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Investments /

by Bodie, Zvi.
[ Books ]
Additional authors: Kane, Alex | Marcus, Alan J.
Series: McGraw-Hill/Irwin series in finance, insurance, and real estate. Published by : McGraw Hill Education, (UK :) Physical details: 1 volume (various pagings) : illustrations ; 27 cm. ISBN:9780077161149; 0077161149. Year: 2014 Item type: Books List(s) this item appears in: Records Management
Current location Collection Call number Vol info Status Date due Barcode
Judith Thomas Library
General Stacks
Books HG 4521 .B564 2014 (Browse shelf) AUA017606 Available AUA017606

Includes indexes.

Machine generated contents note: pt. I Introduction --
ch. 1 The Investment Environment --
1.1. Real Assets versus Financial Assets --
1.2. Financial Assets --
1.3. Financial Markets and the Economy --
The Informational Role of Financial Markets/Consumption Timing/Allocation of Risk/Separation of Ownership and Management/Corporate Governance and Corporate Ethics --
1.4. The Investment Process --
1.5. Markets Are Competitive --
The Risk--Return Trade-Off/Efficient Markets --
1.6. The Players --
Financial Intermediaries/Investment Bankers/Venture Capital and Private Equity --
1.7. The Financial Crisis of 2008 --
Antecedents of the Crisis/Changes in Housing Finance/Mortgage Derivatives/Credit Default Swaps/The Rise of Systemic Risk/The Shoe Drops/The Dodd-Frank Reform Act --
1.8. Outline of the Text --
End of Chapter Material --
ch. 2 Asset Classes and Financial Instruments --
2.1. The Money Market. Contents note continued: Treasury Bills/Certificates of Deposit/Commercial Paper/Bankers `Acceptances/Eurodollars/Repos and Reverses/Federal Funds/Brokers' Calls/The LIBOR Market/Yields on Money Market Instruments --
2.2. The Bond Market --
Treasury Notes and Bonds/Inflation-Protected Treasury Bonds/Federal Agency Debt/International Bonds/Municipal Bonds/Corporate Bonds/Mortgages and Mortgage-Backed Securities --
2.3. Equity Securities --
Common Stock as Ownership Shares/Characteristics of Common Stock/Stock Market Listings/Preferred Stock/Depository Receipts --
2.4. Stock and Bond Market Indexes --
Stock Market Indexes/Dow Jones Averages/Standard & Poor's Indexes/Other U.S. Market-Value Indexes/Equally Weighted Indexes/Foreign and International Stock Market Indexes/Bond Market Indicators --
2.5. Derivative Markets --
Options/Futures Contracts --
End of Chapter Material --
ch. 3 How Securities Are Traded --
3.1. How Firms Issue Securities. Contents note continued: Privately Held Firms/Publicly Traded Companies/Shelf Registration/Initial Public Offerings --
3.2. How Securities Are Traded --
Types of Markets --
Direct Search Markets/Brokered Markets/Dealer Markets/Auction Markets --
Types of Orders --
Market Orders/Price-Contingent Orders --
Trading Mechanisms --
Dealer Markets/Electronic Communication Networks (ECNs) --
Specialist Markets --
3.3. The Rise of Electronic Trading --
3.4.U.S. Markets --
NASDAQ/The New York Stock Exchange/ECNs --
3.5. New Trading Strategies --
Algorithmic Trading/High-Frequency Trading/Dark Pools/Bond Trading --
3.6. Globalization of Stock Markets --
3.7. Trading Costs --
3.8. Buying on Margin --
3.9. Short Sales --
3.10. Regulation of Securities Markets --
Self-Regulation/The Sarbanes-Oxley Act/Insider Trading --
End of Chapter Material --
ch. 4 Mutual Funds and Other Investment Companies --
4.1. Investment Companies --
4.2. Types of Investment Companies. Contents note continued: Unit Investment Trusts/Managed Investment Companies/Other Investment Organizations --
Commingled Funds/Real Estate Investment Trusts (REITs)/Hedge Funds --
4.3. Mutual Funds --
Investment Policies --
