Investment science:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
Oxford Univ. Press
2014
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIII, 604 S. graph. Darst. |
| ISBN: | 9780199740086 |
Staff View
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| 100 | 1 | |a Luenberger, David G. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Investment science |c David G. Luenberger |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a New York, NY [u.a.] |b Oxford Univ. Press |c 2014 | |
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Investments -- Mathematical models | |
| 650 | 4 | |a Investment analysis -- Mathematical models | |
| 650 | 4 | |a Cash flow -- Mathematical models | |
| 650 | 4 | |a Interest rates -- Mathematical models | |
| 650 | 4 | |a Derivative securities -- Mathematical models | |
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Record in the Search Index
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| adam_text | Titel: Investment science
Autor: Luenberger, David G
Jahr: 2014
CONTENTS
PREFACE xxi
Chapter 1 INTRODUCTION 1
1.1 Cash Flows 2
1.2 Investments and Markets 3
The Comparison Principle 4
Arbitrage 4
Dynamics 5
Risk Aversion 5
1.3 Typical Investment Problems 6
Pricing 6
Hedging 7
Risk Assessment and Management 8
Pure Investment 8
Other Problems 9
1.4 Organization of the Book 9
Deterministic Cash Flow Streams 9
Single-Period Random Cash Flow Streams 10
Derivative Assets 10
General Cash Flow Streams 11
Part I: DETERMINISTIC CASH FLOW STREAMS
Chapter 2 THE BASIC THEORY OF INTEREST 15
2.1 Principal and Interest 15
Simple Interest 15
Compound Interest 16
Compounding at Various Intervals 17
Continuous Compounding 18
Debt 19
Money Markets 19
2.2 Present Value 20
2.3 Present and Future Values of Streams 21
The Ideal Bank 21
Future Value 21
Present Value 22
ix
X • CONTENTS
Frequent and Continuous Compounding 23
Present Value and an Ideal Bank 23
2.4 Internal Rate of Return 24
2.5 Evaluation Criteria 26
Net Present Value 27
Internal Rate of Return 28
Discussion of the Criteria 28
2.6 Applications and Extensions* 30
Net Flows 30
Cycle Problems 31
Taxes 33
Inflation 34
2.7 Summary 36
Exercises 37
References 41
Chapter 3 FIXED-INCOME SECURITIES 42
3.1 The Market for Future Cash 43
Savings Deposits 43
Money Market Instruments 44
U.S. Government Securities 44
Other Bonds 45
Mortgages 46
Annuities 46
3.2 Value Formulas 46
Perpetual Annuities 47
Finite-Life Streams 48
Running Amortization* 50
Annual Worth* 51
3.3 Bond Details 52
Quality Ratings 53
3.4 Yield 54
Qualitative Nature of Price-Yield Curves 55
Other Yield Measures 58
3.5 Duration 59
Interest Duration 60
Macaulay Duration 60
Explicit Formula* 61
Qualitative Properties of Duration* 61
Duration and Sensitivity 62
Duration of a Portfolio 64
3.6 Immunization 65
3.7 Convexity* 68
3.8 Summary 69
Exercises 71
References 74
CONTENTS
xi
Chapter 4 THE TERM STRUCTURE OF INTEREST RATES 76
4.1 The Yield Curve 76
4.2 The Term Structure 78
Spot Rates 78
Discount Factors and Present Value 79
Determining the Spot Rate 81
4.3 Forward Rates 82
4.4 Term Structure Explanations 85
Expectations Theory 85
Liquidity Preference 86
Market Segmentation 87
Discussion 87
4.5 Expectations Dynamics 88
Spot Rate Forecasts 88
Discount Factors 89
Short Rates 90
Invariance Theorem 91
4.6 Running Present Value 92
4.7 Floating-Rate Bonds 95
4.8 Duration 96
Fisher-Weil Duration 96
