Investments /
Bodie, Zvi.
Investments / Zvi Bodie, Alex Kane, Alan J. Marcus. - 10th ed. - UK : McGraw Hill Education, 2014 - 1 volume (various pagings) : illustrations ; 27 cm. - McGraw-Hill/Irwin series in finance, insurance, and real estate. .
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 --
9780077161149 0077161149
Investments.
Portfolio management.
Investitions analyse.
HG4521 / .B564 2014
Investments / Zvi Bodie, Alex Kane, Alan J. Marcus. - 10th ed. - UK : McGraw Hill Education, 2014 - 1 volume (various pagings) : illustrations ; 27 cm. - McGraw-Hill/Irwin series in finance, insurance, and real estate. .
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 --
9780077161149 0077161149
Investments.
Portfolio management.
Investitions analyse.
HG4521 / .B564 2014