Money Market Funds/Equity Funds/Sector Funds/Bond Funds/International Funds/Balanced Funds/Asset Allocation and Flexible Funds/Index Funds How Funds Are Sold --
4.4. Costs of Investing in Mutual Funds --
Fee Structure --
Operating Expenses/Front-End Load/Back-End Load/12b-1 Charges --
Fees and Mutual Fund Returns --
4.5. Taxation of Mutual Fund Income --
4.6. Exchange-Traded Funds --
4.7. Mutual Fund Investment Performance: A First Look --
4.8. Information on Mutual Funds --
End of Chapter Material --
pt. II Portfolio Theory and Practice --
ch. 5 Risk, Return, and the Historical Record --
5.1. Determinants of the Level of Interest Rates. Contents note continued: Real and Nominal Rates of Interest/The Equilibrium Real Rate of Interest/The Equilibrium Nominal Rate of Interest/Taxes and the Real Rate of Interest --
5.2.Comparing Rates of Return for Different Holding Periods --
Annual Percentage Rates/Continuous Compounding --
5.3. Bills and Inflation, 1926--2012 --
5.4. Risk and Risk Premiums --
Holding-Period Returns/Expected Return and Standard Deviation/Excess Returns and Risk Premiums --
5.5. Time Series Analysis of Past Rates of Return --
Time Series versus Scenario Analysis/Expected Returns and the Arithmetic Average/The Geometric (Time-Weighted) Average Return/Variance and Standard Deviation/Mean and Standard Deviation Estimates from Higher-Frequency Observations/The Reward-to-Volatility (Sharpe) Ratio --
5.6. The Normal Distribution --
5.7. Deviations from Normality and Risk Measures. Contents note continued: Value at Risk/Expected Shortfall/Lower Partial Standard Deviation and the Sortino Ratio/Relative Frequency of Large, Negative 3-Sigma Returns --
5.8. Historic Returns on Risky Portfolios --
Portfolio Returns/A Global View of the Historical Record --
5.9. Long-Term Investments --
Normal and Lognormal Returns/Simulation of Long-Term Future Rates of Return/The Risk-Free Rate Revisited/Where Is Research on Rates of Return Headed?/Forecasts for the Long Haul --
End of Chapter Material --
ch. 6 Capital Allocation to Risky Assets --
6.1. Risk and Risk Aversion --
Risk, Speculation, and Gambling/Risk Aversion and Utility Values/Estimating Risk Aversion --
6.2. Capital Allocation across Risky and Risk-Free Portfolios --
6.3. The Risk-Free Asset --
6.4. Portfolios of One Risky Asset and a Risk-Free Asset --
6.5. Risk Tolerance and Asset Allocation --
Nonnormal Returns --
6.6. Passive Strategies: The Capital Market Line --
End of Chapter Material. Contents note continued: Appendix A Risk Aversion, Expected Utility, and the St. Petersburg Paradox --
Appendix B Utility Functions and Equilibrium Prices of Insurance Contracts --
Appendix C The Kelly Criterion --
ch. 7 Optimal Risky Portfolios --
7.1. Diversification and Portfolio Risk --
7.2. Portfolios of Two Risky Assets --
7.3. Asset Allocation with Stocks, Bonds, and Bills --
Asset Allocation with Two Risky Asset Classes --
7.4. The Markowitz Portfolio Optimization Model --
Security Selection/Capital Allocation and the Separation Property/The Power of Diversification/Asset Allocation and Security Selection/Optimal Portfolios and Nonnormal Returns --
7.5. Risk Pooling, Risk Sharing, and the Risk of Long-Term Investments --
Risk Pooling and the Insurance Principle/Risk Sharing/Investment for the Long Run --
End of Chapter Material --
Appendix A A Spreadsheet Model for Efficient Diversification --
Appendix B Review of Portfolio Statistics --
ch. 8 Index Models. Contents note continued: 8.1.A Single-Factor Security Market --
The Input List of the Markowitz Model/Normality of Returns and Systematic Risk --
8.2. The Single-Index Model --
