{"product_id":"modern-portfolio-theory-and-investment-analysis-isbn-9781118469941","title":"Modern Portfolio Theory and Investment Analysis","description":"An excellent resource for investors, \u003ci\u003eModern Portfolio Theory and Investment Analysis, 9th Edition \u003c\/i\u003eexamines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. A chapter on behavioral finance is included, aimed to explore the nature of individual decision making. A chapter on forecasting expected returns, a key input to portfolio management, is also included. In addition, investors will find material on value at risk and the use of simulation to enhance their understanding of the field. \u003cp\u003e\u003cb\u003ePart 1 Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 \u003c\/b\u003e\u003cb\u003eIntroduction 2\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOutline of the Book 2\u003c\/p\u003e \u003cp\u003eThe Economic Theory of Choice: An Illustration under Certainty 4\u003c\/p\u003e \u003cp\u003eConclusion 8\u003c\/p\u003e \u003cp\u003eMultiple Assets and Risk 8\u003c\/p\u003e \u003cp\u003eQuestions and Problems 9\u003c\/p\u003e \u003cp\u003eBibliography 10\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 \u003c\/b\u003e\u003cb\u003eFinancial Securities 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of Marketable Financial Securities 11\u003c\/p\u003e \u003cp\u003eThe Return Characteristics of Alternative Security Types 19\u003c\/p\u003e \u003cp\u003eStock Market Indexes 21\u003c\/p\u003e \u003cp\u003eBond Market Indexes 22\u003c\/p\u003e \u003cp\u003eConclusion 23\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 \u003c\/b\u003e\u003cb\u003eFinancial Markets 24\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTrading Mechanics 24\u003c\/p\u003e \u003cp\u003eMargin 27\u003c\/p\u003e \u003cp\u003eMarkets 30\u003c\/p\u003e \u003cp\u003eTrade Types and Costs 36\u003c\/p\u003e \u003cp\u003eConclusion 38\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 2 PORTFOLIO ANALYSIS 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSection 1 \u003c\/b\u003e\u003cb\u003eMean Variance Portfolio Theory 41\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 \u003c\/b\u003e\u003cb\u003eThe Characteristics of The Opportunity Set Under Risk 42\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDetermining the Average Outcome 43\u003c\/p\u003e \u003cp\u003eA Measure of Dispersion 44\u003c\/p\u003e \u003cp\u003eVariance of Combinations of Assets 47\u003c\/p\u003e \u003cp\u003eCharacteristics of Portfolios in General 50\u003c\/p\u003e \u003cp\u003eTwo Concluding Examples 59\u003c\/p\u003e \u003cp\u003eConclusion 62\u003c\/p\u003e \u003cp\u003eQuestions and Problems 62\u003c\/p\u003e \u003cp\u003eBibliography 64\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 \u003c\/b\u003e\u003cb\u003eDelineating Efficient Portfolios 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCombinations of Two Risky Assets Revisited: Short Sales Not Allowed 65\u003c\/p\u003e \u003cp\u003eThe Shape of the Portfolio Possibilities Curve 74\u003c\/p\u003e \u003cp\u003eThe Efficient Frontier with Riskless Lending and Borrowing 81\u003c\/p\u003e \u003cp\u003eExamples and Applications 85\u003c\/p\u003e \u003cp\u003eThree Examples 89\u003c\/p\u003e \u003cp\u003eConclusion 92\u003c\/p\u003e \u003cp\u003eQuestions and Problems 92\u003c\/p\u003e \u003cp\u003eBibliography 93\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 \u003c\/b\u003e\u003cb\u003eTechniques for Calculating The Efficient Frontier 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eShort Sales Allowed with Riskless Lending and Borrowing 96\u003c\/p\u003e \u003cp\u003eShort Sales