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Table Of Contents

1.2 Financial Investment
1.3 Investment Analysis
1.4 Securities
1.5 Non-Marketable Securities
1.6 Marketable Securities
1.6.1 Money Market Securities
1.6.2 Capital Market Securities
1.6.3 Derivatives
1.6.4 Indirect Investments
1.7 Securities and Risk
1.8 The Investment Process
1.9 Summary
Buying and Selling
2.1 Introduction
2.2 Markets
2.2.1 Primary and Secondary
2.2.2 Call and Continuous
2.2.3 Auction and Over-the-Counter
2.2.4 Money and Capital
2.3 Brokers
2.4 Trading Stocks
2.4.1 Time Limit
2.4.2 Type of Order
2.5 Accounts
2.5.1 Account Types
2.5.2 Margin Requirement
2.5.3 Margin and Return
2.6 Short Sales
2.7 Summary
Portfolio Theory
Risk and Return
3.1 Introduction
3.2 Return
3.2.1 Stock Returns
3.2.2 Portfolio Return
3.2.3 Portfolio Proportions
3.2.4 Mean Return
3.3 Variance and Covariance
3.3.1 Sample Variance
3.3.2 Sample Covariance
3.4 Population Return and Variance
3.4.1 Expectations
3.4.2 Expected Return
3.4.3 Population Variance
3.4.4 Population Covariance
3.5 Portfolio Variance
3.5.1 Two Assets
3.5.2 Correlation Coefficient
3.5.3 General Formula
3.5.4 Effect of Diversification
3.6 Summary
The Efficient Frontier
4.1 Introduction
4.2 Two-Asset Portfolios
4.3 Short Sales
4.4 Efficient Frontier
4.5 Extension to Many Assets
4.6 Risk-free Asset
4.7 Different Borrowing and Lending Rates
4.8 Conclusions
Portfolio Selection
5.1 Introduction
5.2 Expected Utility
5.3 Risk Aversion
5.6 Markovitz Model
5.6.1 No Risk-Free
5.6.2 Risk-Free Asset
5.6.3 Borrowing and Lending
5.7 Implications
5.8 Conclusions
Modelling Returns
The Single Index Model
6.1 Introduction
6.2 Dimensionality
6.3 Single Index
6.4 Estimation
6.5 Shortcomings
6.8 Diversified portfolio
6.9 Market Model
6.10 Beta and Risk
6.11 Adjusting Beta
6.12 Fundamental Beta
6.13 Conclusion
Factor Models
7.1 Introduction
7.2 Single-Factor Model
7.3 Two Factors
7.4 Uncorrelated factors
7.5 Many Factors
7.6 Constructing uncorrelated factors
7.7 Factor models
7.7.1 Industry factors
7.7.2 Fundamental factors
Equilibrium Theory
The Capital Asset Pricing Model
8.1 Introduction
8.2 Assumptions
8.3 Equilibrium
8.4 Capital Market Line
8.5 Security Market Line
8.6 CAPM and Single-Index
8.7 Pricing and Discounting
8.9 Conclusions
Arbitrage Pricing Theory
9.1 Introduction
9.2 Returns Process
9.3 Arbitrage
9.4 Portfolio Plane
9.5 General Case
9.6 Equilibrium
9.7 Price of Risk
9.8 APT and CAPM
9.9 Conclusions
Empirical Testing
10.1 Introduction
10.2 CAPM
10.3 APT
10.4 Conclusions
Efficient Markets and Behavioral Finance
11.1 Introduction
11.2 Efficient Markets
11.3 Tests of Market Efficiency
11.3.1 Event Studies
11.3.2 Looking for Patterns
11.3.3 Examine Performance
11.4 Market Anomolies
11.5 Excess Volatility
11.6 Behvioral Finance
11.7 Conclusion
Fixed Income Securities
Interest Rates and Yields
12.1 Introduction
12.2 Types of Bond
12.3 Ratings and default
12.4 Yield-to-Maturity
12.5. SEMI-ANNUAL AND MONTHLY COUPONS 179
12.5 Semi-Annual and Monthly Coupons
12.6 CONTINUOUS INTEREST
12.7 Interest Rates and Discounting
12.7.1 Spot Rates
12.7.2 Discount Factors
12.7.3 Forward Rates
12.8 Duration
12.9 Price/Yield Relationship
12.10 Bond Portfolios
12.11 Conclusions
The Term Structure
13.1 Introduction
13.2 Yield and Time
13.3 Term Structure
13.4 Unbiased Expectations Theory
13.5 Liquidity Preference Theory
13.6 Market Segmentation (Preferred Habitat)
13.7 Empirical Evidence
13.8 Implications for Bond Management
13.9 Conclusion
Derivatives
14.1 Introduction
14.2 Options
14.2.1 Call Option
14.2.2 Put Options
14.2.3 Trading Options
14.3 Valuation at Expiry
14.4 Put-Call Parity
14.5 Valuing European Options
14.5.1 The Basic Binomial Model
14.5.2 The Two-Period Binomial
14.5.3 The General Binomial
14.5.4 Matching to Data
14.6 Black-Scholes Formula
14.7 American Options
14.7.1 Call Options
14.7.2 Put Option
14.8 Summary
14.9 Exercises
Forwards and Futures
15.1 Introduction
15.2 Forwards and Futures
15.3 Futures
15.3.1 Commodity Futures
15.3.2 Financial Futures
15.4 Motives for trading
15.4.1 Hedging
15.4.2 Speculation
15.5 Forward Prices
15.5.1 Investment Asset with No Income
15.5.2 Investment Asset with Known Income
15.5.3 Continuous Dividend Yield
15.5.4 Storage costs
15.6 Value of Contract
15.7 Commodities
15.8 Futures Compared to Forwards
15.9 Backwardation and Contango
15.10 Using Futures
15.11 Conclusions
16.1 Introduction
16.2 Plain Vanilla Swaps
16.2.1 Interest Rate Swap
16.2.2 Currency Swaps
16.3 Why Use Swaps?
16.3.1 Market Inefficiency
16.3.2 Management of Financial Risk
16.3.3 Speculation
16.4 The Swap Market
16.4.1 Features
16.4.2 Dealers and Brokers
16.5 The Valuation of Swaps
16.5.1 Replication
16.5.2 Implications
16.6 Interest Rate Swap Pricing
16.7 Currency Swap
16.7.1 Interest Rate Parity
16.7.2 Fixed-for-Fixed
16.7.3 Pricing Summary
16.8 Conclusions
Portfolio Evaluation
17.1 Introduction
17.2 Portfolio Consturction
17.3 Revision
17.4 Longer Run
17.5 Conclusion
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Investmentanalyse-MPT

Investmentanalyse-MPT

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Published by Sonja Mazanec

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Published by: Sonja Mazanec on Jan 03, 2012
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