The Regression Equation of the Single-Index Model/The Expected Return-Beta Relationship/Risk and Covariance in the Single-Index Model/The Set of Estimates Needed for the Single-Index Model/The Index Model and Diversification --
8.3. Estimating the Single-Index Model --
The Security Characteristic Line for Hewlett-Packard/The Explanatory Power of the SCL for HP/Analysis of Variance/The Estimate of Alpha/The Estimate of Beta/Firm-Specific Risk/Correlation and Covariance Matrix --
8.4. Portfolio Construction and the Single-Index Model --
Alpha and Security Analysis/The Index Portfolio as an Investment Asset/The Single-Index-Model Input List/The Optimal Risky Portfolio in the Single-Index Model/The Information Ratio/Summary of Optimization Procedure/An Example. Contents note continued: Risk Premium Forecasts/The Optimal Risky Portfolio --
8.5. Practical Aspects of Portfolio Management with the Index Model --
Is the Index Model Inferior to the Full-Covariance Model?/The Industry Version of the Index Model/Predicting Betas/Index Models and Tracking Portfolios --
End of Chapter Material --
pt. III Equilibrium in Capital Markets --
ch. 9 The Capital Asset Pricing Model --
9.1. The Capital Asset Pricing Model --
Why Do All Investors Hold the Market Portfolio?/The Passive Strategy Is Efficient/The Risk Premium of the Market Portfolio/Expected Returns on Individual Securities/The Security Market Line/The CAPM and the Single-Index Market --
9.2. Assumptions and Extensions of the CAPM --
Assumptions of the CAPM/Challenges and Extensions to the CAPM/The Zero-Beta Model/Labor Income and Nontraded Assets/A Multiperiod Model and Hedge Portfolios/A Consumption-Based CAPM/Liquidity and the CAPM --
9.3. The CAPM and the Academic World. Contents note continued: 9.4. The CAPM and the Investment Industry --
End of Chapter Material --
ch. 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return --
10.1. Multifactor Models: An Overview --
Factor Models of Security Returns --
10.2. Arbitrage Pricing Theory --
Arbitrage, Risk Arbitrage, and Equilibrium/Well-Diversified Portfolios/Diversification and Residual Risk in Practice/Executing Arbitrage/The No-Arbitrage Equation of the APT --
10.3. The APT, the CAPM, and the Index Model --
The APT and the CAPM/The APT and Portfolio Optimization in a Single-Index Market --
10.4.A Multifactor APT --
10.5. The Fama-French (FF) Three-Factor Model --
End of Chapter Material --
ch. 11 The Efficient Market Hypothesis --
11.1. Random Walks and the Efficient Market Hypothesis --
Competition as the Source of Efficiency/Versions of the Efficient Market Hypothesis --
11.2. Implications of the EMH. Contents note continued: Technical Analysis/Fundamental Analysis/Active versus Passive Portfolio Management/The Role of Portfolio Management in an Efficient Market/Resource Allocation --
11.3. Event Studies --
11.4. Are Markets Efficient? --
The Issues --
The Magnitude Issue/The Selection Bias Issue/The Lucky Event Issue --
Weak-Form Tests: Patterns in Stock Returns --
Returns over Short Horizons/Returns over Long Horizons --
Predictors of Broad Market Returns/Semistrong Tests: Market Anomalies --
The Small-Firm-in-January Effect/The Neglected-Firm Effect and Liquidity Effects/Book-to-Market Ratios/Post-Earnings-Announcement Price Drift --
Strong-Form Tests: Inside Information/Interpreting the Anomalies --
Risk Premiums or Inefficiencies?/Anomalies or Data --
Mining?/Anomalies over Time --
Bubbles and Market Efficiency --
11.5. Mutual Fund and Analyst Performance --
Stock Market Analysts/Mutual Fund Managers/So, Are Markets Efficient? --
End of Chapter Material. Contents note continued: ch. 12 Behavioral Finance and Technical Analysis --
12.1. The Behavioral Critique --
Information Processing --
