Investments / Zvi Bodie, Boston University, Alex Kane, University of California, San Diego, Alan J. Marcus, Boston College.

Author
Bodie, Zvi [Browse]
Format
Book
Language
English
Εdition
Tenth edition.
Published/​Created
  • New York : McGraw-Hill Education, [2014]
  • ©2014
Description
1 volume (various pagings) : illustrations ; 27 cm

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              Details

              Subject(s)
              Author
              Series
              • McGraw-Hill/Irwin series in finance, insurance, and real estate [More in this series]
              • The McGraw-Hill/Irwin series in finance, insurance and real estate
              Notes
              Includes indexes.
              Bibliographic references
              Includes bibliographical references and indexes.
              Contents
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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?
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              • 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
              ISBN
              • 9780077861674 ((alk. paper))
              • 0077861671 ((alk. paper))
              • 9780077161149
              • 0077161149
              LCCN
              2013016066
              OCLC
              841199202
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