Investments and portfolio management:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
McGraw-Hill/Irwin
2011
|
| Ausgabe: | 9. ed., global ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 8. ed. u.d.T.: Bodie, Zvi: Investments |
| Beschreibung: | 1022, 14, 20 S. graph. Darst. |
| ISBN: | 9780071289146 9780077134501 |
Internformat
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| 245 | 1 | 0 | |a Investments and portfolio management |c Zvi Bodie ; Alex Kane ; Alan J. Marcus |
| 250 | |a 9. ed., global ed. | ||
| 264 | 1 | |a New York, NY |b McGraw-Hill/Irwin |c 2011 | |
| 300 | |a 1022, 14, 20 S. |b graph. Darst. | ||
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| adam_text | IMAGE 1
CONTENTS
PREFACE 16
PARTI
INTRODUCTION 29
CHAPTER 1
THE INVESTMENT ENVIRONMENT 29 1.1 REAL ASSETS VERSUS FINANCIAL ASSETS 30
1.2 FINANCIAL ASSETS 32 1.3 FINANCIAL MARKETS AND THE ECONOMY 33
THE INFORMATIONAL ROLE OF FINANCIAL MARKETS / CONSUMPTION TIMING /
ALLOCATION OF RISK / SEPARATION OF OWNERSHIP AND MANAGEMENT / CORPORATE
GOVERNANCE AND CORPORATE ETHICS 1.4 THE INVESTMENT PROCESS 36 1.5
MARKETS ARE COMPETITIVE 37
THE RISK-RETURN TRADE-OFF / EFFICIENT MARKETS 1.6 THE PLAYERS 39
FINANCIAL INTERMEDIARIES / INVESTMENT BANKERS 1.7 THE FINANCIAL CRISIS
OF 2008 42
ANTECEDENTS OF THE CRISIS / CHANGES IN HOUSING FINANCE / MORTGAGE
DERIVATIVES / CREDIT DEFAULT SWAPS / THE RISE OF SYSTEMIC RISK / THE
SHOE DROPS / SYSTEMIC RISK AND THE REAL ECONOMY 1.8 OUTLINE OF THE TEXT
51
END OF CHAPTER MATERIAL 52-55
CHAPTER 2
ASSET CLASSES AND FINANCIAL INSTRUMENTS 56 2.1 THE MONEY MARKET 57
TREASURY BILLS / CERTIFICATES OF DEPOSIT / COMMERCIAL PAPER / BANKERS
ACCEPTANCES / EURODOLLARS / REPOS AND
REVERSES / FEDERAL FUNDS / BROKERS CALLS /THE LIBOR MARKET / YIELDS ON
MONEY MARKET INSTRUMENTS
2.2 THE BOND MARKET 62 TREASURY NOTES AND BONDS / INFLATION-PROTECTED
TREASURY BONDS / FEDERAL AGENCY DEBT / INTERNATIONAL BONDS / MUNICIPAL
BONDS / CORPORATE BONDS / MORTGAGES AND MORTGAGE-BACKED SECURITIES , ,
2.3 EQUITY SECURITIES 69 COMMON STOCK AS OWNERSHIP SHARES /
CHARACTERISTICS OF COMMON STOCK / STOCK MARKET LISTINGS / PREFERRED
STOCK / DEPOSITORY RECEIPTS 2.4 STOCK AND BOND MARKET INDEXES 72
STOCK MARKET INDEXES / DOW JONES AVERAGES / STANDARD & POOR S
INDEXES/OTHER U.S. MARKET-VALUE INDEXES/ EQUALLY WEIGHTED INDEXES /
FOREIGN AND INTERNATIONAL STOCK MARKET INDEXES / BOND MARKET INDICATORS
2.5 DERIVATIVE MARKETS 79
OPTIONS / FUTURES CONTRACTS END OF CHAPTER MATERIAL 82-86
CHAPTER 3
HOW SECURITIES ARE TRADED 87 3.1 HOW FIRMS ISSUE SECURITIES 87
INVESTMENT BANKING / SHELF REGISTRATION / PRIVATE PLACEMENTS /INITIAL
PUBLIC OFFERINGS
3.2 HOW SECURITIES ARE TRADED 91 TYPES OF MARKETS DIRECT SEARCH MARKETS
/ BROKERED MARKETS / DEALER MARKETS / AUCTION MARKETS TYPES OF ORDERS
MARKET ORDERS / PRICE-CONTINGENT ORDERS TRADING MECHANISMS DEALER
MARKETS / ELECTRONIC COMMUNICATION NETWORKS (ECNS)/SPECIALIST MARKETS
3.3 U.S. SECURITIES MARKETS 96
NASDAQ / THE NEW YORK STOCK EXCHANGE BLOCK SALES /ELECTRONIC TRADING ON
THE NYSE/SETTLEMENT ELECTRONIC COMMUNICATION NETWORKS / THE NATIONAL
MARKET SYSTEM/BOND TRADING
IMAGE 2
CONTENTS
3.4 MARKET STRUCTURE IN OTHER COUNTRIES 102 LONDON / EURONEXT / TOKYO /
GLOBALIZATION AND CONSOLIDATION OF STOCK MARKETS 3.5 TRADING COSTS 104
3.6 BUYING ON MARGIN 104 3.7 SHORT SALES 107 3.8 REGULATION OF
SECURITIES MARKETS 110
SELF-REGULATION/THE SARBANES-OXLEY ACT / INSIDER TRADING END OF CHAPTER
MATERIAL 114-119
CHAPTER 4
MUTUAL FUNDS AND OTHER INVESTMENT COMPANIES 120 4.1 INVESTMENT COMPANIES
120 4.2 TYPES OF INVESTMENT COMPANIES 121
UNIT INVESTMENT TRUSTS /MANAGED INVESTMENT COMPANIES / OTHER INVESTMENT
