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Author : Herbert E. Phillips,John C. Ritchie
Publisher : South Western Educational Publishing
Page : 856 pages
File Size : 54,8 Mb
Release : 1983
Category : Business & Economics
ISBN : 0538064404
Author : Herbert E. Phillips,John C. Ritchie
Publisher : Ardsley House
Page : 818 pages
File Size : 43,6 Mb
Release : 1992
Category : Electronic
ISBN : 0912675160
Author : Edwin J. Elton,Martin J. Gruber,Stephen J. Brown,William N. Goetzmann
Publisher : John Wiley & Sons
Page : 754 pages
File Size : 42,6 Mb
Release : 2014-01-21
Category : Business & Economics
ISBN : 9781118469941
An excellent resource for investors, Modern Portfolio Theory and Investment Analysis, 9th Edition examines 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.
Author : Herbert B. Mayo
Publisher : Unknown
Page : 500 pages
File Size : 44,5 Mb
Release : 2006
Category : Investment analysis
ISBN : 0324235968
Author : Harry Markowitz
Publisher : Yale University Press
Page : 369 pages
File Size : 50,6 Mb
Release : 2008-10-01
Category : Business & Economics
ISBN : 9780300013726
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Author : Harry Max Markowitz
Publisher : Unknown
Page : 384 pages
File Size : 49,6 Mb
Release : 1991
Category : Finance
ISBN : OCLC:959414207
Author : Jack Clark Francis,Stephen Hunt Archer
Publisher : Prentice Hall
Page : 440 pages
File Size : 52,9 Mb
Release : 1979
Category : Business enterprises
ISBN : UOM:39076000624168
Risk estimates; Portfolio analysis; Portfolio theory; Utility analysis; Asset and liability management by means of portfolio analysis; Nonsystematic distribution of returns.
Author : Geoffrey P. E. Clarkson
Publisher : Unknown
Page : 168 pages
File Size : 51,7 Mb
Release : 1962
Category : Business & Economics
ISBN : WISC:89048446009
Author : John B. Guerard,Ziwei Wang,Ganlin Xu
Publisher : SAS Institute
Page : 277 pages
File Size : 43,5 Mb
Release : 2019-04-03
Category : Computers
ISBN : 9781635266894
Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.
Author : Frank J. Travers
Publisher : John Wiley & Sons
Page : 321 pages
File Size : 51,5 Mb
Release : 2011-08-31
Category : Business & Economics
ISBN : 9781118160893
Praise for Investment Manager Analysis "This is a book that should have been written years ago. It provides a practical, thorough, and completely objective method to analyze and select an investment manager. It takes the mystery (and the consultants) out of the equation. Without question, this book belongs on every Plan Sponsor's desk." —Dave Davenport, Assistant Treasurer, Lord Corporation, author of The Equity Manager Search "An insightful compendium of the issues that challenge those responsible for hiring and firing investment managers. Frank Travers does a good job of taking complicated analytical tools and methodologies and explaining them in a simple, yet practical manner. Anyone responsible for conducting investment manager due diligence should have a copy on their bookshelf." —Leon G. Cooperman, Chairman and CEO, Omega Advisors, Inc. "Investment Manager Analysis provides a good overview of the important areas that purchasers of institutional investment management services need to consider. It is a good instructional guide, from which search policies and procedures can be developed, as well as a handy reference guide." —David Spaulding, President, The Spaulding Group, Inc. "This book is the definitive work on the investment manager selection process. It is comprehensive in scope and well organized for both the layman and the professional. It should be required reading for any organization or individual seeking talent to manage their assets." —Scott Johnston, Chairman and Chief Investment Officer, Sterling Johnston Capital Management, LP "Investment Manager Analysis is a much-needed, comprehensive review of the manager selection process. While the industry is riddled with information about selecting individual stocks, comparatively little has been written on the important subject of manager selection for fund sponsors. This is a particularly useful guide for the less experienced practitioner and offers considerable value to the veteran decisionmaker as well." —Dennis J. Trittin, CFA, Portfolio Manager, Russell Investment Group
Author : Patrick Daum
Publisher : GRIN Verlag
Page : 23 pages
File Size : 51,9 Mb
Release : 2012-05-14
Category : Business & Economics
ISBN : 9783656190578
Seminar paper from the year 2011 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, South Bank University London (Business Faculty), course: Fondmanagement , language: English, abstract: Die Arbeit legt die Portfoliotheorie an Hand eine praktischen Beispiels dar. Auf der Basis von 10 Stocks aus dem FTSE 100 wird das optimale Portfolio errechnet und dessen Performance eingeordnet. ++++ According Warren Buffett, financial investors should never purchase a security, if they cannot accept that the value might be cut in half (Schömann-Finck, 2010). One of the most successful global investors has illustrated with this quote the risks involved in the business of financial investments. In order to optimize risk-return tradeoffs, scientific research has developed efficient diversification techniques. This paper examines the process of portfolio diversification based on a sample of 10 randomly selected securities. First the optimal portfolio is identified in order to evaluate its performance against the market trend via industry accepted benchmarking comparison tools in a second step. Finally, potential portfolio gains, achieved via diversification across additional asset classes, are discussed and evaluated. According to Bodie et al. (2008) the investment decision process can be separated into three major steps (see figure 1): Capital Allocation, Asset Allocation and Security Selection. For the purpose of this paper 100% of the available funds are assumed to be allocated into stocks. The portfolio created (see figure 2) consists of 10 randomly selected securities taken from the FTSE 100 index.
Author : Harry M. Markowitz,G. Peter Todd
Publisher : John Wiley & Sons
Page : 404 pages
File Size : 44,9 Mb
Release : 2000-02-15
Category : Business & Economics
ISBN : 1883249759
In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Author : Edwin J. Elton,Martin J. Gruber,Stephen J. Brown,William N. Goetzmann
Publisher : John Wiley & Sons
Page : 752 pages
File Size : 54,5 Mb
Release : 2009-07
Category : Business enterprises
ISBN : 8126518650
This book stresses the economic intuition behind the subject matter. Topics include 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.Part 1: IntroductionPart 2: Portfolio AnalysisPart 3: Models of Equilibrium in the Capital MarketsPart 4: Security Analysis and Portfolio TheoryPart 5: Evaluating the Investment Process
Author : Haim Levy,Marshall Sarnat
Publisher : Prentice Hall
Page : 776 pages
File Size : 45,8 Mb
Release : 1984
Category : Business & Economics
ISBN : STANFORD:36105001947949
Author : Shouyang Wang,Yusen Xia
Publisher : Springer Science & Business Media
Page : 200 pages
File Size : 45,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642559341
In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