Allowed: No Riskless Lending and Borrowing 100\u003c\/p\u003e \u003cp\u003eRiskless Lending and Borrowing with Short Sales Not Allowed 100\u003c\/p\u003e \u003cp\u003eNo Short Selling and No Riskless Lending and Borrowing 101\u003c\/p\u003e \u003cp\u003eThe Incorporation of Additional Constraints 102\u003c\/p\u003e \u003cp\u003eAn Example 103\u003c\/p\u003e \u003cp\u003eConclusion 106\u003c\/p\u003e \u003cp\u003eAppendix A: An Alternative Definition of Short Sales 106\u003c\/p\u003e \u003cp\u003eAppendix B: Determining the Derivative 107\u003c\/p\u003e \u003cp\u003eAppendix C: Solving Systems of Simultaneous Equations 111\u003c\/p\u003e \u003cp\u003eAppendix D: A General Solution 114\u003c\/p\u003e \u003cp\u003eAppendix E: Quadratic Programming and Kuhn–Tucker Conditions 118\u003c\/p\u003e \u003cp\u003eQuestions and Problems 121\u003c\/p\u003e \u003cp\u003eBibliography 122\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSection 2 \u003c\/b\u003e\u003cb\u003eSimplifying The Portfolio Selection Process 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 \u003c\/b\u003e\u003cb\u003eThe Correlation Structure Of Security Returns—The Single-Index Model 126\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Inputs to Portfolio Analysis 127\u003c\/p\u003e \u003cp\u003eSingle-Index Models: An Overview 128\u003c\/p\u003e \u003cp\u003eCharacteristics of the Single-Index Model 133\u003c\/p\u003e \u003cp\u003eEstimating Beta 135\u003c\/p\u003e \u003cp\u003eThe Market Model 148\u003c\/p\u003e \u003cp\u003eAn Example 149\u003c\/p\u003e \u003cp\u003eQuestions and Problems 150\u003c\/p\u003e \u003cp\u003eBibliography 152\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 \u003c\/b\u003e\u003cb\u003eThe Correlation Structure Of Security Returns—Multi-Index Models And Grouping Techniques 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMulti-index Models 156\u003c\/p\u003e \u003cp\u003eAverage Correlation Models 162\u003c\/p\u003e \u003cp\u003eMixed Models 163\u003c\/p\u003e \u003cp\u003eFundamental Multi-index Models 163\u003c\/p\u003e \u003cp\u003eConclusion 169\u003c\/p\u003e \u003cp\u003eAppendix A: Procedure for Reducing Any Multi-index Model to a\u003c\/p\u003e \u003cp\u003eMulti-index Model with Orthogonal Indexes 169\u003c\/p\u003e \u003cp\u003eAppendix B: Mean Return, Variance, and Covariance of a Multi-index Model 170\u003c\/p\u003e \u003cp\u003eQuestions and Problems 172\u003c\/p\u003e \u003cp\u003eBibliography 173\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 \u003c\/b\u003e\u003cb\u003eSimple Techniques for Determining The Efficient Frontier 176\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Single-index Model 177\u003c\/p\u003e \u003cp\u003eSecurity Selection with a Purchasable Index 188\u003c\/p\u003e \u003cp\u003eThe Constant Correlation Model 189\u003c\/p\u003e \u003cp\u003eOther Return Structures 192\u003c\/p\u003e \u003cp\u003eAn Example 192\u003c\/p\u003e \u003cp\u003eConclusion 193\u003c\/p\u003e \u003cp\u003eAppendix A: Single-index Model—Short Sales Allowed 194\u003c\/p\u003e \u003cp\u003eAppendix B: Constant Correlation Coefficient—Short Sales Allowed 196\u003c\/p\u003e \u003cp\u003eAppendix C: Single-index Model—Short Sales Not Allowed 197\u003c\/p\u003e \u003cp\u003eAppendix D: Constant Correlation Coefficient—Short Sales Not Allowed 199\u003c\/p\u003e \u003cp\u003eAppendix E: Single-index Model, Short Sales Allowed, and a Market Asset 201\u003c\/p\u003e \u003cp\u003eQuestions and Problems 201\u003c\/p\u003e \u003cp\u003eBibliography 202\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSection 3 \u003c\/b\u003e\u003cb\u003eSelecting The Optimum Portfolio 