ORGANIZATIONS COMMINGLED FUNDS / REAL ESTATE INVESTMENT TRUSTS (REITS)
/HEDGE FUNDS 4.3 MUTUAL FUNDS 124
INVESTMENT POLICIES MONEY MARKET FUNDS /EQUITY FUNDS /SECTOR FUNDS /
BOND FUNDS /INTERNATIONAL FUNDS /BALANCED FUNDS / ASSET ALLOCATION AND
FLEXIBLE FUNDS/INDEX FUNDS HOW FUNDS ARE SOLD 4.4 COSTS OF INVESTING IN
MUTUAL FUNDS 127
FEE STRUCTURE OPERATING EXPENSES / FRONT-END LOAD / BACK-END LOAD/12B-1
CHARGES FEES AND MUTUAL FUND RETURNS / LATE TRADING AND MARKET TIMING
4.5 TAXATION OF MUTUAL FUND INCOME 131 4.6 EXCHANGE-TRADED FUNDS 132 4.7
MUTUAL FUND INVESTMENT PERFORMANCE:
A FIRST LOOK 134 4.8 INFORMATION ON MUTUAL FUNDS 137 END OF CHAPTER
MATERIAL 140-144
PART II
PORTFOLIO THEORY
AND PRACTICE 145 CHAPTER 5
INTRODUCTION TO RISK, RETURN, AND THE HISTORICAL RECORD 145 5.1
DETERMINANTS OF THE LEVEL OF INTEREST RATES. * 146 REAL AND NOMINAL
RATES OF INTEREST / THE EQUILIBRIUM
REAL RATE OF INTEREST /THE EQUILIBRIUM NOMINAL RALE OF INTEREST / TAXES
AND THE REAL RATE OF INTEREST
5.21 COMPARING RATES OF RETURN FOR DIFFERENT HOLDING PERIODS 150 ANNUAL
PERCENTAGE RATES / CONTINUOUS COMPOUNDING 5.3 BILLS AND INFLATION,
1926-2009 153 5.4 RISK AND RISK PREMIUMS 155
HOLDING-PERIOD RETURNS / EXPECTED RETURN AND STANDARD DEVIATION / EXCESS
RETURNS AND RISK PREMIUMS 5.5 TIME SERIES ANALYSIS OF PAST RATES OF
RETURN 158 TIME SERIES VERSUS SCENARIO ANALYSIS / EXPECTED RETURNS
AND THE ARITHMETIC AVERAGE / THE GEOMETRIC (TIME- WEIGHTED) AVERAGE
RETURN / VARIANCE AND STANDARD DEVIATION / THE R&VARD-LO-VOLATILITY
(SHARPE) RATIO 5.6 THE NORMAL DISTRIBUTION 162
5.7 DEVIATIONS FROM NORMALITY AND RISK MEASURES 164 VALUE AT RISK /
EXPECTED SHORTFALL / LOWER PARTIAL STANDARD DEVIATION AND THE SORTINO
RATIO 5.8 HISTORIC RETURNS ON RISKY PORTFOLIOS: EQUITIES
AND LONG-TERM GOVERNMENT BONDS 167 TOTAL RETURNS /EXCESS
RETURNS/PERFORMANCE/A GLOBAL VIEW OF THE HISTORICAL RECORD 5.9 LONG-TERM
INVESTMENTS 175
RISK IN THE LONG RUN AND THE LOGNONNAL DISTRIBUTION / THE SHARPE RATIO
REVISITED /SIMULATION OFLONG-TENN FUTURE RATES OF RETURN / FORECASTS FOR
THE LONG HAUL END OF CHAPTER MATERIAL 182-187
CHAPTER 6
RISK AVERSION AND CAPITAL ALLOCATION TO RISKY ASSETS 188 6.1 RISK AND
RISK AVERSION 189 RISK, SPECULATION, AND GAMBLING /RISK AVERSION
AND UTILITY VALUES / ESTIMATING RISK AVERSION 6.2 CAPITAL ALLOCATION
ACROSS RISKY AND RISK-FREE PORTFOLIOS 195 6.3 THE RISK-FREE ASSET 197
6.4 PORTFOLIOS OF ONE RISKY ASSET AND A RISK-FREE
ASSET 198
6.5 RISK TOLERANCE AND ASSET ALLOCATION 202 NONNORMAL RETURNS 6.6
PASSIVE STRATEGIES: THE CAPITAL MARKET LINE 207 END OF CHAPTER MATERIAL
210-218
APPENDIX A: RISK AVERSION, EXPECTED UTILITY, AND THE ST. PETERSBURG
PARADOX 219 APPENDIX B: UTILITY FUNCTIONS AND EQUILIBRIUM PRICES OF
INSURANCE CONTRACTS 222
CHAPTER 7
OPTIMAL RISKY PORTFOLIOS 224 7.1 DIVERSIFICATION AND PORTFOLIO RISK 225
7.2 PORTFOLIOS OF TWO RISKY ASSETS 227
IMAGE 3
CONTENTS
73 ASSET ALLOCATION WITH STOCKS, BONDS, AND BILLS 234 . - THE OPTIMAL
RISKY PORTFOLIO WITH TWO RISKY ASSETS AND A RISK-FREE ASSET 7.4 THE
MARKOWITZ PORTFOLIO SELECTION MODEL 239
SECURITY SELECTION / CAPITAL ALLOCATION AND THE SEPARATION PROPERTY /
THE POWER OF DIVERSIFICATION /ASSET ALLOCATION AND SECURITY SELECTION /
OPTIMAL PORTFOLIOS AND NONNORMAL RETURNS 7.5 RISK POOLING, RISK SHARING,
AND THE RISK
OF LONG-TERM INVESTMENTS 248 RISK POOLING AND THE INSURANCE PRINCIPLE /
RISK POOLING / RISK SHARING / INVESTMENT FOR THE LONG RUN
END OF CHAPTER MATERIAL 252-262 * APPENDIX A: A SPREADSHEET MODEL FOR
EFFICIENT DIVERSIFICATION 262 APPENDIX B: REVIEW OF PORTFOLIO STATISTICS
267
CHAPTER 8
INDEX MODELS 274
8.1 A SINGLE-FACTOR SECURITY MARKET 275 THE INPUT LIST OF THE MARKOWITZ
MODEL / NORMALITY OF RETURNS AND SYSTEMATIC RISK 8.2 THE SINGLE-INDEX
