Description of Modern Portfolio Theory and Investment Analysis
This book covers 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, this classic text pres--ents advanced concepts of investment analysis and portfolio management. It can be used for courses in both portfolio theory and in investment analysis that have an emphasis on portfolio the--ory. It can also be used in a course in investments where both portfolio analysis and security analysis are discussed. The authors' goal has been to make all the material in this text accessible to students of portfolio analysis and invest--ment management, both at the undergraduate and graduate levels while maintaining the rigor through the use of ap--pendices which can be used in conjunction with the text.
Section 1: Mean Variance Portfolio Theory
The Characteristics of the Opportunity Set Under Risk.
Delineating Efficient Portfolios
Techniques for Calculating the Efficient Frontier
Section 2: Simplifying the Portfolio Selection Process
The Correlation Structure of Security Returns: The Single-Index Model
The Correlation Structure of Security Returns: Multi-Index Models and Grouping Techniques
Simple Techniques for Determining the Efficient Frontier
Section 3: Selecting the Optimum Portfolio
Utility Analysis
Other Portfolio Selection Models
Section 4: Widening the Selection Universe
International Diversification
PART 3: MODELS OF EQUILIBRIUM IN THE CAPITAL MARKETS
The Standard Capital Asset Pricing Model
Nonstandard Forms of Capital Asset Pricing Models
Empirical Tests of Equilibrium Models
The Arbitrage Pricing Model Apt - A New Approach to Explaining Asset Prices
PART 4: SECURITY ANALYSIS AND PORTFOLIO THEORY
Efficient Markets
The Valuation Process
Earnings Estimation
Interest Rate Theory and the Pricing of Bonds
The Management of Bond Portfolios
Option Pricing Theory
The Valuation and Uses of Financial Futures
PART 5: EVALUATING THE INVESTMENT PROCESS
Evaluation of Portfolio Performance
Evaluation of Security Analysis
Portfolio Management Revisited
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