205\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 \u003c\/b\u003e\u003cb\u003eEstimating Expected Returns 206\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAggregate Asset Allocation 206\u003c\/p\u003e \u003cp\u003eForecasting Individual Security Returns 212\u003c\/p\u003e \u003cp\u003ePortfolio Analysis with Discrete Data 214\u003c\/p\u003e \u003cp\u003eAppendix: The Ross Recovery Theorem—A New Approach to\u003c\/p\u003e \u003cp\u003eUsing Market Data to Calculate Expected Return 215\u003c\/p\u003e \u003cp\u003eBibliography 218\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 \u003c\/b\u003e\u003cb\u003eHow to Select Among The Portfolios In The Opportunity Set 220\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChoosing Directly 220\u003c\/p\u003e \u003cp\u003eAn Introduction to Preference Functions 221\u003c\/p\u003e \u003cp\u003eRisk Tolerance Functions 224\u003c\/p\u003e \u003cp\u003eSafety First 226\u003c\/p\u003e \u003cp\u003eMaximizing the Geometric Mean Return 232\u003c\/p\u003e \u003cp\u003eValue at Risk (VaR) 234\u003c\/p\u003e \u003cp\u003eUtility and the Equity Risk Premium 235\u003c\/p\u003e \u003cp\u003eOptimal Investment Strategies with Investor Liabilities 237\u003c\/p\u003e \u003cp\u003eLiabilities and Safety-First Portfolio Selection 241\u003c\/p\u003e \u003cp\u003eSimulations in Portfolio Choice 241\u003c\/p\u003e \u003cp\u003eConclusion 247\u003c\/p\u003e \u003cp\u003eAppendix: The Economic Properties of Utility Functions 247\u003c\/p\u003e \u003cp\u003eRelative Risk Aversion and Wealth 249\u003c\/p\u003e \u003cp\u003eQuestions and Problems 249\u003c\/p\u003e \u003cp\u003eBibliography 250\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSection 4 \u003c\/b\u003e\u003cb\u003eWidening the Selection Universe 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 \u003c\/b\u003e\u003cb\u003eInternational Diversification 256\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHistorical Background 257\u003c\/p\u003e \u003cp\u003eCalculating the Return on Foreign Investments 257\u003c\/p\u003e \u003cp\u003eThe Risk of Foreign Securities 261\u003c\/p\u003e \u003cp\u003eMarket Integration 267\u003c\/p\u003e \u003cp\u003eReturns from International Diversification 268\u003c\/p\u003e \u003cp\u003eThe Effect of Exchange Risk 269\u003c\/p\u003e \u003cp\u003eReturn Expectations and Portfolio Performance 270\u003c\/p\u003e \u003cp\u003eEmerging Markets 272\u003c\/p\u003e \u003cp\u003eOther Evidence on Internationally Diversified Portfolios 276\u003c\/p\u003e \u003cp\u003eSovereign Funds 278\u003c\/p\u003e \u003cp\u003eModels for Managing International Portfolios 280\u003c\/p\u003e \u003cp\u003eConclusion 283\u003c\/p\u003e \u003cp\u003eQuestions and Problems 284\u003c\/p\u003e \u003cp\u003eBibliography 285\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 3 Models of Equilibrium in The Capital Markets 289\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 \u003c\/b\u003e\u003cb\u003eThe Standard Capital Asset Pricing Model 290\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Assumptions Underlying the Standard Capital Asset Pricing Model (CAPM) 290\u003c\/p\u003e \u003cp\u003eThe CAPM 291\u003c\/p\u003e \u003cp\u003ePrices and the CAPM 300\u003c\/p\u003e \u003cp\u003eConclusion 302\u003c\/p\u003e \u003cp\u003eAppendix: Appropriateness of the Single-Period Asset Pricing Model 304\u003c\/p\u003e \u003cp\u003eQuestions and Problems 308\u003c\/p\u003e \u003cp\u003eBibliography 309\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 \u003c\/b\u003e\u003cb\u003eNonstandard Forms of Capital Asset Pricing Models 311\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eShort Sales Disallowed 312\u003c\/p\u003e \u003cp\u003eModifications of Riskless Lending and Borrowing 312\u003c\/p\u003e \u003cp\u003ePersonal Taxes 322\u003c\/p\u003e \u003cp\u003eNonmarketable Assets 324\u003c\/p\u003e \u003cp\u003eHeterogeneous Expectations 326\u003c\/p\u003e \u003cp\u003eNon-Price-Taking Behavior 327\u003c\/p\u003e \u003cp\u003eMultiperiod CAPM 327\u003c\/p\u003e \u003cp\u003eThe Multi-beta CAPM 328\u003c\/p\u003e \u003cp\u003eConsumption CAPM 328\u003c\/p\u003e \u003cp\u003eConclusion 330\u003c\/p\u003e \u003cp\u003eAppendix: Derivation of the General Equilibrium with Taxes 331\u003c\/p\u003e \u003cp\u003eQuestions and Problems 333\u003c\/p\u003e \u003cp\u003eBibliography 334\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 \u003c\/b\u003e\u003cb\u003eEMPIRICAL TESTS OF EQUILIBRIUM MODELS 340\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Models—Ex Ante Expectations and Ex Post Tests 340\u003c\/p\u003e \u003cp\u003eEmpirical Tests of the CAPM 341\u003c\/p\u003e \u003cp\u003eTesting Some Alternative Forms of the CAPM Model 352\u003c\/p\u003e \u003cp\u003eTesting the Posttax Form of the CAPM Model 353\u003c\/p\u003e \u003cp\u003eSome Reservations about Traditional Tests of General Equilibrium Relationships and Some New Research 356\u003c\/p\u003e \u003cp\u003eConclusion 358\u003c\/p\u003e \u003cp\u003eQuestions and Problems 359\u003c\/p\u003e \u003cp\u003eBibliography 360\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 \u003c\/b\u003e\u003cb\u003eThe Arbitrage Pricing Model Apt—A Multifactor Approach To Explaining Asset Prices 364\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAPT—What Is It? 364\u003c\/p\u003e \u003cp\u003eEstimating and Testing APT 369\u003c\/p\u003e \u003cp\u003eAPT and CAPM 381\u003c\/p\u003e \u003cp\u003eRecapitulation 382\u003c\/p\u003e \u003cp\u003eTerm Structure Factor 392\u003c\/p\u003e \u003cp\u003eCredit Risk Factor 392\u003c\/p\u003e \u003cp\u003eForeign Exchange [FX] Carry 393\u003c\/p\u003e \u003cp\u003eValue Factor 393\u003c\/p\u003e \u003cp\u003eSize Factor 393\u003c\/p\u003e \u003cp\u003eMomentum Factor 393\u003c\/p\u003e \u003cp\u003eVolatility Factor 394\u003c\/p\u003e \u003cp\u003eLiquidity Factor 394\u003c\/p\u003e \u003cp\u003eInflation Factor 395\u003c\/p\u003e \u003cp\u003eGDP Factor 395\u003c\/p\u003e \u003cp\u003eEquity Risk Premium 396\u003c\/p\u003e \u003cp\u003eLimitations of Factor Investing 396\u003c\/p\u003e \u003cp\u003eFactor Investing Summary 397\u003c\/p\u003e \u003cp\u003eConclusion 397\u003c\/p\u003e \u003cp\u003eAppendix A: A Simple Example of Factor Analysis 397\u003c\/p\u003e \u003cp\u003eAppendix B: Specification of the APT with an Unobserved Market Factor 399\u003c\/p\u003e \u003cp\u003eQuestions and Problems 400\u003c\/p\u003e \u003cp\u003eBibliography 401\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 4 Security Analysis and Portfolio Theory 409\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 \u003c\/b\u003e\u003cb\u003eEfficient Markets 410\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEarly Development 411\u003c\/p\u003e \u003cp\u003eThe Next Stages of Theory 412\u003c\/p\u003e \u003cp\u003eRecent Theory 414\u003c\/p\u003e \u003cp\u003eSome Background 415\u003c\/p\u003e \u003cp\u003eTesting the EMH 416\u003c\/p\u003e \u003cp\u003eTests of Return Predictability 417\u003c\/p\u003e \u003cp\u003eTests on Prices and Returns 417\u003c\/p\u003e \u003cp\u003eMonthly Patterns 419\u003c\/p\u003e \u003cp\u003eAnnouncement and Price Return 431\u003c\/p\u003e \u003cp\u003eMethodology of Event Studies 432\u003c\/p\u003e \u003cp\u003eStrong-Form Efficiency 437\u003c\/p\u003e \u003cp\u003eMarket Rationality 440\u003c\/p\u003e \u003cp\u003eConclusion 