Fundamental models in financial theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass. [u.a.]
MIT Press
2014
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIII, 477 S. graph. Darst. |
| ISBN: | 9780262026673 |
Internformat
MARC
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| 245 | 1 | 0 | |a Fundamental models in financial theory |c Doron Peleg |
| 264 | 1 | |a Cambridge, Mass. [u.a.] |b MIT Press |c 2014 | |
| 300 | |a XIII, 477 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Investments |x Mathematical models | |
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Datensatz im Suchindex
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| adam_text | Contents
Foreword
xi
I THE TIME VALUE OF CAPITAL
1
1
Introduction
3
A. Models in Financial Theory
3
B. The Company s Goals
7
C. The CFO s Roles
8
D. Basic Elements in Financial Planning
Ц
2
Building Blocks: Interest and Dividends—The
Basic Model
13
A. Interest as the Price of Money
—
Consumption Utility over Time
13
B. The Company s Production Function—
Investment, Profit, and Dividends
16
C. Basic Capital Markets—Debt and
Participation Certificates
20
D. Primary Institutions in the Capital Market
24
Questions and Problems
27
3
Interest Rates
33
A. Nominal and Effective Interest Rates
33
B. Inflation and the Real Interest Rate
36
C. Benchmark Interest Rate and Risk
Premium
37
D. The Term Structure of Interest Rates
41
E. Interest Rates and the Stock Market
43
Questions and Problems
44
vi
Contents
4
Valuation of Periodic Cash Flows
49
A. Periodic Cash Flows
49
B. Future Value of Fixed Cash Flows
50
C. Present Value of Fixed Cash Flows
52
D. Present Value of Perpetual Cash Flows
55
E. Present Value of Variable Cash Flows
57
F. Problems in Future Cash Flow Valuation
58
Questions and Problems
59
5
Fundamental Bond Valuation Models
63
A. Yield and Risk
63
B. Perfect Market—Valuing Financial Assets
64
C. Basic Models for Bonds
67
D. Bond Types and Generally Accepted
Terminology
75
Questions and Problems
77
6
Fundamental Share Valuation Models—The
Earnings Model and the Dividend Model
83
A. Assumptions
83
B. The Earnings Model
84
С
The Dividend Model
88
D. The Dividend Model—An Empirical
Review
92
Questions and Problems
93
7
Fundamental Share Valuation Models —
Modigliani
and Miller s Cash Flow Model
101
A. Assumptions
101
B.
Modigliani
and Miller s Cash Flow Model
102
С
Earnings. Dividend, and Cash Flow
Models—Applications
108
Questions and Problems 111
8
Capital Budgeting—Corporate Investment
Decision Criteria
115
A. Investment in Physical Assets and New
Projects
115
B. Net Present Value as a Decision-Making
Criterion
118
C. Internal Rate of Return as a Decision-
Making Criterion
118
Contents
vii
D.