Discrete-Time Compounding* 97
4.9 Immunization 98
4.10 Summary 100
Exercises 102
References 106
Chapter 5 APPLIED INTEREST RATE ANALYSIS 107
5.1 Capital Budgeting 108
Independent Projects 108
Interdependent Projects* 111
5.2 Optimal Portfolios 113
The Cash Matching Problem 114
5.3 Dynamic Cash Flow Processes 116
Representation of Dynamic Choice 117
Cash Flows in Graphs 119
5.4 Optimal Management 120
Running Dynamic Programming 120
Examples 123
5.5 The Harmony Theorem* 128
5.6 Valuation of a Firm* 130
Dividend Discount Models 130
Free Cash Flow* 132
5.7 Summary 134
Exercises 136
References 139
xii . CONTENTS
Part II: SINGLE-PERIOD RANDOM CASH FLOWS
Chapter 6 MEAN-VARIANCE PORTFOLIO THEORY 143
6.1 Asset Return 144
Short Sales 144
Portfolio Return 146
6.2 Random Variables 147
Expected Value 148
Variance 149
Several Random Variables 150
Covariance 150
Variance of a Sum 152
6.3 Random Returns 152
Mean-Standard Deviation Diagram 155
6.4 Portfolio Mean and Variance 156
Mean Return of a Portfolio 156
Variance of Portfolio Return 156
Diversification* 157
Diagram of a Portfolio 159
6.5 The Feasible Set 161
The Minimum-Variance Set and the Efficient Frontier 162
6.6 The Markowitz Model 164
Solution of the Markowitz Problem* 165
Nonnegativity Constraints* 168
6.7 The Two-Fund Theorem* 168
6.8 Inclusion of a Risk-Free Asset 171
6.9 The One-Fund Theorem 173
Solution Method* 173
Explicit Solution 175
6.10 Summary 175
Exercises 176
References 179
Chapter 7 THE CAPITAL ASSET PRICING MODEL 180
7.1 Market Equilibrium 180
7.2 The Capital Market Line 182
7.3 The Pricing Model 184
Betas of Common Stocks 187
Beta of a Portfolio 187
7.4 The Security Market Line 187
Systematic Risk 189
7.5 Investment Implications 190
7.6 Performance Evaluation 191
7.7 CAPM as a Pricing Formula 194
Linearity of Pricing and the Certainty Equivalent Form 196
7.8 Project Choice* 198
7.9 Projection Pricing
Minimum Norm Pricing*
7.10 Correlation Pricing
7.11 Summary
Exercises
References
Chapter 8 OTHER PRICING MODELS
8.1 Introduction
8.2 Factor Models
Single-Factor Model
Portfolio Parameters
Multifactor Models
Selection of Factors
8.3 The CAPM as a Factor Model
The Characteristic Line
8.4 Arbitrage Pricing Theory*
Simple Version of APT
Well-Diversified Portfolios
General APT
APT and CAPM
8.5 Projection Pricing with Factors
8.6 A Multiperiod Fallacy
8.7 Summary
Exercises
References
Chapter 9 DATA AND STATISTICS
9.1 Basic Estimation Methods
Period-Length Effects
Mean Blur
9.2 Estimation of Other Parameters
Estimation of a
a Blur
9.3 The Effect of Estimation Errors
Three Views
Maximum Tangent
Compounding Effect
9.4 Conservative Approaches
Better Estimates*
9.5 Tilting Away From Equilibrium*
9.6 Summary
Exercises
References
Chapter 10 RISK MEASURES
10.1 Value at Risk
CONTENTS • xiii
200
202
203
206
207
211
213
213
213
214
215
219
219
220
221
223
223
225
226
227
227
229
230
232
234
235
235
236
238
240
240
241
242
243
245
248
248
249
250
252
253
255
257
258
xiv - CONTENTS
Properties of VaR 260
Capital Requirement 260
10.2 Computation of Value at Risk 261
Model-Based Method 261
Other Models 264
Shortcut for Discrete Distributions 264
Empirical Approach for Market Risk* 265
10.3 Criticisms of VaR 266
Diversification Failure 266
Poor Assessment of Risk 267
Discontinuous Value 268
10.4 Coherent Risk Measures 269
10.5 Conditional Value at Risk 270
10.6 Coherent Characterization* 272
