mixed Models
Fundamental Multi-Index Models
Conclusion
Appendix A: Procedure for Reducing Any Multi-Index Model to a
Multi-Index Model with Orthogonal Indexes
Appendix B: Mean Return, variance, and Covariance of a
Multi-Index Model
Questions and Problems
Bibliography
CONTENTS
XV
Chapter
The Single-Index Model
Security Selection with a Purchasable Index
The Constant Correlation Model 1
Other Return Structures
An Example
Conclusion
Appendix A: Single-Index Model
Appendix B: Constant Correlation Coefficient
Appendix C: Single-Index Model with Short Sales Not Allowed
Appendix D: Constant Correlation Coefficient
Not Allowed
Appendix E: Single-Index Model, Short Sales Allowed, and a
Market Asset
Questions and Problems
Bibliography
Section
Chapter
Aggregate Asset Allocatio
Forecasting Individual Security Returns
Portfolio Analysis with Discrete Data
Bibliography
Chapter
IN THE OPPORTUNITY SET
Choosing Directly
An Introduction to Prefrerence Functions
Risk Tolerance Functions
Safety First
Maximizing the Geometric Mean Return
Value at Risk
Utility and the Equity Risk Premium
Optimal Investment Strategies with Investor Liabilities
Liabilities and Safety-First Portfolio Selection
Simulations in Portfolio Choice
Conclusion
Appendix: The Economic Properties of Utility Functions
Questions and Problems
Bibliography
Section
Chapter
The World Portfolio
Calculating the Return on Foreign Investments
The Risk of Foreign Securities
Returns from International Diversification
The Effect of Exchange Risk
Return Expectations and Portfolio Performance
Other Evidence on Internationally Diversified Portfolios
Models for Managing International Portfolios
Conclusion
Questions and Problems
Bibliography
XVI
CONTENTS
Part
MARKETS
Chapter
The Assumptions Underlying the Standard Capital Asset
Pricing Model (CAPM)
The Capital Asset Pricing Model
Prices and the CAPM
Conclusion
Appendix: Appropriateness of the Single Period Asset
Pricing Model
Questions and Problems
Bibliography
Chapter
Short Sales Disallowed
Modifications of Riskless Lending and Borrowing
Personal Taxes
Nonmarketable Assets
Heterogeneous Expectations
Non-Price-Taking Behavior
Multiperiod CAPM
The Consumption-Oriented CAPM
Inflation Risk and Equilibrium
The Multi-Beta CAPM
Conclusion
Appendix: Derivation of the General Equilibrium with Taxes
Questions and Problems
Bibliography
Chapter
The Models
Empirical Tests of the CAPM
Testing Some Alternative Forms of the CAPM Model
Testing the Post-Tax Form of the CAPM Model
Some Reservations about Traditional Tests of General Equilibrium
Relationships and Some New Research
Conclusion
Appendix: Random Errors in Beta and Bias in the Parameters
of the CAPM
Questions and Problems
Bibliography
Chapter
TO EXPLAINING ASSET PRICES
APT—What Is It?
