This text offers accurate and intuitive coverage of investments, with an emphasis on portfolio theory. It includes extensive discussion of capital asset pricing, arbitrage pricing, pricing of derivative securities, interest rates, and bond management. Stock valuation, estimating future earnings and dividends, and fixed income markets are examined. Calculus is useful, but not required, since it is used only in the appendixes to the main discussions in the chapters.
About the Author
Robert Arthur Haugen was a financial economist and a pioneer in the field of quantitative investing. He was President of Haugen Custom Financial Systems and also consulted and spoke globally
Features
The book differentiates itself in the following respects. First, the coverage of portfolio
theory is complete and detailed, covering four chapters including a unique graphical
explanation of the Markowitz procedure, as well as a new chapter on asset
allocation using comprehensive simulations with real data.
Second, extensive coverage is given to the issues related to capital asset pricing.
The capital asset pricing model is covered in great detail. Emphasis is given to discriminating
between the properties of the model that derive from economics and the properties
that derive from definitional identities. The coverage of the arbitrage pricing
theory is both complete and up-to-date. The issues involved in testing both CAPM and
APT are also explored in detail.
Indian cases have been added and data updation.
Table Content
Chapter 1 Introduction to Modern Investment Theory
Chapter 2 Securities and Markets
Chapter 3 Some Statistical Concepts
Chapter 4 Combining Individual Securities into Portfolios
PART II: PORTFOLIO MANAGEMENT
Chapter 5 Finding the Efficient Set
Chapter 6 Factor Models
Chapter 7 Asset Allocation
PART III: ASSET PRICING THEORIES AND PERFORMANCE MEASUREMENT
Chapter 8 The Capital Asset Pricing Model
Chapter 9 Empirical Tests of the Capital Asset Pricing Model
Chapter 10 The Arbitrage Pricing Theory
Chapter 11 Measuring Portfolio Performance with Asset Pricing Models 27
Chapter 12 Measuring Performance without Asset Pricing Models
PART IV: INTEREST RATES AND BOND MANAGEMENT
Chapter 13 The Level of Interest Rates
Chapter 14 The Term Structure of Interest Rates
Chapter 15 Bond Portfolio Management
Chapter 16 Interest Immunization
PART V: DERIVATIVE SECURITIES
Chapter 17 European Option Pricing
Chapter 18 American Option Pricing
Chapter 19 Additional Issues in Option Pricing
Chapter 20 Financial Forward and Futures Contracts
PART VI: TAXES, STOCK VALUATION,
AND MARKET EFFICIENCY
Chapter 21 The Effect of Taxes on Investment Strategy and Securities Prices
Chapter 22 Stock Valuation
Chapter 23 Issues in Estimating Future Earnings and Dividends
Chapter 24 Market Efficiency: The Concept
Chapter 25 Market Efficiency: The Evidence
