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• Title Page
• Copyright
• Dedication
• About the Authors
• New to the 9th Edition
• Preface
• Contents
• Part 1: Introduction
• Chapter 1: Introduction
• Outline of the Book
• The Economic Theory of Choice: An Illustration under Certainty
• Conclusion
• Multiple Assets and Risk
• Questions and Problems
• Bibliography
• Chapter 2: Financial Securities
• Types of Marketable Financial Securities
• The Return Characteristics of Alternative Security Types
• Stock Market Indexes
• Bond Market Indexes
• Conclusion
• Chapter 3: Financial Markets
• Trading Mechanics
• Margin
• Markets
• Trade Types and Costs
• Conclusion
• Part 2: Portfolio Analysis
• Section 1: Mean Variance Portfolio Theory
• Chapter 4: The Characteristics of the Opportunity Set under Risk
• Determining the Average Outcome
• A Measure of Dispersion
• Variance of Combinations of Assets
• Characteristics of Portfolios in General
• Two Concluding Examples
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 5: Delineating Efficient Portfolios
• Combinations of Two Risky Assets Revisited: Short Sales Not Allowed
• The Shape of the Portfolio Possibilities Curve
• The Efficient Frontier with Riskless Lending and Borrowing
• Examples and Applications
• Three Examples
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 6: Techniques for Calculating the Efficient Frontier
• Short Sales Allowed with Riskless Lending and Borrowing
• Short Sales Allowed: No Riskless Lending and Borrowing
• Riskless Lending and Borrowing with Short Sales Not Allowed
• No Short Selling and No Riskless Lending and Borrowing
• The Incorporation of Additional Constraints
• An Example
• Conclusion
• Appendix A: An Alternative Definition of Short Sales
• Appendix B: Determining the Derivative
• Appendix C: Solving Systems of Simultaneous Equations
• Appendix D: A General Solution
• Appendix E: Quadratic Programming and Kuhn–Tucker Conditions
• Questions and Problems
• Bibliography
• Section 2: Simplifying the Portfolio Selection Process
• Chapter 7: The Correlation Structure of Security Returns—the Single-Index Model
• The Inputs to Portfolio Analysis
• Single-Index Models: An Overview
• Characteristics of the Single-Index Model
• Estimating Beta
• The Market Model
• An Example
• Questions and Problems
• Bibliography
• Chapter 8: The Correlation Structure of Security Returns—Multi-Index Models and Grouping Technique
• Multi-index Models
• Average Correlation Models
• Mixed Models
• Fundamental Multi-index Models
• Conclusion
• Appendix A: Procedure for Reducing Any Multi-index Model to a Multi-index Model with Orthogonal Inde
• Appendix B: Mean Return, Variance, and Covariance of a Multi-index Model
• Questions and Problems
• Bibliography
• Chapter 9: Simple Techniques for Determining the Efficient Frontier
• The Single-index Model
• Security Selection with a Purchasable Index
• The Constant Correlation Model
• Other Return Structures
• An Example
• Conclusion
• Appendix A: Single-index Model— Short Sales Allowed
• Appendix B: Constant Correlation Coefficient—Short Sales Allowed
• Appendix C: Single-index Model—Short Sales Not Allowed
• Appendix D: Constant Correlation Coefficient—Short Sales Not Allowed
• Appendix E: Single-index Model, Short Sales Allowed, and a Market Asset
• Questions and Problems
• Bibliography
• Section 3: Selecting the Optimum Portfolio
• Chapter 10: Estimating Expected Returns
• Aggregate Asset Allocation
• Forecasting Individual Security Returns
• Portfolio Analysis with Discrete Data
• Appendix: The Ross Recovery Theorem—A New Approach to Using Market Data to Calculate Expected Retu
• Bibliography
• Chapter 11: How to Select among the Portfolios in the Opportunity Set
• Choosing Directly
• An Introduction to Preference Functions
• Risk Tolerance Functions
• Safety First
• Maximizing the Geometric Mean Return
• Value at Risk (VaR)
• Utility and the Equity Risk Premium
• Optimal Investment Strategies with Investor Liabilities
• Liabilities and Safety-First Portfolio Selection
• Simulations in Portfolio Choice
• Conclusion
• Appendix: The Economic Properties of Utility Functions
• Relative Risk Aversion and Wealth
• Questions and Problems
• Bibliography
• Section 4: Widening the Selection Universe
• Chapter 12: International Diversification
• Historical Background
• Calculating the Return on Foreign Investments
• The Risk of Foreign Securities
• Market Integration
• Returns from International Diversification
• The Effect of Exchange Risk
• Return Expectations and Portfolio Performance
• Emerging Markets
• Other Evidence on Internationally Diversified Portfolios
• Sovereign Funds
• Models for Managing International Portfolios
• Conclusion
• Questions and Problems
• Bibliography
• Part 3: Models of Equilibrium in The Capital Markets
• Chapter 13: The Standard Capital Asset Pricing Model
• The Assumptions Underlying the Standard Capital Asset Pricing Model (CAPM)
• The CAPM
• Prices and the CAPM
• Conclusion
• Appendix: Appropriateness of the Single-Period Asset Pricing Model
• Questions and Problems
• Bibliography
• Chapter 14: Nonstandard Forms of Capital Asset Pricing Models
• Short Sales Disallowed
• Modifications of Riskless Lending and Borrowing
• Personal Taxes
• Nonmarketable Assets
• Heterogeneous Expectations
• Non-Price-Taking Behavior
• Multiperiod CAPM
• The Multi-beta CAPM
• Consumption CAPM
• Conclusion
• Appendix: Derivation of the General Equilibrium with Taxes
• Questions and Problems
• Bibliography
• Chapter 15: Empirical Tests of Equilibrium Models
• The Models—Ex Ante Expectations and Ex Post Tests
• Empirical Tests of the CAPM
• Testing Some Alternative Forms of the CAPM Model
• Testing the Posttax Form of the CAPM Model
• Some Reservations about Traditional Tests of General Equilibrium Relationships and Some New Research
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 16: The Arbitrage Pricing Model APT—A Multifactor Approach to Explaining Asset Prices
• APT—What Is It?