Estimating and Testing APT
APT and CAPM
Recapitulation
Conclusion
Appendix A: A Simple Example of Factor Analysis
Appendix B: Specification of the APT with an Unobserved
Market Factor
Questions and Problems
Bibliography
CONTENTS
XVII
Part
Chapter
Some Background
Tests of Return Predictability
Announcement and Price Return
Methodology of Event Studies
Strong Form Efficiency
Market Rationality
Conclusion
Questions and Problems
Bibliography
Chapter
Discounted Cash Flow Models
Cross-Sectional Regression Analysis
An Ongoing System
Conclusion
Questions and Problems
Bibliography
Chapter
The Elusive Number Called Earnings
The Importance of Earnings
Characteristics of Earnings and Earnings Forecasts
Conclusion
Questions and Problems
Bibliography
Chapter
MAKING, AND ASSET PRICING
Prospect Theory and Decision Making Under Uncertainty
Biases From Laboratory Experiments
Summary of Investor Behavior
Behavrioral Finance and Asset Pricing
Bibliography
Chapter
An Introduction to Debt Securities
The Many Definitions of Rates
Bond Prices and Spot Rates
Determining Spot Rates
The Determinants of Bond Prices
Conclusion
Appendix A: Special Considerations in Bond Pricing
Appendix B: Estimating Spot Rates
Appendix C: Calculating Bond Equivalent Yield and Effective
Annual Yield
Questions and Problems
Bibliography
Chapter
Duration
Protecting Against Term Structure Shifts
Bond Portfolio Management of Yearly Returns
Swaps
399
400
442
469
485
502
540
XVIII
CONTENTS
Appendix A: Duration Measures
Appendix B; Exact Matching Programs
Appendix C: Bond-Swapping Techniques
Appendix D: Convexity
Questions and Problems
Bibliography
Chapter
Types of Options
Some Basic Characteristics of Option Values
Valuation Models
Artificial or Homemade Options
Uses of Options
Conclusion
Appendix A: Derivation of the Binomial Formula
Appendix B: Derivation of the Black-Scholes Formula
Questions and Problems
Bibliography
Chapter
Description of Financial Futures
Valuation of Financial Futures
The Uses of Financial Futures
Nonfinancial Futures and Commodity Funds
Questions and Problems
Bibliography
Part
Chapter
Evaluation Techniques
Decomposition of Overall Evaluation
Multi-Index, APT, and Performance Evaluation
Mutual Fund Performance
Conclusion
Questions and Problems
Bibliography
Chapter
Why the Emphasis on Earnings?
The Evaluation of Earnings Forecasts
Evaluating the Valuation Process
Conclusion
Questions and Problems
Bibliography
Chapter
Managing Stock Portfolios
Active Management
Passive Versus Active
International Diversification
Bond Management
Bond and Stock Investment with
Bibliography
575
613
631
632
682
697
Index
713
|
| adam_txt |
Contents
Part I INTRODUCTION
Chapter
Outline of the Book
The Economic Theory of Choice: An Illustration Under Certainty
Conclusion
Multiple Assets and Risk
Questions and Problems
Bibliography
Chapter
Types of Marketable Financial Securities
The Return Characteristics of Alternative Security Types
Stock Market Indexes
Bond Market Indexes
Conclusion
Chapter
Trading Mechanics
Margin
Markets
Trade Types and Costs
Conclusion
Bibliography
Part
Section
Chapter
Determining the Average Outcome
A Measure of Dispersion
Variance of Combinations of Assets
Characteristics of Portfolios in General
Two Concluding Examples
Conclusion
Xlii
XIV
CONTENTS
Questions and Problems
Bibliography
Chapter
Combinations of Two Risky Assets Revisited: Short Sales Not Allowed
The Shape of the Portfolio Possibilities Curve
The Efficient Frontier with Riskless Lending and Borrowing
Examples and Applications
Three Examples
Conclusion
Questions and Problems
Bibliography
Chapter
EFFICIENT FRONTIER