MODEL 277
THE REGRESSION EQUATION OF THE SINGLE-INDEX MODEL/ THE EXPECTED
RETURN-BETA RELATIONSHIP /RISK AND COVARIANCE IN THE SINGLE-INDEX
MODEL/THE SET OF ESTIMATES NEEDED FOR THE SINGLE-INDEX MODEL/THE
INDEX MODEL AND DIVERSIFICATION 8.3 ESTIMATING THE SINGLE-INDEX MODEL
282 THE SECURITY CHARACTERISTIC LINE FOR HEWLETT-PACKARD / THE
EXPLANATORY POWER OF THE SCLFOR HP I ANALYSIS
OF VARIANCE / THE ESTIMATE OF ALPHA / THE ESTIMATE OF BETA /
FIRM-SPECIFIC RISK / CORRELATION AND COVARIANCE MATRIX 8.4 PORTFOLIO
CONSTRUCTION AND THE SINGLE-INDEX
MODEL 289 ALPHA AND SECURITY ANALYSIS / THE INDEX PORTFOLIO AS AN
INVESTMENT ASSET / THE SINGLE-INDEX-MODEL INPUT LIST / THE OPTIMAL RISKY
PORTFOLIO OF THE SINGLE-INDEX MODEL/ * THE INFORMATION RATIO /SUMMARY OF
OPTIMIZATION
PROCEDURE /AN EXAMPLE
RISK PREMIUM FORECASTS / THE OPTIMAL RISKY PORTFOLIO 8.5 PRACTICAL
ASPECTS OF PORTFOLIO MANAGEMENT WITH THE INDEX MODEL 296
IS THE INDEX MODEL INFERIOR TO THE FULL-COVARIANCE MODEL?/ THE INDUSTRY
VERSION OF THE INDEX MODEL / PREDICTING BETAS /INDEX MODELS AND TRACKING
PORTFOLIOS END OF CHAPTER MATERIAL 302-307
PART III
EQUILIBRIUM IN CAPITAL
MARKETS 308 CHAPTER 9
THE CAPITAL ASSET PRICING MODEL 308 9.1 THE CAPITAL ASSET PRICING MODEL
308 WHY DO ALL INVESTORS HOLD THE MARKET PORTFOLIO? / THE PASSIVE
STRATEGY IS EFFICIENT / THE RISK PREMIUM OF
THE MARKET PORTFOLIO I EXPECTED RETURNS ON INDIVIDUAL SECURITIES / THE
SECURITY MARKET LINE 9.2 THE CAPM AND THE INDEX MODEL 321 ACTUAL RETURNS
VERSUS EXPECTED RETURNS /THE INDEX
MODEL AND REALIZED RETURNS / THE INDEX MODEL AND THE EXPECTED
RETURN-BETA RELATIONSHIP 9.3 IS THE CAPM PRACTICAL? 324 IS THE CAPM
TESTABLE?/THE CAPM FAILS EMPIRICAL
TESTS / THE ECONOMY AND THE VALIDITY OF THE CAPM/THE INVESTMENTS
INDUSTRY AND THE VALIDITY OF THE CAPM 9.4 ECONOMETRICS AND THE EXPECTED
RETURN-BETA RELATIONSHIP 328 9.5 EXTENSIONS OF THE CAPM 329
THE ZERO-BETA MODEL / LABOR INCOME AND NONTRADED ASSETS / A MULTIPERIOD
MODEL AND HEDGE PORTFOLIOS / , A CONSUMPTION-BASED CAPM 9.6 LIQUIDITY
AND THE CAPM 334
END OF CHAPTER MATERIAL 338-345
CHAPTER 10
ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN 346
10.1 MULTIFACTOR MODELS: AN OVERVIEW 347 FACTOR MODELS OF SECURITY
RETURNS /A MULTIFACTOR * -
SECURITY MARKET LINE 10.2 ARBITRAGE PRICING THEORY 351 .
ARBITRAGE, RISK ARBITRAGE, AND EQUILIBRIUM / WELL- DIVERSIFIED
PORTFOLIOS / BETAS AND EXPECTED RETURNS / THE ONE-FACTOR SECURITY MARKET
LINE 10.3 INDIVIDUAL ASSETS AND THE APT 358
THE APT AND THE CAPM 10.4 A MULTIFACTOR APT 359 10.5 WHERE SHOULD WE
LOOK FOR FACTORS? 361 THE FAMA-FRENCH (FF) THREE-FACTOR MODEL 10.6 A
MULTIFACTOR CAPM AND THE APT 364 * * * *
END OF CHAPTER MATERIAL 364-370
10
IMAGE 4
CONTENTS
CHAPTER 11
THE EFFICIENT MARKET HYPOTHESIS 371 11.1 RANDOM WALKS AND THE EFFICIENT
MARKET HYPOTHESIS 372 COMPETITION AS THE SOURCE OF EFFICIENCY / VERSIONS
OF THE
EFFICIENT MARKET HYPOTHESIS 11.2 IMPLICATIONS OF THE EMH 376 TECHNICAL
ANALYSIS / FUNDAMENTAL ANALYSIS /ACTIVE VERSUS
PASSIVE PORTFOLIO MANAGEMENT / THE ROLE OF PORTFOLIO MANAGEMENT IN AN
EFFICIENT MARKET / RESOURCE ALLOCATION 11.3 EVENT STUDIES 381 11.4 ARE
MARKETS EFFICIENT? 384
THE ISSUES THE MAGNITUDE ISSUE / THE SELECTION BIAS ISSUE / THE LUCKY
EVENT ISSUE WEAK-FORM TESTS: PATTERNS IN STOCK RETURNS
RETURNS OVER SHORT HORIZONS /RETURNS OVER LONG HORIZONS PREDICTORS OF
BROAD MARKET RETURNS / SEMISTRONG TESTS: MARKET ANOMALIES
THE SMALL-FINN-IN-JANUARY EFFECT / THE NEGLECTED- FIRM EFFECT AND
LIQUIDITY EFFECTS / BOOK-TO-MARKET RATIOS / POST-EARNINGS-ANNOUNCEMENT
PRICE DRIFT STRONG-FORM TESTS: INSIDE INFORMATION / INTERPRETING
THE ANOMALIES RISK PREMIUMS OR INEFFICIENCIES? /ANOMALIES OR DATA
MINING?