• Estimating and Testing APT
• APT and CAPM
• Recapitulation
• Term Structure Factor
• Credit Risk Factor
• Foreign Exchange [FX] Carry
• Value Factor
• Size Factor
• Momentum Factor
• Volatility Factor
• Liquidity Factor
• Inflation Factor
• GDP Factor
• Equity Risk Premium
• Limitations of Factor Investing
• Factor Investing Summary
• Conclusion
• Appendix A: A Simple Example of Factor Analysis
• Appendix B: Specification of the APT with an Unobserved Market Factor
• Questions and Problems
• Bibliography
• Part 4: Security Analysis and Portfolio Theory
• Chapter 17: Efficient Markets
• Early Development
• The Next Stages of Theory
• Recent Theory
• Some Background
• Testing the EMH
• Tests of Return Predictability
• Tests on Prices and Returns
• Monthly Patterns
• Announcement and Price Return
• Methodology of Event Studies
• Strong-Form Efficiency
• Market Rationality
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 18: The Valuation Process
• Discounted Cash Flow Models
• Cross-Sectional Regression Analysis
• An Ongoing System
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 19: Earnings Estimation
• The Elusive Number Called Earnings
• The Importance of Earnings
• Characteristics of Earnings and Earnings Forecasts
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 20: Behavioral Finance, Investor Decision Making, and Asset Prices
• Prospect Theory and Decision Making under Uncertainty
• Biases from Laboratory Experiments
• Summary of Investor Behavior
• Behavioral Finance and Asset Pricing Theory
• Bibliography
• Chapter 21: Interest Rate Theory and the Pricing of Bonds
• An Introduction to Debt Securities
• The Many Definitions of Rates
• Bond Prices and Spot Rates
• Determining Spot Rates
• The Determinants of Bond Prices
• Collateral Mortgage Obligations
• The Financial Crisis of 2008
• Conclusion
• Appendix A: Special Considerations in Bond Pricing
• Appendix B: Estimating Spot Rates
• Appendix C: Calculating Bond Equivalent Yield and Effective Annual Yield
• Questions and Problems
• Bibliography
• Chapter 22: The Management of Bond Portfolios
• Duration
• Protecting against Term Structure Shifts
• Bond Portfolio Management of Yearly Returns
• Swaps
• Appendix A: Duration Measures
• Appendix B: Exact Matching Programs
• Appendix C: Bond-Swapping Techniques
• Appendix D: Convexity
• Questions and Problems
• Bibliography
• Chapter 23: Option Pricing Theory
• Types of Options
• Some Basic Characteristics of Option Values
• Valuation Models
• Artificial or Homemade Options
• Uses of Options
• Conclusion
• Appendix A: Derivation of the Binomial Formula
• Appendix B: Derivation of the Black–Scholes Formula
• Questions and Problems
• Bibliography
• Chapter 24: The Valuation and Uses of Financial Futures
• Description of Financial Futures
• Valuation of Financial Futures
• The Uses of Financial Futures
• Nonfinancial Futures and Commodity Funds
• Questions and Problems
• Bibliography
• Part 5: Evaluating The Investment Process
• Chapter 25: Mutual Funds
• Open-End Mutual Funds
• Closed-End Mutual Funds
• Exchange-Traded Funds (ETFs)
• Conclusion
• Bibliography
• Chapter 26: Evaluation of Portfolio Performance
• Evaluation Techniques
• A Manipulation-Proof Performance Measure
• Timing
• Holding Measures of Timing
• Multi-index Models and Performance Measurement
• Using Holdings Data to Measure Performance Directly
• Time-Varying Betas
• Conditional Models of Performance Measurement, Bayesian Analysis, and Stochastic Discount Factors
• Bayesian Analysis
• Stochastic Discount Factors
• What’s a Researcher to Do?
• Measuring the Performance of Active Bond Funds
• The Performance of Actively Managed Mutual Funds
• How Have Mutual Funds Done?
• The Persistence of Performance
• Persistence
• Appendix: The Use of APT Models to Evaluate and Diagnose Performance
• Questions and Problems
• Bibliography
• Chapter 27: Evaluation of Security Analysis
• Why the Emphasis on Earnings?
• The Evaluation of Earnings Forecasts
• Evaluating the Valuation Process
• Conclusion
• Questions and Problems
• Bibliography
• Chapter 28: Portfolio Management Revisited
• Managing Stock Portfolios
• Active Management
• Passive Versus Active
• International Diversification
• Bond Management
• Bond and Stock Investment with a Liability Stream
• Bibliography
• Index