INVESTMENT, VOL 1. PORTFOLIO THEORY AND ASSET PRICING ELTON Księgarnia

INVESTMENTS

Portfolio Theory and Asset Pricing Edwin J. Eiton and Martin J. Gruber

Investments, a two-volume collection of articles in investment and portfolio management, spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz.

This volume presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition.

Edwin j. Eiton and Martin j. Gruber are both Nomura Professors of Finance at the Leonard N. Stern School of Business, New York University, and former Presidents of the American Finance Association.

Contents

I Inputs to Portfolio Management 1 Dependence Structure

1 Estimating the Dependence Structure of Share Prices; Implications for Portfolio Selection

2 Are Betas Best? with Thomas J. Urich

3 A Multi-index Risk Model of the Japanese Stock Market

4 Do Investors Care About Sentiment?with Jeffrey A. Busse

Valuation

5 Valuation and Asset Selection under Alternative Investment Opportunities

II Solving for Optional Portfolios

6 Simple Criteria for Optimal Portfolio Selection with Manfred W. Padberg

7 Simple Criteria for Optimal Portfolio Selection: Tracing Out the Efficient Frontier with Manfred W. Padberg

8 Simple Rules for Optimal Portfolio Selection: The Multi-group Case with Manfred W. Padberg

9 Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets with Vijay S. Bawa

10 Portfolio Analysis with Partial Information: The Case of Grouped Data Management Science

III Other Objective Functions 201 Single-period Analysis

11 On the Maximization of the Geometric Mean with Log-Normal Return Distribution

12 Portfolio Theory When Investment Relatives Are Log-Normally Distributed

13 Optimal Investment Strategies with Investor Liabilities

14 Portfolio Analysis with a Nonnormal Multi-index Return-Generating Process Review of Quantitative Finance and Accounting

Multi-period Analysis

15 Dynamic Programming Applications in Finance

16 On the Optimality of Some Multi-period Portfolio Selection Criteria

17 The Multi-period Consumption Investment Problem and Single Period Analysis

IV Equilibrium

18 Non-Standard c.a.p.m.s and the Market Portfolio

19 The Arbitrage Pricing Model and Returns on Assets under Uncertain Inflation with Joel Rentzler

20 On the Robustness of the Roll and Ross Arbitrage Pricing Theory with D. Chinhyung Cho

V Taxes and Portfolio Composition

21 Marginal Stockholder Tax Rates and the Clientele Effect

22 The Ex-Dividend Day Behavior of Stock Prices, A Re-examination of the Clientele Effect: A Comment with Joel Rentzler

23 A Simple Examination of the Empirical Relationship between Dividend Yields and Deviations from the CAPM with Joel Rentzler

24 Taxes and Portfolio Composition

VI The Past and the Future

25 Modem Portfolio Theory, 1950 to Date

468 pages

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.