BUBBLES AND MARKET EFFICIENCY 11.5 MUTUAL FUND AND ANALYST PERFORMANCE
396 SLOCK MARKET ANALYSTS / MUTUAL FUND MANAGERS /
SO, ARE MARKETS EFFICIENT?
END OF CHAPTER MATERIAL 401^108
CHAPTER 12 ^
BEHAVIORAL FINANCE AND TECHNICAL ANALYSIS 409 12.1 THE BEHAVIORAL
CRITIQUE 410 INFORMATION PROCESSING .
FORECASTING ERRORS / OVERCONFIDENCE / CONSERVATISM / SAMPLE SIZE NEGLECT
AND REPRESENTATIVENESS BEHAVIORAL BIASES FRAMING /MENTAL ACCOUNTING
/REGRET AVOIDANCE /
PROSPECT THEORY LIMITS TO ARBITRAGE FUNDAMENTAL RISK / IMPLEMENTATION
COSTS / MODEL RISK LIMITS TO ARBITRAGE AND THE LAW OF ONE PRICE
SIAMESE TWIN COMPANIES/EQUITY CARVC-OUTS/ CLOSED-END FUNDS
BUBBLES AND BEHAVIORAL ECONOMICS / EVALUATING THE BEHAVIORAL CRITIQUE
12.2 TECHNICAL ANALYSIS AND BEHAVIORAL FINANCE 420 TRENDS AND
CORRECTIONS
DOW THEORY / MOVING AVERAGES / BREADTH SENTIMENT INDICATORS TRIN
STATISTIC / CONFIDENCE INDEX / PUT/CALL RATIO A WARNING
END OF CHAPTER MATERIAL 428^434
CHAPTER 13
EMPIRICAL EVIDENCE ON SECURITY RETURNS 435 13.1 THE INDEX MODEL AND THE
SINGLE-FACTOR APT 436 THE EXPECTED RETURN-BETA RELATIONSHIP
SETTING UP THE SAMPLE DATA /ESTIMATING THE SCL/ ESTIMATING THE SML TESTS
OF THE CAPM / THE MARKET INDEX/MEASUREMENT ERROR IN BETA / THE EMH AND
THE CAPM / ACCOUNTING FOR
HUMAN CAPITAL AND CYCLICAL VARIATIONS IN ASSET BETAS/ ACCOUNTING FOR
NONTRADED BUSINESS 13.2 TESTS OF MULTIFACTOR CAPM AND APT 445 A MACRO
FACTOR MODEL
13.3 THE FAMA-FRENCH THREE-FACTOR MODEL 447 RISK-BASED INTERPRETATIONS /
BEHAVIORAL EXPLANATIONS / MOMENTUM: A FOURTH FACTOR
13.4 LIQUIDITY AND ASSET PRICING 454 LIQUIDITY AND EFFICIENT MARKET
ANOMALIES 13.5 CONSUMPTION-BASED ASSET PRICING AND THE EQUITY PREMIUM
PUZZLE 456
CONSUMPTION GROWTH AND MARKET RATES OF RETURN / EXPECTED VERSUS REALIZED
RETURNS /SURVIVORSHIP BIAS / EXTENSIONS TO THE CAPM MAY RESOLVE THE
EQUITY
PREMIUM PUZZLE / LIQUIDITY AND THE EQUITY PREMIUM PUZZLE / BEHAVIORAL
EXPLANATIONS OF THE EQUITY PREMIUM PUZZLE END OF CHAPTER MATERIAL
463-466
PART IV
FIXED-INCOME SECURITIES 467
CHAPTER 14 * *
BOND PRICES AND YIELDS 467
14.1 BOND CHARACTERISTICS 468 TREASURY BONDS AND NOTES ACCRUED INTEREST
AND QUOTED BOND PRICES
11
IMAGE 5
CONTENTS
CORPORATE BONDS CALL PROVISIONS ON CORPORATE BONDS / CONVERTIBLE BONDS
/PUT TABLE BONDS /FLOATING-RATE BONDS
PREFERRED STOCK / OTHER ISSUERS / INTERNATIONAL BONDS / INNOVATION IN
THE BOND MARKET INVERSE FLOATERS /ASSET-BACKED BONDS / CATASTROPHE BONDS
/ INDEXED BONDS 14.2 BOND PRICING 474
BOND PRICING BETWEEN COUPON DATES 14.3 BOND YIELDS 479 YIELD TO MATURITY
/ YIELD TO CALL / REALIZED COMPOUND
RETURN VERSUS YIELD TO MATURITY 14.4 BOND PRICES OVER TIME 484 YIELD TO
MATURITY VERSUS HOLDING-PERIOD RETURN /ZERO- COUPON BONDS AND TREASURY
STRIPS /AFTER-TAX RETURNS 14.5 DEFAULT RISK AND BOND PRICING 489
JUNK BONDS / DETERMINANTS OF BOND SAFETY / BOND INDENTURES SINKING FUNDS
/ SUBORDINATION OF FURTHER DEBT / DIVIDEND RESTRICTIONS / COLLATERAL
YIELD TO MATURITY AND DEFAULT RISK / CREDIT DEFAULT SWAPS / CREDIT RISK
AND COLLATERALIZED DEBT OBLIGATIONS END OF CHAPTER MATERIAL 500-507
CHAPTER 15
THE TERM STRUCTURE OF INTEREST RATES 508
15.1 THE YIELD CURVE 508 BOND PRICING 15.2 THE YIELD CURVE AND FUTURE
INTEREST RATES 511 THE YIELD CURVE UNDER CERTAINTY / HOLDING-PERIOD
RETURNS / FORWARD RATES 15.3 INTEREST RATE UNCERTAINTY AND FORWARD RATES
516 15.4 THEORIES OF THE TERM STRUCTURE 518 THE EXPECTATIONS HYPOTHESIS
/ LIQUIDITY PREFERENCE 15.5 INTERPRETING THE TERM STRUCTURE 522
15.6 FORWARD RATES AS FORWARD CONTRACTS 525 END OF CHAPTER MATERIAL
527-535
CHAPTER 16
MANAGING BOND PORTFOLIOS 536 16.1 INTEREST RATE RISK 537 INTEREST RATE
SENSITIVITY / DURATION / WHAT,DETERMINES DURATION?
