Modern Portfolio Theory and Investment Analysis
With the hopes of perfect investment with attributes of high returns and low risks, Modern Portfolio Theory and Investment Analysis examines the characteristics and analysis of individual securities, as well as the theory and practice of optimally combining securities into portfolios. Stressing the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management, the authors present material that captures the state of modern portfolio analysis, general equilibrium theory, and investment analysis in an accessible and intuitive manner. Modern Portfolio Theory and Investment Analysis will help you discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.
This book can be used for courses in both portfolio theory and investment analysis that have an emphasis on portfolio theory.
It can also be used in a course in investments where both portfolio analysis and security analysis are discussed.
A chapter on behavioral finance is also included, aimed to explore the nature of individual decision making.
In addition, investors will find material on value at risk and the use of simulation to enhance their understanding of the field.
Topics also include financial securities and financial markets; sections on the uses of Arbitrage Pricing Theory, the performance of international funds, bond management and multi-index models in portfolio evaluation.
New to this Edition
A new chapter has been added to describe the changing conditions in the mutual fund industry.
Structural changes that have occurred in the markets in which securities that are traded have been recognized.
Discussion on the causes of the financial crisis of 2008 and the financial instruments that affected the crisis.
Table of Contents
Chapter 1: Introduction
Chapter 2: Financial Securities
Chapter 3: Financial Markets
Chapter 4: The Characteristics of the Opportunity Set Under Risk
Chapter 5: Delineating Efficient Portfolios
Chapter 6: Techniques for Calculating the Efficient Frontier
Chapter 7: The Correlation Structure of Security Returns: The Single-Index Model
Chapter 8: The Correlation Structure of Security Returns: Multi-Index Models and Grouping Techniques
Chapter 9: Simple Techniques for Determining the Efficient Frontier
Chapter 10: Estimating Expected Returns
Chapter 11: How to Select Among the Portfolios in the Opportunity Set
Chapter 12: International Diversification
Chapter 14: Nonstandard Forms of Capital Asset Pricing Models
Chapter 15: Empirical Tests of Equilibrium Models
Chapter 16: The Arbitrage Pricing Model APT – A Multifactor Approach to Explaining Asset Prices
Chapter 17: Efficient Markets
Chapter 18: The Valuation Process
Chapter 19: Earnings Estimation
Chapter 20: Behavioral Finance, Investor Decision Making, and Asset Prices
Chapter 21: Interest Rate Theory and the Pricing of Bonds
Chapter 22: The Management of Bond Portfolios
Chapter 23: Option Pricing Theory
Chapter 25: Mutual Funds
Chapter 26: Evaluation of Portfolio Performance
Chapter 27: Evaluation of Security Analysis
Chapter 28: Portfolio Management Revisited