Forecasting Errors/Overconfidence/Conservatism/Sample Size Neglect and Representativeness --
Behavioral Biases --
Framing/Mental Accounting/Regret Avoidance Affect --
Prospect Theory --
Limits to Arbitrage --
Fundamental Risk/Implementation Costs/Model Risk --
Limits to Arbitrage and the Law of One Price --
"Siamese Twin" Companies/Equity Carve-Outs/Closed-End Funds --
Bubbles and Behavioral Economics/Evaluating the Behavioral Critique --
12.2. Technical Analysis and Behavioral Finance --
Trends and Corrections --
Momentum and Moving Averages/Relative Strength/Breadth --
Sentiment Indicators --
Trin Statistic/Confidence Index/Put/Call Ratio --
A Warning --
End of Chapter Material --
ch. 13 Empirical Evidence on Security Returns --
13.1. The Index Model and the Single-Factor APT --
The Expected Return-Beta Relationship. Contents note continued: Setting Up the Sample Data/Estimating the SCL/Estimating the SML Tests of the CAPM/The Market Index/Measurement Error in Beta --
13.2. Tests of the Multifactor CAPM and APT --
Labor Income/Private (Nontraded) Business/Early Versions of the Multifactor CAPM and APT/A Macro Factor Model --
13.3. Fama-French-Type Factor Models --
Size and B/M as Risk Factors/Behavioral Explanations/Momentum: A Fourth Factor --
13.4. Liquidity and Asset Pricing --
13.5. Consumption-Based Asset Pricing and the Equity Premium Puzzle --
Consumption Growth and Market Rates of Return/Expected versus Realized Returns/Survivorship Bias/Extensions to the Capm May Resolve the Equity Premium Puzzle/Liquidity and the Equity Premium Puzzle/Behavioral Explanations of the Equity Premium Puzzle --
End of Chapter Material --
pt. IV Fixed-Income Securities --
ch. 14 Bond Prices and Yields --
14.1. Bond Characteristics --
Treasury Bonds and Notes --
Accrued Interest and Quoted Bond Prices. Contents note continued: Corporate Bonds --
Call Provisions on Corporate Bonds/Convertible Bonds/Puttable Bonds/Floating-Rate Bonds --
Preferred Stock/Other Domestic Issuers/International Bonds/Innovation in the Bond Market --
Inverse Floaters/Asset-Backed Bonds/Catastrophe --
Bonds/Indexed Bonds --
14.2. Bond Pricing --
Bond Pricing between Coupon Dates --
14.3. Bond Yields --
Yield to Maturity/Yield to Call/Realized Compound Return versus Yield to Maturity --
14.4. Bond Prices over Time --
Yield to Maturity versus Holding-Period Return/Zero-Coupon Bonds and Treasury Strips/After-Tax Returns --
14.5. Default Risk and Bond Pricing --
Junk Bonds/Determinants of Bond Safety/Bond Indentures --
Sinking Funds/Subordination of Further Debt/Dividend Restrictions/Collateral --
Yield to Maturity and Default Risk/Credit Default Swaps/Credit Risk and Collateralized Debt Obligations --
End of Chapter Material --
ch. 15 The Term Structure of Interest Rates --
15.1. The Yield Curve. Contents note continued: Bond Pricing --
15.2. The Yield Curve and Future Interest Rates --
The Yield Curve under Certainty/Holding-Period Returns/Forward Rates --
15.3. Interest Rate Uncertainty and Forward Rates --
15.4. Theories of the Term Structure --
The Expectations Hypothesis/Liquidity Preference --
15.5. Interpreting the Term Structure --
15.6. Forward Rates as Forward Contracts --
End of Chapter Material --
ch. 16 Managing Bond Portfolios --
16.1. Interest Rate Risk --
Interest Rate Sensitivity/Duration/What Determines Duration? --
Rule 1 for Duration/Rule 2 for Duration/Rule 3 for Duration/Rule 4 for Duration/Rule 5 for Duration --
16.2. Convexity --
Why Do Investors Like Convexity?/Duration and Convexity of Callable Bonds/Duration and Convexity of Mortgage-Backed Securities --
16.3. Passive Bond Management --
Bond-Index Funds/Immunization/Cash Flow Matching and Dedication/Other Problems with Conventional Immunization --