RULE I FOR DURATION / RULE 2 FOR DURATION / RULE 3 FOR DURATION I RULE 4
FOR DURATION / RULE 5 FOR DURATION
16.2 CONVEXITY 546 WHY DO INVESTORS LIKE CONVEXITY? / DURATION AND
CONVEXITY OF CALLABLE BONDS / DURATION AND CONVEXITY OF MORTGAGE-BACKED
SECURITIES 16.3 PASSIVE BOND MANAGEMENT 554
BOND-INDEX FUNDS IIMMUNIZATION /CASH FLOW MATCHING AND DEDICATION /
OTHER PROBLEMS WITH CONVENTIONAL IMMUNIZATION 16.4 ACTIVE BOND
MANAGEMENT 563
SOURCES OF POTENTIAL PROFIT/HORIZON ANALYSIS END OF CHAPTER MATERIAL
566-575
PARTY
OPTIONS, FUTURES, AND
OTHER DERIVATIVES 576 CHAPTER 17 OPTIONS MARKETS: INTRODUCTION 576
17.1 THE OPTION CONTRACT 577 OPTIONS TRADING/AMERICAN AND EUROPEAN
OPTIONS/ ADJUSTMENTS IN OPTION CONTRACT TERMS / THE OPTIONS CLEARING
CORPORATION / OTHER LISTED OPTIONS
INDEX OPTIONS / FUTURES OPTIONS / FOREIGN CURRENCY OPTIONS / INTEREST
RATE OPTIONS
17.2 VALUES OF OPTIONS AT EXPIRATION 583 CALL OPTIONS /PUT OPTIONS /
OPTION VERSUS STOCK INVESTMENTS
17.3 OPTION STRATEGIES 587 PROTECTIVE PUT / COVERED CALLS / STRADDLE /
SPREADS / COLLARS
17.4 THE PUT-CALL PARITY RELATIONSHIP 596
17.5 OPTION-LIKE SECURITIES 599 CALLABLE BONDS / CONVERTIBLE SECURITIES
/ WARRANTS / COLLATERALIZED LOANS / LEVERED EQUITY AND RISKY DEBT
17.6 FINANCIAL ENGINEERING 605 17.7 EXOTIC OPTIONS 607 ASIAN OPTIONS I
BARRIER OPTIONS 1 LOOKBACK OPTIONS I CURRENCY-TRANSLATED OPTIONS
/DIGITAL OPTIONS
END OF CHAPTER MATERIAL 608-619
CHAPTER 18
OPTION VALUATION 620 18.1 OPTION VALUATION: INTRODUCTION 620 INTRINSIC
AND TIME VALUES / DETERMINANTS OF OPTION VALUES
12
IMAGE 6
CONTENTS
18.2 RESTRICTIONS ON OPTION VALUES 623 RESTRICTIONS ON THE VALUE OF A
CALL OPTION/EARLY EXERCISE AND DIVIDENDS / EARLY EXERCISE OF AMERICAN
PUTS
18.3 BINOMIAL OPTION PRICING 627
TWO-STATE OPTION PRICING / GENERALIZING THE TWO-STATE APPROACH
18.4 BLACK-SCHOLES OPTION VALUATION 633
THE BLACK-SCHOLES FORMULA /DIVIDENDS AND CALL OPTION VALUATION /PUT
OPTION VALUATION/DIVIDENDS AND PUT OPTION VALUATION
18.5 USING THE BLACK-SCHOLES FORMULA 642 HEDGE RATIOS AND THE
BLACK-SCHOLES FORMULA / PORTFOLIO INSURANCE / HEDGING BETS ON MISPRICED
OPTIONS
18.6 EMPIRICAL EVIDENCE ON OPTION PRICING 652 END OF CHAPTER MATERIAL
653-663
CHAPTER 19
FUTURES MARKETS 664 19.1 THE FUTURES CONTRACT 665 THE BASICS OF FUTURES
CONTRACTS / EXISTING CONTRACTS 19.2 TRADING MECHANICS 669
THE CLEARINGHOUSE AND OPEN INTEREST /THE MARGIN ACCOUNT AND MARKING TO
MARKET / CASH VERSUS ACTUAL DELIVERY / REGULATIONS / TAXATION 19.3
FUTURES MARKETS STRATEGIES 675
HEDGING AND SPECULATION /BASIS RISK AND HEDGING 19.4 FUTURES PRICES 679
THE SPOT-FUTURES PARITY THEOREM / SPREADS / FORWARD VERSUS FUTURES
PRICING 19.5 FUTURES PRICES VERSUS EXPECTED SPOT PRICES 685
EXPECTATION HYPOTHESIS /NORMAL BACKWARDATION / CONTANGO / MODERN
PORTFOLIO THEORY END OF CHAPTER MATERIAL 687-692
CHAPTER 20
FUTURES, SWAPS, AND RISK MANAGEMENT 693 20.1 FOREIGN EXCHANGE FUTURES
693 THE MARKETS / INTEREST RATE PARITY / DIRECT VERSUS INDIRECT
QUOTES / USING FUTURES TO MANAGE EXCHANGE RATE RISK
20.2 STOCK-INDEX FUTURES 700 THE CONTRACTS / CREATING SYNTHETIC STOCK
POSITIONS: AN * ASSET ALLOCATION TOOL/INDEX ARBITRAGE / USING INDEX
FUTURES TO HEDGE MARKET RISK
20.3 INTEREST RATE FUTURES 707 HEDGING INTEREST RATE RISK