442\u003c\/p\u003e \u003cp\u003eQuestions and Problems 442\u003c\/p\u003e \u003cp\u003eBibliography 443\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 \u003c\/b\u003e\u003cb\u003eThe Valuation Process 454\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscounted Cash Flow Models 455\u003c\/p\u003e \u003cp\u003eCross-Sectional Regression Analysis 467\u003c\/p\u003e \u003cp\u003eAn Ongoing System 471\u003c\/p\u003e \u003cp\u003eConclusion 476\u003c\/p\u003e \u003cp\u003eQuestions and Problems 476\u003c\/p\u003e \u003cp\u003eBibliography 477\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 \u003c\/b\u003e\u003cb\u003eEarnings Estimation 481\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Elusive Number Called Earnings 481\u003c\/p\u003e \u003cp\u003eThe Importance of Earnings 484\u003c\/p\u003e \u003cp\u003eCharacteristics of Earnings and Earnings Forecasts 487\u003c\/p\u003e \u003cp\u003eConclusion 495\u003c\/p\u003e \u003cp\u003eQuestions and Problems 496\u003c\/p\u003e \u003cp\u003eBibliography 496\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 \u003c\/b\u003e\u003cb\u003eBehavioral Finance, Investor Decision Making, and Asset Prices 499\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProspect Theory and Decision Making under Uncertainty 499\u003c\/p\u003e \u003cp\u003eBiases from Laboratory Experiments 502\u003c\/p\u003e \u003cp\u003eSummary of Investor Behavior 505\u003c\/p\u003e \u003cp\u003eBehavioral Finance and Asset Pricing Theory 506\u003c\/p\u003e \u003cp\u003eBibliography 513\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 \u003c\/b\u003e\u003cb\u003eInterest Rate Theory And The Pricing Of Bonds 517\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAn Introduction to Debt Securities 518\u003c\/p\u003e \u003cp\u003eThe Many Definitions of Rates 519\u003c\/p\u003e \u003cp\u003eBond Prices and Spot Rates 526\u003c\/p\u003e \u003cp\u003eDetermining Spot Rates 528\u003c\/p\u003e \u003cp\u003eThe Determinants of Bond Prices 530\u003c\/p\u003e \u003cp\u003eCollateral Mortgage Obligations 546\u003c\/p\u003e \u003cp\u003eThe Financial Crisis of 2008 547\u003c\/p\u003e \u003cp\u003eConclusion 549\u003c\/p\u003e \u003cp\u003eAppendix A: Special Considerations in Bond Pricing 549\u003c\/p\u003e \u003cp\u003eAppendix B: Estimating Spot Rates 550\u003c\/p\u003e \u003cp\u003eAppendix C: Calculating Bond Equivalent Yield and Effective Annual Yield 552\u003c\/p\u003e \u003cp\u003eQuestions and Problems 552\u003c\/p\u003e \u003cp\u003eBibliography 553\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 22 \u003c\/b\u003e\u003cb\u003eThe Management of Bond Portfolios 557\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDuration 557\u003c\/p\u003e \u003cp\u003eProtecting against Term Structure Shifts 565\u003c\/p\u003e \u003cp\u003eBond Portfolio Management of Yearly Returns 569\u003c\/p\u003e \u003cp\u003eSwaps 578\u003c\/p\u003e \u003cp\u003eAppendix A: Duration Measures 580\u003c\/p\u003e \u003cp\u003eAppendix B: Exact Matching Programs 584\u003c\/p\u003e \u003cp\u003eAppendix C: Bond-Swapping Techniques 586\u003c\/p\u003e \u003cp\u003eAppendix D: Convexity 587\u003c\/p\u003e \u003cp\u003eQuestions and Problems 588\u003c\/p\u003e \u003cp\u003eBibliography 589\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 23 \u003c\/b\u003e\u003cb\u003eOption Pricing Theory 592\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of Options 592\u003c\/p\u003e \u003cp\u003eSome Basic Characteristics of Option Values 598\u003c\/p\u003e \u003cp\u003eValuation Models 603\u003c\/p\u003e \u003cp\u003eArtificial or Homemade Options 614\u003c\/p\u003e \u003cp\u003eUses of Options 615\u003c\/p\u003e \u003cp\u003eConclusion 618\u003c\/p\u003e \u003cp\u003eAppendix A: Derivation of the Binomial Formula 618\u003c\/p\u003e \u003cp\u003eAppendix B: Derivation of the Black–Scholes Formula 621\u003c\/p\u003e \u003cp\u003eQuestions and Problems 623\u003c\/p\u003e \u003cp\u003eBibliography 624\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 24 \u003c\/b\u003e\u003cb\u003eThe Valuation and Uses of Financial Futures 630\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDescription of Financial Futures 630\u003c\/p\u003e \u003cp\u003eValuation of Financial Futures 634\u003c\/p\u003e \u003cp\u003eThe Uses of Financial Futures 639\u003c\/p\u003e \u003cp\u003eNonfinancial Futures and\u003c\/p\u003e \u003cp\u003eCommodity Funds 643\u003c\/p\u003e \u003cp\u003eQuestions and Problems 644\u003c\/p\u003e \u003cp\u003eBibliography 645\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 5 Evaluating the Investment Process 647\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 25 \u003c\/b\u003e\u003cb\u003eMutual Funds 648\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOpen-End Mutual Funds 649\u003c\/p\u003e \u003cp\u003eClosed-End Mutual Funds 652\u003c\/p\u003e \u003cp\u003eExchange-Traded Funds (ETFs) 655\u003c\/p\u003e \u003cp\u003eConclusion 658\u003c\/p\u003e \u003cp\u003eBibliography 658\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 26 \u003c\/b\u003e\u003cb\u003eEvaluation of Portfolio Performance 660\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEvaluation Techniques 661\u003c\/p\u003e \u003cp\u003eA Manipulation-Proof Performance Measure 669\u003c\/p\u003e \u003cp\u003eTiming 670\u003c\/p\u003e \u003cp\u003eHolding Measures of Timing 674\u003c\/p\u003e \u003cp\u003eMulti-index Models and Performance Measurement 675\u003c\/p\u003e \u003cp\u003eUsing Holdings Data to Measure Performance Directly 678\u003c\/p\u003e \u003cp\u003eTime-Varying Betas 679\u003c\/p\u003e \u003cp\u003eConditional Models of Performance Measurement, Bayesian Analysis, and Stochastic Discount Factors 679\u003c\/p\u003e \u003cp\u003eBayesian Analysis 680\u003c\/p\u003e \u003cp\u003eStochastic Discount Factors 681\u003c\/p\u003e \u003cp\u003eWhat's a Researcher to Do? 681\u003c\/p\u003e \u003cp\u003eMeasuring the Performance of Active Bond Funds 682\u003c\/p\u003e \u003cp\u003eThe Performance of Actively Managed Mutual Funds 682\u003c\/p\u003e \u003cp\u003eHow Have Mutual Funds Done? 682\u003c\/p\u003e \u003cp\u003eThe Persistence of Performance 684\u003c\/p\u003e \u003cp\u003ePersistence 684\u003c\/p\u003e \u003cp\u003eAppendix: The Use of APT Models to Evaluate and Diagnose Performance 689\u003c\/p\u003e \u003cp\u003eQuestions and Problems 693\u003c\/p\u003e \u003cp\u003eBibliography 693\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 27 \u003c\/b\u003e\u003cb\u003eEvaluation Of Security Analysis 699\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy the Emphasis on Earnings? 700\u003c\/p\u003e \u003cp\u003eThe Evaluation of Earnings Forecasts 701\u003c\/p\u003e \u003cp\u003eEvaluating the Valuation Process 708\u003c\/p\u003e \u003cp\u003eConclusion 711\u003c\/p\u003e \u003cp\u003eQuestions and Problems 712\u003c\/p\u003e \u003cp\u003eBibliography 712\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 28 \u003c\/b\u003e\u003cb\u003ePortfolio Management Revisited 714\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eManaging Stock Portfolios 715\u003c\/p\u003e \u003cp\u003eActive Management 718\u003c\/p\u003e \u003cp\u003ePassive Versus Active 719\u003c\/p\u003e \u003cp\u003eInternational Diversification 720\u003c\/p\u003e \u003cp\u003eBond Management 720\u003c\/p\u003e \u003cp\u003eBond and Stock Investment with a Liability