Modern Portfolio Theory and Investment Analysis / Edition 8

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Overview

Stressing the economic intuition behind the subject matter, this classic text presents advanced concepts of investment analysis and portfolio management. New to this edition: two institutional chapters on 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; many new examples; and a totally updated international diversification chapter.
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Product Details

  • ISBN-13: 9780470388327
  • Publisher: Wiley
  • Publication date: 11/16/2009
  • Edition description: Older Edition
  • Edition number: 8
  • Pages: 752
  • Product dimensions: 7.10 (w) x 10.00 (h) x 1.20 (d)

Meet the Author

Edwin J. Elton is Nomura Professor of Finance at the SternSchool of Business of New York University. He has authored orcoauthored eight books and ore than 110 articles. These articleshave appeared in journals such as The Journal of Finance, TheReview of Financial Studies, review of Economics and Statistics,Management Science, Journal of Financial Economics, Journal ofbusiness, Oxford Economic Papers, and Journal of Financial andQuantitative Analysis. He has been coeditor of the Journal ofFinance. Professor Elton has been a member of the board ofdirectors of the American Finance Association and an AssociateEditor of Management Science. Professor Elton has served as aconsultant for many major financial institutions. A compendium ofarticles by Professor Elton and Professor Gruber has recently beenpublished in two volumes by MIT press. Professor Elton is a pastpresident of the American Finance Association, a fellow of thatassociation, a recipient of distinguished research award by theEastern Finance Association and a recipient of the James Vertinaward from the Financial Analyst Association.

Martin J. Gruber is Nomura Professor of Finance and pastchairman of the Finance Department at the Stern School of Businessof New York University. He is a fellow of the American FinanceAssociation. He has published nine books and more than 100 journalarticles in journals such as The Journal of Finance, The Review ofFinancial Studies, Review of Economics and Statistics, Journal ofFinancial Economics, Journal of Business, Management Science,Journal of Financial and Quantitative Analysis, OperationsResearch, Oxford Economic Papers, and The Journal of PortfolioManagement. He has been coeditor of the Journal of Finance. He hasbeen president of the American Finance Association, a director ofthe European Finance Association, a director of the AmericanFinance Association, and a director of both the ComputerApplications Committee and the Investment Technology Symposium ofthe New York Society of Security Analyst. He was formerly FinanceDepartment editor for Management Science. Professor Gruber hasconsulted in the areas of investment analysis ad portfoliomanagement with many major financial institutions. He is currentlya director of the Daiwa closed- end funds. He is formerly aDirector of TIAA,Director and Chairman of CREF, Director of DWSMutual Funds, and Director  of the SG Cowen Mutual Funds.

Stephen J. Brown is David S. Loeb Professor of Financeand Coordinator of undergraduate finance at the Leonard N. SternSchool of Business, New York University. He has served as presidentof the Western Finance Association and on the board of directors ofthe American Finance Association, was a founding editor of TheReview of Financial Studies, is a managing editor of the Journal ofFinancial and Quantitative Analysis, and has served on theeditorial boards of The Journal of Finance, Pacific-Basin FinanceJournal, and other journals. He has published numerous articles andfour books on finance and economics-related areas. He has served asan expert witness for the U.S. Department of Justice and hastestified on his research before a Full Committee Hearing of theU.S. Congress House Financial Services Committee in March 2007.

William N. Goetzmann is Edwin J. Beinecke Professor ofFinance and Management Studies and director of the Internationalcenter for Finance at the Yale School of Management. He iscurrently president of the Western Finance Association and hasserved on the board of directors of the American FinanceAssociation, His published research topics include globalinvesting, forecasting stock markets, selecting mutual fundmanager, housing as investment, and the risk and return of artProfessor Goetzmann has a background in arts and media management.As a documentary filmmaker, he has written and coproduced programsfor Nova and the American Masters series, including a profile ofthe artist Thomas Eakins. A former director of Denver's Museum ofWestern Art, Professor Goetzmann coauthored the award-winning bookThe West of the Imagination.

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Table of Contents

Pt. 1 Introduction 1
Ch. 2 Financial Securities 11
Ch. 3 Financial Markets 25
Pt. 2 Portfolio Analysis 43
Sect. 1 Mean Variance Portfolio Theory 45
Ch. 4 The Characteristics of the Opportunity Set Under Risk 46
Ch. 5 Delineating Efficient Portfolios 70
Ch. 6 Techniques for Calculating the Efficient Frontier 97
Sect. 2 Simplifying the Portfolio Selection Process 127
Ch. 7 The Correlation Structure of Security Returns: The Single-Index Model 128
Ch. 8 The Correlation Structure of Security Returns: Multi-Index Models and Grouping Techniques 160
Ch. 9 Simple Techniques for Determining the Efficient Frontier 181
Sect. 3 Selecting the Optimum Portfolio 209
Ch. 10 Utility Analysis 210
Ch. 11 Other Portfolio Selection Models 231
Sect. 4 Widening the Selection Universe 261
Ch. 12 International Diversification 262
Pt. 3 Models of Equilibrium in the Capital Markets 293
Ch. 13 The Standard Capital Asset Pricing Model 294
Ch. 14 Nonstandard Forms of Capital Asset Pricing Models 311
Ch. 15 Empirical Tests of Equilibrium Models 341
Ch. 16 The Arbitrage Pricing Model Apt - A New Approach to Explaining Asset Prices 368
Pt. 4 Security Analysis and Portfolio Theory 405
Ch. 17 Efficient Markets 406
Ch. 18 The Valuation Process 449
Ch. 19 Earnings Estimation 477
Ch. 20 Interest Rate Theory and the Pricing of Bonds 494
Ch. 21 The Management of Bond Portfolios 534
Ch. 22 Option Pricing Theory 570
Ch. 23 The Valuation and Uses of Financial Futures 609
Pt. 5 Evaluating the Investment Process 629
Ch. 24 Evaluation of Portfolio Performance 630
Ch. 25 Evaluation of Security Analysis 672
Ch. 26 Portfolio Management Revisited 687
Index 705
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