16.4. Active Bond Management. Contents note continued: Sources of Potential Profit/Horizon Analysis --
End of Chapter Material --
pt. V Security Analysis --
ch. 17 Macroeconomic and Industry Analysis --
17.1. The Global Economy --
17.2. The Domestic Macroeconomy --
17.3. Demand and Supply Shocks --
17.4. Federal Government Policy --
Fiscal Policy/Monetary Policy/Supply-Side Policies --
17.5. Business Cycles --
The Business Cycle/Economic Indicators/Other Indicators --
17.6. Industry Analysis --
Defining an Industry/Sensitivity to the Business Cycle/Sector Rotation/Industry Life Cycles --
Start-Up Stage/Consolidation Stage/Maturity Stage/Relative Decline --
Industry Structure and Performance --
Threat of Entry/Rivalry between Existing Competitors/Pressure from Substitute Products/Bargaining Power of Buyers/Bargaining Power of Suppliers --
End of Chapter Material --
ch. 18 Equity Valuation Models --
18.1. Valuation by Comparables --
Limitations of Book Value --
18.2. Intrinsic Value versus Market Price. Contents note continued: 18.3. Dividend Discount Models --
The Constant-Growth DDM/Convergence of Price to Intrinsic Value/Stock Prices and Investment Opportunities/Life Cycles and Multistage Growth Models/Multistage Growth Models --
18.4. Price-Earnings Ratio --
The Price-Earnings Ratio and Growth Opportunities/P/E Ratios and Stock Risk/Pitfalls in P/E Analysis/Combining P/E Analysis and the DDM/Other Comparative Valuation Ratios --
Price-to-Book Ratio/Price-to-Cash-Flow Ratio/Price-to-Sales Ratio --
18.5. Free Cash Flow Valuation Approaches --
Comparing the Valuation Models/The Problem with DCF Models --
18.6. The Aggregate Stock Market --
End of Chapter Material --
ch. 19 Financial Statement Analysis --
19.1. The Major Financial Statements --
The Income Statement/The Balance Sheet/The Statement of Cash Flows --
19.2. Measuring Firm Performance --
19.3. Profitability Measures. Contents note continued: Return on Assets, ROA/Return on Capital, ROC/Return on Equity, ROE/Financial Leverage and ROE/Economic Value Added --
19.4. Ratio Analysis --
Decomposition of ROE/Turnover and Other Asset Utilization Ratios/Liquidity Ratios/Market Price Ratios: Growth versus Value/Choosing a Benchmark --
19.5. An Illustration of Financial Statement Analysis --
19.6.Comparability Problems --
Inventory Valuation/Depreciation/Inflation and Interest Expense/Fair Value Accounting/Quality of Earnings and Accounting Practices/International Accounting Conventions --
19.7. Value Investing: The Graham Technique --
End of Chapter Material --
pt. VI Options, Futures, and Other Derivatives --
ch. 20 Options Markets: Introduction --
20.1. The Option Contract --
Options Trading/American and European Options/Adjustments in Option Contract Terms/The Options Clearing Corporation/Other Listed Options --
Index Options/Futures Options/Foreign Currency Options/Interest Rate Options. Contents note continued: 20.2. Values of Options at Expiration --
Call Options/Put Options/Option versus Stock Investments --
20.3. Option Strategies --
Protective Put/Covered Calls/Straddle/Spreads/Collars --
20.4. The Put-Call Parity Relationship --
20.5. Option-Like Securities --
Callable Bonds/Convertible Securities/Warrants/Collateralized Loans/Levered Equity and Risky Debt --
20.6. Financial Engineering --
20.7. Exotic Options --
Asian Options/Barrier Options/Lookback Options/Currency-Translated Options/Digital Options --
End of Chapter Material --
ch. 21 Option Valuation --
21.1. Option Valuation: Introduction --
Intrinsic and Time Values/Determinants of Option Values --
21.2. Restrictions on Option Values --