Other Decision-Making Tools as Criteria
120
E. Ranking Investments—The Optimal
Method
122
Questions and Problems
126
9
Capital Budgeting—Net Cash Flow
Construction
133
A. Net Cash Flow in a World with Taxes
133
B. Projects with Different Durations
138
С
Government Intervention
141
Questions and Problems
143
II THE RISK VALUE OF CAPITAL
149
10
Investment Decisions in Random Markets
151
A. Statistical Tools in Financial Theory
151
B. Random Processes
—
Stochastic Dominance
on the Payoff-Probability Plane
161
C. Random Processes—Stochastic Dominance
on the Mean Yield-Risk Plane
165
D. Making Investment Decisions in a
Random Market
167
Questions and Problems
168
11
Personal Preferences in Uncertain Markets
177
A. The Utility Function under Uncertainty
177
B. Risk Aversion on the Payoff-Utility
Plane
184
С
Absolute and Relative Risk Aversion
188
D. Risk Aversion on the Mean Yield-
Risk Plane
192
E. Rational Decision Making—A Myth?
194
Questions and Problems
197
12
The Mean-Variance Model
203
A. The Evolution of Portfolio Valuation
Models
203
B. Defining Risk for a Single Financial Asset
204
C. Mean Return and Variance When Holding
Two Risky Assets
207
D. Assets Correlation Effect on the
Investment Opportunities Set
209
viii Contents
E. Constructing a Multi-
Asset Portfolio—The
Investment Opportunities Set
215
F. Constructing a Portfolio in a Market with a
Risk-Free Asset
219
G. Summary of the
Markowitz
Mean-Variance Model
221
Questions and Problems
223
13
The Capital Asset Pricing Model
231
A. Observation
—
Beta as a Measure of Risk
231
B. Building a CAPM Portfolio
236
С
Comparing the Mean-Variance Model and
the CAPM
241
D. Portfolio Management—Performance
Appraisals
244
E. Empirical Testing
248
F. Expanding the Market Model
253
Questions and Problems
256
14
Assembling a Practical Portfolio—Allocating
a Few Assets
265
A. Introduction
265
B. Problems in Constructing a Portfolio with
a Limited Number of Assets
269
C. Review of Linear (Matrix) Algebra
274
D. Optimal Portfolio Allocation
279
E. The Normalized Variance-Covariance Matrix
284
F. Optimal Portfolio Construction Using Excel
286
G. The Investment Opportunities Line
294
Questions and Problems
296
15
Adding Subjective Views to Portfolio
Allocation (the Black-Litterman Model)
301
A. Introduction
301
B. The Personal View Vector—Defining the
Values of the Expected Returns
306
С
Confidence in the Quality of Statistical
Estimators
311
D. The Personal View Vector—Defining the
Variances of the Expected Returns
314
E. Deriving [E(R)] and jTj of the Joint
Probability Distribution
317
Contents ix
F.
Adding Subjective
Views
Using
Excel 323
G.
Summary and Conclusions for the New
Investment Opportunities Line
330
16
Capital Structure—Maximizing Company Value
333
A. Capital Structure Effects on
Corporate Value—Introduction
333
B. The Basic Assumptions and Model
336
C. Tax Shelter—
Modigliani
and Miller s First
Proposition
338
D.
Modigliani
and Miller s First
Proposition—Arbitrage
346
Questions and Problems
347
17
The Cost of Corporate Capital
355
A. Risk and Returns in Corporate Capital
Structure
355
B. Corporate Business Risk—The Classic
Approach
358
C. The Cost of a Company s Capital
Sources—
Modigliani
and Miller s
Second Proposition
364
D. Corporate Business Risk—Classic versus
Modern Financial Theory
369
E. The Cost of Capital—Capital Budgeting
18
19
under Uncertainty
375
Questions and Problems
380
Risk Trading
385
A. Pure Risk Trading
—
Future Contracts
385
B. The Consumption-Based Capital Asset
Pricing Model
392
С
Hedging Interest and Currency Risk
395
D. Hedging Equity Holding Risk
400
Questions and Problems
408
Option Pricing
415
A. Statistical Tools
415
B. Call Option Pricing
418
C. Put Option Pricing
430
D. Additional Applications of the Option s
Model—Bonds
435
Contents
E.
Structured Product Pricing
437
F. An Empirical Review
441
Questions and Problems
444
20
Summary, Insights, and Further Study
451
A. Summary
451
B. Insights
453
C. Further Study
464
Index
471
|
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| language | English |
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| spelling | Peleg, Doron 1952- Verfasser (DE-588)1050962869 aut Fundamental models in financial theory Doron Peleg Cambridge, Mass. [u.a.] MIT Press 2014 XIII, 477 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanztheorie (DE-588)4154425-0 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanztheorie (DE-588)4154425-0 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027138983&sequence=000006&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Peleg, Doron 1952- Fundamental models in financial theory Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanztheorie (DE-588)4154425-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4154425-0 (DE-588)4114528-8 |
| title | Fundamental models in financial theory |
| title_auth | Fundamental models in financial theory |
| title_exact_search | Fundamental models in financial theory |
| title_full | Fundamental models in financial theory Doron Peleg |
| title_fullStr | Fundamental models in financial theory Doron Peleg |
| title_full_unstemmed | Fundamental models in financial theory Doron Peleg |
| title_short | Fundamental models in financial theory |
| title_sort | fundamental models in financial theory |
| topic | Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanztheorie (DE-588)4154425-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Investments Mathematical models Finanztheorie |
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