10.7 Convexity* 274
10.8 Summary 275
Exercises 275
References 277
Chapter 11 GENERAL PRINCIPLES 279
11.1 Introduction 279
11.2 Utility Functions 279
Equivalent Utility Functions 281
11.3 Risk Aversion 282
Derivatives 284
Risk Aversion Coefficients 284
Certainty Equivalent 284
11.4 Specification of Utility Functions* 285
Direct Measurement of Utility 285
Parameter Families 287
Questionnaire Method 288
11.5 Utility Functions and the Mean-Variance Criterion* 288
Quadratic Utility 288
Normal Returns 290
11.6 Linear Pricing 291
Type A Arbitrage 291
Portfolios 292
Type B Arbitrage 292
11.7 Portfolio Choice 293
11.8 Arbitrage Bounds 296
11.9 Zero-Level Pricing 297
11.10 Log-Optimal Pricing* 299
11.11 Finite State Models 301
Completeness 302
State Prices 302
Positive State Prices 302
CONTENTS • XV
11.12 Risk-Neutral Pricing 304
11.13 Summary 306
Exercises 308
References 311
Partili: DERIVATIVE SECURITIES
Chapter 12 FORWARDS, FUTURES, AND SWAPS 315
12.1 Pricing Principles 316
12.2 Forward Contracts 318
Forward Interest Rates 319
12.3 Forward Prices 319
Costs of Carry 322
Tight Markets 324
Investment Assets 325
12.4 The Value of a Forward Contract 326
12.5 Swaps* 327
Value of a Commodity Swap 327
Value of an Interest Rate Swap 329
12.6 Basics of Futures Contracts 329
12.7 Futures Prices 332
12.8 Relation to Expected Spot Price* 335
12.9 The Perfect Hedge 336
12.10 The Minimum-Variance Hedge 336
12.11 Optimal Hedging* 340
12.12 Hedging Nonlinear Risk* 341
12.13 Summary 345
Exercises 346
References 349
Chapter 13 MODELS OF ASSET DYNAMICS 350
13.1 Binomial Lattice Model 351
13.2 The Additive Model 353
Normal Price Distribution 354
13.3 The Multiplicative Model 355
Lognormal Prices 355
Real Stock Distributions 356
13.4 Typical Parameter Values* 357
13.5 Lognormal Random Variables 358
13.6 Random Walks and Wiener Processes 359
Generalized Wiener Processes and Ito Processes 361
13.7 A Stock Price Process 362
Lognormal Prices 363
Standard Ito Form 363
Simulation 365
13.8 Ito s Lemma* 366
xvi . CONTENTS
13.9 Binomial Lattice Revisited 368
13.10 Summary 370
Exercises 370
References 373
Chapter 14 BASIC OPTIONS THEORY 374
14.1 Option Concepts 375
14.2 The Nature of Option Values 377
Time Value of Options 379
Other Factors Affecting the Value of Options 379
14.3 Option Combinations and Put-Call Parity 380
Put-Call Parity 381
14.4 Early Exercise 382
14.5 Single-Period Binomial Options Theory 383
14.6 Multiperiod Options 386
No Early Exercise* 389
14.7 More General Binomial Problems 389
Put Options 389
Dividend and Term Structure Problems* 391
Futures Options* 391
14.8 Evaluating Real Investment Opportunities 393
Real Options 397
Linear Pricing 399
14.9 General Risk-Neutral Pricing* 401
14.10 Three-principle Power 402
Decomposition of the Pricing Principles 403
14.11 Summary 403
Exercises 404
References 408
Chapter 15 ADDITIONAL OPTIONS TOPICS 410
15.1 Introduction 410
15.2 The Black-Scholes Equation 410
Proof of the Black-Scholes Equation* 412
Self-Financing Strategies* 414
15.3 Call Option Formula 414
15.4 Risk-Neutral Valuation* 416
15.5 Delta 417
15.6 Replication, Synthetic Options, and Portfolio Insurance* 419
15.7 Volatility Smiles 422
Equality of Implied Volatilities 423
Risk-Neutral Probability Density* 424
15.8 Computational Methods 425
Monte Carlo Simulation 426
Finite-Difference Methods 427
Binomial and Trinomial Lattices 429
CONTENTS - xvii