Restrictions on the Value of a Call Option/Early Exercise and Dividends/Early Exercise of American Puts --
21.3. Binomial Option Pricing --
Two-State Option Pricing/Generalizing the Two-State Approach/Making the Valuation Model Practical. Contents note continued: 21.4. Black-Scholes Option Valuation --
The Black-Scholes Formula/Dividends and Call Option Valuation/Put Option Valuation/Dividends and Put Option Valuation --
21.5. Using the Black-Scholes Formula --
Hedge Ratios and the Black-Scholes Formula/Portfolio Insurance/Option Pricing and the Crisis of 2008--2009/Option Pricing and Portfolio Theory/Hedging Bets on Mispriced Options --
21.6. Empirical Evidence on Option Pricing --
End of Chapter Material --
ch. 22 Futures Markets --
22.1. The Futures Contract --
The Basics of Futures Contracts/Existing Contracts --
22.2. Trading Mechanics --
The Clearinghouse and Open Interest/The Margin Account and Marking to Market/Cash versus Actual Delivery/Regulations/Taxation --
22.3. Futures Markets Strategies --
Hedging and Speculation/Basis Risk and Hedging --
22.4. Futures Prices --
The Spot-Futures Parity Theorem/Spreads/Forward versus Futures Pricing --
22.5. Futures Prices versus Expected Spot Prices. Contents note continued: Expectations Hypothesis/Normal Backwardation/Contango/Modem Portfolio Theory --
End of Chapter Material --
ch. 23 Futures, Swaps, and Risk Management --
23.1. Foreign Exchange Futures --
The Markets/Interest Rate Parity/Direct versus Indirect Quotes/Using Futures to Manage Exchange Rate Risk --
23.2. Stock-Index Futures --
The Contracts/Creating Synthetic Stock Positions: An Asset Allocation Tool/Index Arbitrage/Using Index Futures to Hedge Market Risk --
23.3. Interest Rate Futures --
Hedging Interest Rate Risk --
23.4. Swaps --
Swaps and Balance Sheet Restructuring/The Swap Dealer/Other Interest Rate Contracts/Swap Pricing/Credit Risk in the Swap Market/Credit Default Swaps --
23.5.Commodity Futures Pricing --
Pricing with Storage Costs/Discounted Cash Flow Analysis for Commodity Futures --
End of Chapter Material --
pt. VII Applied Portfolio Management --
ch. 24 Portfolio Performance Evaluation --
24.1. The Conventional Theory of Performance Evaluation. Contents note continued: Average Rates of Return/Time-Weighted Returns versus Dollar-Weighted Returns/Dollar-Weighted Return and Investment Performance/Adjusting Returns for Risk/The M2 Measure of Performance/Sharpe's Ratio Is the Criterion for Overall Portfolios/Appropriate Performance Measures in Two Scenarios --
Jane's Portfolio Represents Her Entire Risky Investment Fund/Jane's Choice Portfolio Is One of Many Portfolios Combined into a Large-Investment Fund The Role of Alpha in Performance Measures/Actual Performance Measurement: An Example/Performance Manipulation and the Morningstar Risk-Adjusted Rating/Realized Returns versus Expected [ect.] --
24.2. Performance Measurement for Hedge Funds --
24.3. Performance Measurement with Changing Portfolio Composition --
24.4. Market Timing --
The Potential Value of Market Timing/Valuing Market Timing as a Call Option/The Value of Imperfect Forecasting --
24.5. Style Analysis. Contents note continued: Style Analysis and Multifactor Benchmarks/Style Analysis in Excel --
24.6. Performance Attribution Procedures --
Asset Allocation Decisions/Sector and Security Selection Decisions/Summing Up Component Contributions --
End of Chapter Material --
ch. 25 International Diversification --
25.1. Global Markets for Equities --
Developed Countries/Emerging Markets/Market Capitalization and GDP/Home-Country Bias --
25.2. Risk Factors in International Investing --
Exchange Rate Risk/Political Risk --