20.4 SWAPS 709 SWAPS AND BALANCE SHEET RESTRUCTURING / THE SWAP
DEALER/OTHER INTEREST RATE CONTRACTS/SWAP PRICING/ CREDIT RISK IN THE
SWAP MARKET / CREDIT DEFAULT SWAPS 20.5 COMMODITY FUTURES PRICING 715
PRICING WITH STORAGE COSTS / DISCOUNTED CASH FLOW ANALYSIS FOR COMMODITY
FUTURES END OF CHAPTER MATERIAL 719-727
PART VI
SECURITY ANALYSIS 728
CHAPTER 21 _
MACROECONOMIC AND INDUSTRY ANALYSIS 728 21.1 THE GLOBAL ECONOMY 729 21.2
THE DOMESTIC MACROECONOMY 731 21.3 DEMAND AND SUPPLY SHOCKS 733 21.4
FEDERAL GOVERNMENT POLICY 734
FISCAL POLICY / MONETARY POLICY / SUPPLY-SIDE POLICIES 21.5 BUSINESS
CYCLES 737 THE BUSINESS CYCLE / ECONOMIC INDICATORS / OTHER
INDICATORS
21.6 INDUSTRY ANALYSIS 742 DEFINING AN INDUSTRY/SENSITIVITY TO THE
BUSINESS CYCLE/ SECTOR ROTATION /INDUSTRY LIFE CYCLES START-UP STAGE /
CONSOLIDATION STAGE /MATURITY STAGE /
RELATIVE DECLINE INDUSTRY STRUCTURE AND PERFORMANCE THREAT OF ENTRY /
RIVALRY BETWEEN EXISTING COMPETITORS/
PRESSURE FROM SUBSTITUTE PRODUCTS /BARGAINING POWER OF BUYERS /
BARGAINING POWER OF SUPPLIERS END OF CHAPTER MATERIAL 754-762
CHAPTER 22
EQUITY VALUATION MODELS 763 22.1 VALUATION BY COMPARABLES 763
LIMITATIONS OF BOOK VALUE 22.2 INTRINSIC VALUE VERSUS MARKET PRICE 766
22.3 DIVIDEND DISCOUNT MODELS 767
THE CONSTANT-GROWTH DDMICONVERGENCE OF PRICE TO INTRINSIC VALUE/STOCK
PRICES AND INVESTMENT OPPORTUNITIES I LIFE CYCLES AND MULTISTAGE GROWTH
MODELS / MULTISTAGE GROWTH MODELS 22.4 PRICE-EARNINGS RATIO 781
THE PRICE-EARNINGS RATIO AND GROWTH OPPORTUNITIES / P/E RATIOS AND STOCK
RISK / PITFALLS IN PIE ANALYSIS /
13
IMAGE 7
CONTENTS
COMBINING P/E ANALYSIS AND THE DDM / OTHEN COMPARATIVE VALUATION RATIOS
PRICE-TO-BOOK RATIO / PRICE-TO-CASH-FLOW RATIO/ PRICE-TO-SALES RATIO
22.5 FREE CASH FLOW VALUATION APPROACHES 789
COMPARING THE VALUATION MODELS 22.6 THE AGGREGATE STOCK MARKET 793
EXPLAINING PAST BEHAVIOR/ FORECASTING THE STOCK MARKET END OF CHAPTER
MATERIAL 795-806
CHAPTER 23
FINANCIAL STATEMENT ANALYSIS 807 23.1 THE MAJOR FINANCIAL STATEMENTS 807
THE INCOME STATEMENT/ THE BALANCE SHEET/ THE STATEMENT OF CASH FLOWS
23.2 ACCOUNTING VERSUS ECONOMIC EARNINGS 812 23.3 PROFITABILITY MEASURES
812
PAST VERSUS FUTURE ROE / FINANCIAL LEVERAGE, AND ROE 23.4 RATIO ANALYSIS
815 DECOMPOSITION OF ROE / TURNOVER AND OTHER ASSET UTILIZATION RATIOS /
LIQUIDITY RATIOS / MARKET PRICE
RATIOS: GROWTH VERSUS VALUE / CHOOSING A BENCHMARK 23.5 ECONOMIC VALUE
ADDED 824 23.6 AN ILLUSTRATION OF FINANCIAL STATEMENT ANALYSIS . 826
23.7 COMPARABILITY PROBLEMS 828
INVENTORY VALUATION / DEPRECIATION / INFLATION AND INTEREST EXPENSE /
FAIR VALUE ACCOUNTING / QUALITY OF EARNINGS / INTERNATIONAL ACCOUNTING
CONVENTIONS 23.8 VALUE INVESTING: THE GRAHAM TECHNIQUE 834 END OF
CHAPTER MATERIAL 835-846
PART VII
APPLIED PORTFOLIO
MANAGEMENT 847 CHAPTER 24
PORTFOLIO PERFORMANCE EVALUATION 847 24.1 THE CONVENTIONAL THEORY OF
PERFORMANCE EVALUATION 847 AVERAGE RATES OF RETURN I TIME-WEIGHTED
RETURNS VERSUS
DOLLAR-WEIGHTED RETURNS /ADJUSTING RETURNS FOR RISK / THE M 2 MEASURE OF
PERFORMANCE I SHARPE S MEASURE AS THE CRITERION FOR OVERALL PORTFOLIOS
/ APPROPRIATE PERFORMANCE MEASURES IN TWO SCENARIOS
JANE S PORTFOLIO REPRESENTS HER ENTIRE RISKY INVESTMENT FUND/ JANE S