15.9 Exotic Options 431
Pricing* 433
15.10 Comparison of Methods 434
15.11 Storage Costs and Dividends* 435
Binomial Form 435
Brownian Motion Form* 436
15.12 Martingale Pricing* 437
15.13 Axioms and Black-Scholes 438
Market Price of Risk 440
15.14 Summary 440
Exercises 442
References 446
Chapter 16 INTEREST RATE DERIVATIVES 448
16.1 Examples of Interest Rate Derivatives 448
16.2 The Need for a Theory 450
16.3 The Binomial Approach 451
Implied Term Structure 452
No Arbitrage Opportunities 454
16.4 Pricing Applications 455
Bond Derivatives 455
Forwards and Futures* 455
Futures* 457
16.5 Leveling and Adjustable-Rate Loans* 457
Adjustable-Rate Loans 458
16.6 The Forward Equation 461
16.7 Matching the Term Structure 464
The Ho-Lee Model 464
The Black-Derman-Toy Model 465
Matching Implied Volatilities 465
16.8 Immunization 467
16.9 Collateralized Mortgage Obligations* 469
16.10 Models of Interest Rate Dynamics* 473
16.11 Continuous-Time Solutions* 474
The Backward Equation 475
Affine Processes* 476
Risk-Neutral Pricing Formula 477
16.12 Extensions 477
16.13 Summary 478
Exercises 479
References 482
Chapter 17 CREDIT RISK 483
17.1 The Classic Merton Model 484
Probability of Default 486
Credit Spread 486
xviii • CONTENTS
17.2 First Passage Times 487
Lattice Methods 488
Early Default* 490
Coupons* 491
17.3 Rating Methods 492
17.4 Intensity (Reduced-Form) Model 493
Poisson Processes 493
Inhomogeneous Process 495
17.5 Stochastic Intensity Model* 495
17.6 Intermediate Receipts 496
17.7 Analytically Tractable Cox Processes 497
Model Fitting 497
17.8 Simulation 498
Direct Simulation 498
A Better Way 499
17.9 Lattice Methods 500
17.10 Correlated Defaults 503
17.11 Credit Derivatives 505
Bonds and Loans 506
Credit Default Swaps (CDS s) 506
Forwards and Options on CDS s 508
Total Return Swaps (TRS s) 508
Collateralized Debt Obligations (CDO s) 509
17.12Summary 511
Exercises 512
References 513
Part IV: GENERAL CASH FLOW STREAMS
Chapter 18 OPTIMAL PORTFOLIO GROWTH 517
18.1 The Investment Wheel 517
Analysis of the Wheel 519
18.2 The Log Utility Approach to Growth 519
Log Utility Form 521
Examples 521
18.3 Properties of the Log-Optimal Strategy* 525
18.4 Alternative Approaches* 526
Other Utility 526
18.5 Continuous-Time Growth 528
Dynamics of Several Stocks 528
Portfolio Dynamics 529
Implications for Growth 530
The Portfolio of Maximum Growth Rate 530
18.6 The Feasible Region 531
CONTENTS . xix
The Efficient Frontier 531
Inclusion of a Risk-Free Asset 532
18.7 The Log-Optimal Pricing Formula* 536
Market Data 539
18.8 Log-Optimal Pricing and the Black-Scholes
Equation* 540
18.9 Summary 541
Exercises 542
References 546
Chapter 19 GENERAL INVESTMENT EVALUATION 547
19.1 General Present Value 547
Projects and Opportunities 548
19.2 Multiperiod Securities* 548
Assets 549
Portfolio Strategies 549
Arbitrage 550
Short-Term Risk-Free Rates 550
19.3 Risk-Neutral Pricing 550
19.4 Optimal Pricing 552
The Single-Period Problem 552
Applications 553
19.5 The Double Lattice 555
19.6 Pricing in a Double Lattice 557
19.7 Investments with Private Uncertainty 560
General Approach 562
19.8 Buying Price Analysis 566
Certainty Equivalent and Exponential Utility 567
Sequential Calculation of CE 568
Multiperiod Case 569
General Approach 570
19.9 Pricing Axioms for Continuous Time 572
Option Formula 575
Risk-Neutral Form 575
Alternative Forms 575
19.10 Summary 576
Exercises 576
References 578
