Investments: Portfolio theory and asset pricing. v. 2. Securities prices and performance PDF Download

Author: Edwin J. Elton
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 0

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Author: Edwin J. Elton
Publisher: MIT Press
ISBN: 9780262050593
Category : Business enterprises
Languages : en
Pages : 452

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This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz. Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.

Author: Edwin J. Elton
Publisher: John Wiley & Sons
ISBN: 1118469941
Category : Business & Economics
Languages : en
Pages : 754

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Book Description
Modern Portfolio Theory and Investment Analysis, 9th Editionexamines the characteristics and analysis of individual securities, as well as the theory and practice of optimally combining securities into portfolios. It stresses 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.

Author: Robert A. Korajczyk
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 424

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A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

Author:
Publisher: Bookboon
ISBN: 8776816052
Category :
Languages : en
Pages : 112

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Author: William F. Sharpe
Publisher: Princeton University Press
ISBN: 1400830184
Category : Business & Economics
Languages : en
Pages : 232

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Book Description
In Investors and Markets, Nobel Prize-winning financial economist William Sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices. But until now asset-price analysis has largely been inaccessible to everyone except PhDs in financial economics. In this book, Sharpe changes that by setting out his state-of-the-art approach to asset pricing in a nonmathematical form that will be comprehensible to a broad range of investment professionals, including investment advisors, money managers, and financial analysts. Bridging the gap between the best financial theory and investment practice, Investors and Markets will help investment professionals make better portfolio choices by being smarter about asset prices. Based on Sharpe's Princeton Lectures in Finance, Investors and Markets presents a method of analyzing asset prices that accounts for the real behavior of investors. Sharpe makes this technique accessible through a new, one-of-a-kind computer program (available for free on his Web site, at http://www.stanford.edu/~wfsharpe/apsim/index.html) that enables users to create virtual markets, setting the starting conditions and then allowing trading until equilibrium is reached and trading stops. Program users can then analyze the final portfolios and asset prices, see expected returns, and measure risk. In addition to popularizing the most sophisticated form of asset-price analysis, Investors and Markets summarizes much of Sharpe's most important previous work and reflects a lifetime of thinking about investing by one of the leading minds in financial economics. Any serious investment professional will benefit from Sharpe's unique insights.

Author: Michael Fr Mmel
Publisher:
ISBN: 9783842381988
Category :
Languages : de
Pages : 476

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Book Description
The book is concerned with the theory of portfolios, as well as with investing in assets and securities and offers a general introduction, rather than a toolbox for making money. It will help its readers to better understand investing. The book is structured in two parts. Part I introduces the student into fundamental principles of portfolio theory and investment analysis. Section 1 covers some basics of financial markets. This section is kept short and restricted to the necessary knowledge to enable the reader to become acquainted with the basic concepts of portfolio theory as soon as possible Section 2 introduces the reader into modern portfolio theory. The section covers the Markowitz portfolio selection procedure, as well as the various factor models. It is closely related to section 3, dealing with equilibrium models, namely the capital asset pricing model and the arbitrage pricing theory. Section 4 is on efficient markets. The subsequent section 5 is, besides sections 3 and 4, another essential piece of this textbook and the most comprehensive one. It shall provide a basic understanding of security valuation The section starts with the valuation of bonds, turns to equity and finally concludes with some thoughts on derivatives. Part I closes with an overview on asset allocation and measuring the performance of fund managers in section 6. Part II extends the material to more advanced topics. Section 7 deals with technical analysis, section 8 presents some additional topics on portfolio management, such as the Black-Litterman approach and currency risk management. Section 9 covers various aspects of behavioural finance, whereas section 10 turns to asset price bubbles. Section 11 is on order flow analysis, followed by an appendix consisting of primers to some econometric approaches and problems to part I.

Author: Kerry E. Back
Publisher: Oxford University Press
ISBN: 0190241152
Category : Business & Economics
Languages : en
Pages : 608

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Book Description
In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.

Author: Diana R. Harrington
Publisher: Prentice Hall
ISBN:
Category : Business & Economics
Languages : en
Pages : 242

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Author: Robert A. Haugen
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 728

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Book Description