Short Sales Allowed with Riskless Lending and Borrowing
Short Sales Allowed: No Riskless Lending and Borrowing
Riskless Lending and Borrowing with Short Sales Not Allowed
No Short Selling and No Riskless Lending and Borrowing
The Incorporation of Additional Constraints
An Example
Conclusion
Appendix A: An Alternative Definition of Short Sales
Appendix B: Determining the Derivative
Appendix C: Solving Systems of Simultaneous Equations
Appendix D: A General Solution
Appendix E: Quadratic Programming and Kuhn-Tucker Conditions
Questions and Problems
Bibliography
Section
Chapter
THE SINGLE-INDEX MODEL
The Inputs to Portfolio Analysis
Single-Index Models: An Overview
Characteristics of the Single-Index Model
Estimating Beta
The Market Model
An Example
Questions and Problems
Bibliography
Chapter
MULTI-INDEX MODELS AND GROUPING TECHNIQUES
Multi-Index Models
Average Correlation Models
Mixed Models
Fundamental Multi-Index Models
Conclusion
Appendix A: Procedure for Reducing Any Multi-Index Model to a
Multi-Index Model with Orthogonal Indexes
Appendix B: Mean Return, variance, and Covariance of a
Multi-Index Model
Questions and Problems
Bibliography
CONTENTS
XV
Chapter
The Single-Index Model
Security Selection with a Purchasable Index
The Constant Correlation Model 1
Other Return Structures
An Example
Conclusion
Appendix A: Single-Index Model
Appendix B: Constant Correlation Coefficient
Appendix C: Single-Index Model with Short Sales Not Allowed
Appendix D: Constant Correlation Coefficient
Not Allowed
Appendix E: Single-Index Model, Short Sales Allowed, and a
Market Asset
Questions and Problems
Bibliography
Section
Chapter
Aggregate Asset Allocatio
Forecasting Individual Security Returns
Portfolio Analysis with Discrete Data
Bibliography
Chapter
IN THE OPPORTUNITY SET
Choosing Directly
An Introduction to Prefrerence Functions
Risk Tolerance Functions
Safety First
Maximizing the Geometric Mean Return
Value at Risk
Utility and the Equity Risk Premium
Optimal Investment Strategies with Investor Liabilities
Liabilities and Safety-First Portfolio Selection
Simulations in Portfolio Choice
Conclusion
Appendix: The Economic Properties of Utility Functions
Questions and Problems
Bibliography
Section
Chapter
The World Portfolio
Calculating the Return on Foreign Investments
The Risk of Foreign Securities
Returns from International Diversification
The Effect of Exchange Risk
Return Expectations and Portfolio Performance
Other Evidence on Internationally Diversified Portfolios
Models for Managing International Portfolios
Conclusion
Questions and Problems
Bibliography
XVI
CONTENTS
Part
MARKETS
Chapter
The Assumptions Underlying the Standard Capital Asset
Pricing Model (CAPM)
The Capital Asset Pricing Model
Prices and the CAPM
Conclusion
Appendix: Appropriateness of the Single Period Asset
Pricing Model
Questions and Problems
Bibliography
Chapter
Short Sales Disallowed
Modifications of Riskless Lending and Borrowing
Personal Taxes
Nonmarketable Assets
Heterogeneous Expectations
Non-Price-Taking Behavior
Multiperiod CAPM
The Consumption-Oriented CAPM
Inflation Risk and Equilibrium
The Multi-Beta CAPM
Conclusion
Appendix: Derivation of the General Equilibrium with Taxes
Questions and Problems
Bibliography
Chapter
The Models
Empirical Tests of the CAPM
Testing Some Alternative Forms of the CAPM Model
Testing the Post-Tax Form of the CAPM Model
Some Reservations about Traditional Tests of General Equilibrium
Relationships and Some New Research
Conclusion
Appendix: Random Errors in Beta and Bias in the Parameters
of the CAPM
Questions and Problems
Bibliography
Chapter
TO EXPLAINING ASSET PRICES
APT—What Is It?