Stream 723\u003c\/p\u003e \u003cp\u003eBibliography 728\u003c\/p\u003e \u003cp\u003eIndex 731\u003c\/p\u003e \u003cp\u003e\u003cb\u003eEDWIN J. ELTON\u003c\/b\u003e is Nomura Professor of Finance at the Stern School of Business of New York University. He has authored or coauthored eight books and more than 100 articles. These articles have appeared in journals such as \u003ci\u003eThe Journal of Finance\u003c\/i\u003e, \u003ci\u003eThe Review of Financial Studies\u003c\/i\u003e, \u003ci\u003eReview of Economics and Statistics, Management Science, Journal of Financial Economics, Journal of Business, Oxford Economic Papers,\u003c\/i\u003e and \u003ci\u003eJournal of Financial and Quantitative Analysis.\u003c\/i\u003e He has been coeditor of the \u003ci\u003eJournal of Finance.\u003c\/i\u003e Professor Elton has been a member of the Board of Directors of the American Finance Association and an Associate Editor of \u003ci\u003eManagement Science.\u003c\/i\u003e He is Associate Editor of \u003ci\u003eJournal of Banking and Finance\u003c\/i\u003e and \u003ci\u003eJournal of Accounting Auditing and Finance.\u003c\/i\u003e Professor Elton has served as a consultant for many major financial institutions. A compendium of articles by Professor Elton and Professor Gruber has recently been published in two volumes by MIT press. Professor Elton is a past president of the American Finance Association, a fellow of that association, and a recipient of distinguished research award by the Eastern Finance Association.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eMARTIN J. GRUBER\u003c\/b\u003e is Nomura Professor of Finance and past Chairman of the Finance Department at the Stern School of Business of New York University. He is a fellow of the American Finance Association. He has published nine books and more than 100 journal articles in journals such as \u003ci\u003eThe Journal of Finance, The Review of Financial Studies, Review of Economics and Statistics, Journal of Financial Economics, Journal of Business, Management Science, Journal of Financial and Quantitative Analysis, Operations Research, Oxford Economic Papers,\u003c\/i\u003e and \u003ci\u003eThe Journal of Portfolio Management.\u003c\/i\u003e He has been coeditor of the \u003ci\u003eJournal of Finance.\u003c\/i\u003e He has been President of the American Finance Association, a Director of the European Finance Association, a Director of the American Finance Association, and a Director of both the Computer Applications Committee and the Investment Technology Symposium of the New York Society of Security Analysts. He was formerly Finance Department Editor for \u003ci\u003eManagement Science.\u003c\/i\u003e Professor Gruber has consulted in the areas of Investment Analysis and Portfolio Management with many major financial institutions. He is currently a director of DWS Mutual Funds, and a Director of the Diawa closed-end funds. He is formerly a director of TIAA, a director and chairman of CREF, and a director of the S. G. Cowen Mutual Funds.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSTEPHEN J. BROWN\u003c\/b\u003e is David S. Loeb Professor of Finance and Coordinator of Undergraduate Finance at the Leonard N. Stern School of Business, New York University. He has served on the Board of Directors of the American Finance Association, was founding editor of \u003ci\u003eThe Review of Financial Studies\u003c\/i\u003e and is currently a member of the Board of the Society of Quantitative Analysis. He is a Managing Editor of the \u003ci\u003eJournal of Financial and Quantitative Analysis\u003c\/i\u003e and has served on the editorial boards of \u003ci\u003eThe Journal of Finance, Pacific-Basin Finance Journal\u003c\/i\u003e, and other journals. He has published numerous articles and four books on finance and economics related areas. In 1996 he served on the nominating committee for the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel. He has served as an expert witness for the U.S. Department of Justice.