25.3. International Investing: Risk, Return, and Benefits from Diversification. Contents note continued: Risk and Return: Summary Statistics/Are Investments in Emerging Markets Riskier?/Are Average Returns Higher in Emerging Markets?/Is Exchange Rate Risk Important in International Portfolios?/Benefits from International Diversification/Misleading Representation of Diversification Benefits/Realistic Benefits from International Diversification/Are Benefits from International Diversification Preserved in Bear [ect.] --
25.4. Assessing the Potential of International Diversification --
25.5. International Investing and Performance Attribution --
Constructing a Benchmark Portfolio of Foreign Assets/Performance Attribution --
End of Chapter Material --
ch. 26 Hedge Funds --
26.1. Hedge Funds versus Mutual Funds --
26.2. Hedge Fund Strategies --
Directional and Nondirectional Strategies/Statistical Arbitrage --
26.3. Portable Alpha --
An Example of a Pure Play --
26.4. Style Analysis for Hedge Funds --
26.5. Performance Measurement for Hedge Funds. Contents note continued: Liquidity and Hedge Fund Performance/Hedge Fund Performance and Survivorship Bias/Hedge Fund Performance and Changing Factor Loadings/Tail Events and Hedge Fund Performance --
26.6. Fee Structure in Hedge Funds --
End of Chapter Material --
ch. 27 The Theory of Active Portfolio Management --
27.1. Optimal Portfolios and Alpha Values --
Forecasts of Alpha Values and Extreme Portfolio Weights/Restriction of Benchmark Risk --
27.2. The Treynor-Black Model and Forecast Precision --
Adjusting Forecasts for the Precision of Alpha/Distribution of Alpha Values/Organizational Structure and Performance --
27.3. The Black-Litterman Model --
Black-Litterman Asset Allocation Decision/Step 1: The Covariance Matrix from Historical Data/Step 2: Determination of a Baseline Forecast/Step 3: Integrating the Manager's Private Views/Step 4: Revised (Posterior) Expectations/Step 5: Portfolio Optimization --
27.4. Treynor-Black versus Black-Litterman: Complements, Not Substitutes. Contents note continued: The BL Model as Icing on the TB Cake/Why Not Replace the Entire TB Cake with the BL Icing? --
27.5. The Value of Active Management --
A Model for the Estimation of Potential Fees/Results from the Distribution of Actual Information Ratios/Results from Distribution of Actual Forecasts/Results with Reasonable Forecasting Records --
27.6. Concluding Remarks on Active Management --
End of Chapter Material --
Appendix A Forecasts and Realizations of Alpha --
Appendix B The General Black-Litterman Model --
ch. 28 Investment Policy and the Framework of the CFA Institute --
28.1. The Investment Management Process --
Objectives/Individual Investors/Personal Trusts/Mutual Funds/Pension Funds/Endowment Funds/Life Insurance Companies/Non-Life Insurance Companies/Banks --
28.2. Constraints --
Liquidity/Investment Horizon/Regulations/Tax Considerations/Unique Needs --
28.3. Policy Statements --
Sample Policy Statements for Individual Investors --
28.4. Asset Allocation. Contents note continued: Taxes and Asset Allocation --
28.5. Managing Portfolios of Individual Investors --
Human Capital and Insurance/Investment in Residence/Saving for Retirement and the Assumption of Risk/Retirement Planning Models/Manage Your Own Portfolio or Rely on Others?/Tax Sheltering --
The Tax-Deferral Option/Tax-Deferred Retirement Plans/Deferred Annuities/Variable and Universal Life Insurance --
28.6. Pension Funds --
Defined Contribution Plans/Defined Benefit Plans/Pension Investment Strategies --
Investing in Equities/Wrong Reasons to Invest in Equities --
28.7. Investments for the Long Run --
Target Investing and the Term Structure of Bonds/Making Simple Investment Choices/Inflation Risk and Long-Term Investors --