Estimating and Testing APT
APT and CAPM
Recapitulation
Conclusion
Appendix A: A Simple Example of Factor Analysis
Appendix B: Specification of the APT with an Unobserved
Market Factor
Questions and Problems
Bibliography
CONTENTS
XVII
Part
Chapter
Some Background
Tests of Return Predictability
Announcement and Price Return
Methodology of Event Studies
Strong Form Efficiency
Market Rationality
Conclusion
Questions and Problems
Bibliography
Chapter
Discounted Cash Flow Models
Cross-Sectional Regression Analysis
An Ongoing System
Conclusion
Questions and Problems
Bibliography
Chapter
The Elusive Number Called Earnings
The Importance of Earnings
Characteristics of Earnings and Earnings Forecasts
Conclusion
Questions and Problems
Bibliography
Chapter
MAKING, AND ASSET PRICING
Prospect Theory and Decision Making Under Uncertainty
Biases From Laboratory Experiments
Summary of Investor Behavior
Behavrioral Finance and Asset Pricing
Bibliography
Chapter
An Introduction to Debt Securities
The Many Definitions of Rates
Bond Prices and Spot Rates
Determining Spot Rates
The Determinants of Bond Prices
Conclusion
Appendix A: Special Considerations in Bond Pricing
Appendix B: Estimating Spot Rates
Appendix C: Calculating Bond Equivalent Yield and Effective
Annual Yield
Questions and Problems
Bibliography
Chapter
Duration
Protecting Against Term Structure Shifts
Bond Portfolio Management of Yearly Returns
Swaps
399
400
442
469
485
502
540
XVIII
CONTENTS
Appendix A: Duration Measures
Appendix B; Exact Matching Programs
Appendix C: Bond-Swapping Techniques
Appendix D: Convexity
Questions and Problems
Bibliography
Chapter
Types of Options
Some Basic Characteristics of Option Values
Valuation Models
Artificial or Homemade Options
Uses of Options
Conclusion
Appendix A: Derivation of the Binomial Formula
Appendix B: Derivation of the Black-Scholes Formula
Questions and Problems
Bibliography
Chapter
Description of Financial Futures
Valuation of Financial Futures
The Uses of Financial Futures
Nonfinancial Futures and Commodity Funds
Questions and Problems
Bibliography
Part
Chapter
Evaluation Techniques
Decomposition of Overall Evaluation
Multi-Index, APT, and Performance Evaluation
Mutual Fund Performance
Conclusion
Questions and Problems
Bibliography
Chapter
Why the Emphasis on Earnings?
The Evaluation of Earnings Forecasts
Evaluating the Valuation Process
Conclusion
Questions and Problems
Bibliography
Chapter
Managing Stock Portfolios
Active Management
Passive Versus Active
International Diversification
Bond Management
Bond and Stock Investment with
Bibliography
575
613
631
632
682
697
Index
713 |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 7. ed. |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV021820292 |
| illustrated | Illustrated |
| index_date | 2024-07-02T15:53:57Z |
| indexdate | 2024-07-09T20:45:23Z |
| institution | BVB |
| isbn | 9780470050828 0470050829 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015032437 |
| oclc_num | 255747662 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-703 DE-91 DE-BY-TUM DE-355 DE-BY-UBR DE-1051 DE-384 DE-92 DE-19 DE-BY-UBM DE-M347 DE-Aug4 DE-521 DE-634 DE-1049 DE-83 DE-11 DE-2070s DE-188 |
| owner_facet | DE-473 DE-BY-UBG DE-703 DE-91 DE-BY-TUM DE-355 DE-BY-UBR DE-1051 DE-384 DE-92 DE-19 DE-BY-UBM DE-M347 DE-Aug4 DE-521 DE-634 DE-1049 DE-83 DE-11 DE-2070s DE-188 |
| physical | XVIII, 728 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Wiley |
| record_format | marc |
| spelling | Modern portfolio theory and investment analysis Edwin J. Elton ... 7. ed. Hoboken, NJ Wiley 2007 XVIII, 728 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Examining the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, this text stresses the economic intuition behind the subject matter while presenting advanced concepts on investment analysis and portfolio management. Beleggingen gtt Portfolio-theorie gtt Investment analysis Portfolio management Portfolio-Investition (DE-588)4175391-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Analyse (DE-588)4122795-5 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 5. Auflage Elton, Edwin J. Modern portfolio theory and investment analysis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015032437&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 Beleggingen gtt Portfolio-theorie gtt Investment analysis Portfolio management Portfolio-Investition (DE-588)4175391-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Analyse (DE-588)4122795-5 gnd |
| subject_GND | (DE-588)4175391-4 (DE-588)4046834-3 (DE-588)4115601-8 (DE-588)4133000-6 (DE-588)4122795-5 (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_exact_search_txtP | 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 | Beleggingen gtt Portfolio-theorie gtt Investment analysis Portfolio management Portfolio-Investition (DE-588)4175391-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Analyse (DE-588)4122795-5 gnd |
| topic_facet | Beleggingen Portfolio-theorie Investment analysis Portfolio management Portfolio-Investition Portfolio Selection Portfoliomanagement Finanzanalyse Analyse Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015032437&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT eltonedwinj modernportfoliotheoryandinvestmentanalysis |