Appendix A BASIC PROBABILITY THEORY 579
A.l General Concepts 579
A.2 Normal Random Variables 580
A.3 Lognormal Random Variables 581
XX • CONTENTS
Appendix B CALCULUS AND OPTIMIZATION 583
B.l Functions 583
B.2 Differential Calculus 584
B.3 Optimization 585
ANSWERS TO EXERCISES 588
INDEX
594
|
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| author_sort | Luenberger, David G. |
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| building | Verbundindex |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 21 |
| dewey-search | 332.6 21 |
| dewey-sort | 3332.6 221 |
| dewey-tens | 330 - Economics |
| discipline | Agrar-/Forst-/Ernährungs-/Haushaltswissenschaft / Gartenbau Wirtschaftswissenschaften |
| edition | 2. ed. |
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| id | DE-604.BV041107975 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:39:48Z |
| institution | BVB |
| isbn | 9780199740086 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026084244 |
| oclc_num | 930951480 |
| open_access_boolean | |
| owner | DE-20 DE-945 DE-523 DE-1043 |
| owner_facet | DE-20 DE-945 DE-523 DE-1043 |
| physical | XXIII, 604 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| spelling | Luenberger, David G. Verfasser aut Investment science David G. Luenberger 2. ed. New York, NY [u.a.] Oxford Univ. Press 2014 XXIII, 604 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Investments -- Mathematical models Investment analysis -- Mathematical models Cash flow -- Mathematical models Interest rates -- Mathematical models Derivative securities -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Investitionstheorie (DE-588)4162257-1 gnd rswk-swf Investitionstheorie (DE-588)4162257-1 s DE-604 Portfolio Selection (DE-588)4046834-3 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026084244&sequence=000001&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 | Luenberger, David G. Investment science Mathematisches Modell Investments -- Mathematical models Investment analysis -- Mathematical models Cash flow -- Mathematical models Interest rates -- Mathematical models Derivative securities -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Investitionstheorie (DE-588)4162257-1 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4046834-3 (DE-588)4162257-1 |
| title | Investment science |
| title_auth | Investment science |
| title_exact_search | Investment science |
| title_full | Investment science David G. Luenberger |
| title_fullStr | Investment science David G. Luenberger |
| title_full_unstemmed | Investment science David G. Luenberger |
| title_short | Investment science |
| title_sort | investment science |
| topic | Mathematisches Modell Investments -- Mathematical models Investment analysis -- Mathematical models Cash flow -- Mathematical models Interest rates -- Mathematical models Derivative securities -- Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Investitionstheorie (DE-588)4162257-1 gnd |
| topic_facet | Mathematisches Modell Investments -- Mathematical models Investment analysis -- Mathematical models Cash flow -- Mathematical models Interest rates -- Mathematical models Derivative securities -- Mathematical models Portfolio Selection Investitionstheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026084244&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT luenbergerdavidg investmentscience |