CHOICE PORTFOLIO IS ONE
OF MANY PORTFOLIOS COMBINED INTO A LARGE INVESTMENT FUND THE ROLE OF
ALPHA IN PERFORMANCE MEASURES / ACTUAL PERFORMANCE MEASUREMENT: AN
EXAMPLE /REALIZED RETURNS VERSUS EXPECTED RETURNS 24.2 PERFORMANCE
MEASUREMENT FOR HEDGE FUNDS 858 24.3 PERFORMANCE MEASUREMENT WITH
CHANGING PORTFOLIO
COMPOSITION 861 24.4 MARKET TIMING 862 THE POTENTIAL VALUE OF MARKET
TIMING / VALUING MARKET TIMING AS A CALL OPTION / THE VALUE OF IMPERFECT
FORECASTING 24.5 STYLE ANALYSIS 868 STYLE ANALYSIS AND MULTIFACTOR
BENCHMARKS/STYLE ANALYSIS IN EXCEL
24.6 MORNINGSTAR S RISK-ADJUSTED RATING 872 24.7 EVALUATING PERFORMANCE
EVALUATION 873 24.8 PERFORMANCE ATTRIBUTION PROCEDURES 874 ASSET
ALLOCATION DECISIONS /SECTOR AND SECURITY
SELECTION DECISIONS / SUMMING UP COMPONENT CONTRIBUTIONS END OF CHAPTER
MATERIAL 880-890
CHAPTER 25
INTERNATIONAL DIVERSIFICATION 891 25.1 GLOBAL MARKETS FOR EQUITIES 892
DEVELOPED COUNTRIES / EMERGING MARKETS / MARKET CAPITALIZATION AND GDP
/HOME-COUNTRY
BIAS
25.2 RISK FACTORS IN INTERNATIONAL INVESTING 896 EXCHANGE RATE RISK I
POLITICAL RISK 25.3 INTERNATIONAL INVESTING: RISK, RETURN, AND BENEFITS
FROM DIVERSIFICATION 903
RISK AND RETURN: SUMMARY STATISTICS /ARE INVESTMENTS IN EMERGING MARKETS
RISKIER? /AVERAGE COUNTRY-INDEX RETURNS AND CAPITAL ASSET PRICING THEORY
/ BENEFITS FROM INTERNATIONAL DIVERSIFICATION /MISLEADING
REPRESENTATION OF DIVERSIFICATION BENEFITS / REALISTIC BENEFITS FROM
INTERNATIONAL DIVERSIFICATION /ARE BENEFITS FROM INTERNATIONAL
DIVERSIFICATION PRESERVED IN BEAR MARKETS?
25 A ASSESSING THE POTENTIAL OF INTERNATIONAL DIVERSIFICATION 916 25.5
INTERNATIONAL INVESTING AND PERFORMANCE ATTRIBUTION 921
CONSTRUCTING A BENCHMARK PORTFOLIO OF FOREIGN ASSETS / PERFORMANCE
ATTRIBUTION END OF CHAPTER MATERIAL 925-930
14
IMAGE 8
CONTENTS
CHAPTER 26
HEDGE FUNDS 931
26.1 HEDGE FUNDS VERSUS MUTUAL FUNDS 932 26.2 HEDGE FUND STRATEGIES 933
DIRECTIONAL AND NONDIRECTIONAL STRATEGIES /STATISTICAL ARBITRAGE
26.3 PORTABLE ALPHA 936
AN EXAMPLE OF A PURE PLAY
26.4 STYLE ANALYSIS FOR HEDGE FUNDS 938
26.5 PERFORMANCE MEASUREMENT FOR HEDGE FUNDS 940
LIQUIDITY AND HEDGE FUND PERFORMANCE /HEDGE FUND PERFORMANCE AND
SURVIVORSHIP BIAS / HEDGE FUND PERFORMANCE AND CHANGING FACTOR LOADINGS
/ TAIL EVENTS AND HEDGE FUND PERFORMANCE
26.6 FEE STRUCTURE IN HEDGE FUNDS 947 END OF CHAPTER MATERIAL 949-953
CHAPTER 27
THE THEORY OF ACTIVE PORTFOLIO MANAGEMENT 954 27.1 OPTIMAL PORTFOLIOS
AND ALPHA VALUES 954 FORECASTS OF ALPHA VALUES AND EXTREME PORTFOLIO
WEIGHTS /
RESTRICTION OF BENCHMARK RISK 27.2 THE TREYNOR-BIACK MODEL AND FORECAST
PRECISION 961
ADJUSTING FORECASTS FOR THE PRECISION OF ALPHA / DISTRIBUTION OF ALPHA
VALUES / ORGANIZATIONAL STRUCTURE AND PERFORMANCE 27.3 THE
BLACK-LITTCRMAN MODEL 965
A SIMPLE ASSET ALLOCATION DECISION / STEP 1: THE COVARIANCE MATRIX FROM
HISTORICAL DATA /STEP 2: DETERMINATION OF A BASELINE FORECAST / STEP 3:
INTEGRATING THE MANAGER S PRIVATE VIEWS /STEP 4: REVISED (POSTERIOR)
EXPECTATIONS / STEP 5: PORTFOLIO OPTIMIZATION
27.4 TREYNOR-BLACK VERSUS BLACK-LITTERMAN: COMPLEMENTS, NOT SUBSTITUTES
971 THE BL MODEL AS ICING ON THE TB CAKE / WHY NOT REPLACE THE ENTIRE TB
CAKE WITH THE BL ICING?