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eWILLIAM N. GOETZMANN\u003c\/b\u003e is Edwin J. Beinecke Professor of Finance and Management Studies at the Yale School of Management and Director, International Center for Finance at the Yale School of Management and has served on the Board of Directors of the American Finance Association. His published research topics include global investing, forecasting stock markets, selecting mutual fund managers, housing as investment, and the risk and return of art. Professor Goetzmann has a background in arts and media management. As a documentary filmmaker, he has written and coproduced programs for \u003ci\u003eNova\u003c\/i\u003e and the \u003ci\u003eAmerican Masters\u003c\/i\u003e series, including a profile of the artist Thomas Eakins. A former director of Denver's Museum of Western Art, Professor Goetzmann coauthored the award winning book, \u003ci\u003eThe West of the Imagination.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eWiley’s Digital \u003cb\u003eAdvantage\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eDid you know this book is available as a Wiley E-Text?\u003c\/b\u003e\u003cbr\u003ePowered by VitalSource\u003csup\u003e®\u003c\/sup\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003eE-textbooks offer the complete content of the printed textbook on the device of your preference—computer, iPad, tablet, or smartphone—giving you the freedom to read or study anytime, anywhere.\u003c\/b\u003e \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003e\n\u003cb\u003eFor Instructors: \u003c\/b\u003e\u003cbr\u003e Wiley E-Texts allow you to save your teaching notes within the digital version of the printed textbook. 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You can access course materials and content anytime, anywhere through a user experience that makes learning rewarding. \u003c\/li\u003e\n\u003c\/ul\u003e \u003cul\u003e\u003cb\u003e\u003cli\u003esearch content\u003c\/li\u003e \u003cli\u003eTake notes\u003c\/li\u003e \u003cli\u003eHighlight key materials\u003c\/li\u003e \u003cli\u003eOrganize all your work in one place\u003c\/li\u003e\u003c\/b\u003e\u003c\/ul\u003e \u003cp\u003eSave At Least \u003cb\u003e50% Off Printed Textbook Costs!\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eHow Can Students Purchase E-textbooks?\u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e\u003cp\u003eVia your campus bookstore:\u003cbr\u003e Wiley E-Text: Powered by VitalSource\u003cbr\u003e ISBN 978-1-118-80543-5\u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e\u003cp\u003eDirectly from online retailers:\u003cbr\u003e Including Wiley.com, Amazon,\u003cbr\u003e Barnes \u0026amp; Noble, and CourseSmart\u003csup\u003e®\u003c\/sup\u003e \u003c\/p\u003e\u003cp\u003eFor information about this title, including additional ordering options and accompanying resources, visit: \u003cb\u003ewww.wiley.com\/college\/elton or contact your Wiley representative.\u003c\/b\u003e\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989643903205,"sku":"NP9781118469941","price":183.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118469941.jpg?v=1761784934","url":"https:\/\/k12savings.com\/es\/products\/modern-portfolio-theory-and-investment-analysis-isbn-9781118469941","provider":"K12savings","version":"1.0","type":"link"}