27.5 THE VALUE OF ACTIVE MANAGEMENT 973 A MODEL FOR THE ESTIMATION OF
POTENTIAL FEES / RESULTS FROM THE DISTRIBUTION OF ACTUAL INFORMATION
RATIOS/ RESULTS FROM DISTRIBUTION OF ACTUAL FORECASTS /RESULTS
WITH REASONABLE FORECASTING RECORDS
27.6 CONCLUDING REMARKS ON ACTIVE MANAGEMENT 976 END OF CHAPTER MATERIAL
977 APPENDIX A: FORECASTS AND REALIZATIONS OF ALPHA 978 APPENDIX B: THE
GENERAL BLACK-LITTERMAN MODEL 978
CHAPTER 28
INVESTMENT POLICY AND THE FRAMEWORK OF THE CFA INSTITUTE 980 28.1 THE
INVESTMENT MANAGEMENT PROCESS 981 OBJECTIVES/INDIVIDUAL
INVESTORS/PERSONAL TRUSTS/
MUTUAL FUNDS / PENSION FUNDS / ENDOWMENT FUNDS / LIFE INSURANCE
COMPANIES /NON-LIFE INSURANCE COMPANIES / BANKS 28.2 CONSTRAINTS 985
LIQUIDITY / INVESTMENT HORIZON / REGULATIONS / TAX CONSIDERATIONS /
UNIQUE NEEDS 28.3 POLICY STATEMENTS 987 SAMPLE POLICY STATEMENTS FOR
INDIVIDUAL INVESTORS
28.4 ASSET ALLOCATION 995 TAXES AND ASSET ALLOCATION 28.5 MANAGING
PORTFOLIOS OF INDIVIDUAL INVESTORS 997 HUMAN CAPITAL AND INSURANCE
/INVESTMENT IN RESIDENCE /
SAVING FOR RETIREMENT AND THE ASSUMPTION OF RISK/ RETIREMENT PLANNING
MODELS / MANAGE YOUR OWN PORTFOLIO OR RELY ON OTHERS? / TAX SHELTERING
THE TAX-DEFERRAL OPTION / TAX-DEFERRED RETIREMENT PLANS /DEFERRED
ANNUITIES / VARIABLE AND UNIVERSAL LIFE INSURANCE 28.6 PENSION FUNDS
1003
DEFINED CONTRIBUTION PLANS/DEFINED BENEFIT PLANS/ ALTERNATIVE
PERSPECTIVES ON DEFINED BENEFIT PENSION OBLIGATIONS / PENSION INVESTMENT
STRATEGIES INVESTING IN EQUITIES / WRONG REASONS TO INVEST
IN EQUITIES
28.7 INVESTMENTS FOR THE LONG RUN 1007 ADVICE FROM THE MUTUAL FUND
INDUSTRY / TARGET INVESTING AND THE TERM STRUCTURE OF BONDS /MAKING
SIMPLE INVESTMENT CHOICES /INFLATION RISK AND LONG-TERM INVESTORS
END OF CHAPTER MATERIAL 1010-1020
REFERENCES TO CFA PROBLEMS 1021 GLOSSARY G-L NAME INDEX 1-1 SUBJECT
INDEX 1-4
15
|
| any_adam_object | 1 |
| author | Bodie, Zvi 1943- Kane, Alex 1942- Marcus, Alan J. |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 9. ed., global ed. |
| format | Book |
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| id | DE-604.BV037375508 |
| illustrated | Illustrated |
| indexdate | 2024-08-01T10:53:35Z |
| institution | BVB |
| isbn | 9780071289146 9780077134501 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-022528752 |
| oclc_num | 730004938 |
| open_access_boolean | |
| owner | DE-1043 DE-863 DE-BY-FWS DE-1049 DE-19 DE-BY-UBM |
| owner_facet | DE-1043 DE-863 DE-BY-FWS DE-1049 DE-19 DE-BY-UBM |
| physical | 1022, 14, 20 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | McGraw-Hill/Irwin |
| record_format | marc |
| spellingShingle | Bodie, Zvi 1943- Kane, Alex 1942- Marcus, Alan J. Investments and portfolio management Investments Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4046834-3 (DE-588)4073213-7 |
| title | Investments and portfolio management |
| title_auth | Investments and portfolio management |
| title_exact_search | Investments and portfolio management |
| title_full | Investments and portfolio management Zvi Bodie ; Alex Kane ; Alan J. Marcus |
| title_fullStr | Investments and portfolio management Zvi Bodie ; Alex Kane ; Alan J. Marcus |
| title_full_unstemmed | Investments and portfolio management Zvi Bodie ; Alex Kane ; Alan J. Marcus |
| title_short | Investments and portfolio management |
| title_sort | investments and portfolio management |
| topic | Investments Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| topic_facet | Investments Portfolio management Portfoliomanagement Portfolio Selection Kapitalanlage |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022528752&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bodiezvi investmentsandportfoliomanagement AT kanealex investmentsandportfoliomanagement AT marcusalanj investmentsandportfoliomanagement |
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