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| Ïîèñê ïî óêàçàòåëÿì |
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| Bernstein P.L. — Capital Ideas: The Improbable Origins Of Modern Wall Street |
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| Ïðåäìåòíûé óêàçàòåëü |
Insurance companies, investments of 110 168
Intelligent Investor, The (Graham) 157
Interactive Data Corporation (IDC) 267
Interest/interest rates 68 69—71 72 159 203
Interest/interest rates, corporate debt 222—223
Interest/interest rates, junk bonds and 178
Interest/interest rates, payments 179
Interest/interest rates, risk-free 200
Interest/interest rates, stock indexes and 84
Interest/interest rates, stock prices and 159 201 207
Interest/interest rates, stock valuations 207
Interest/interest rates, swaps 230
International Flavors and Fragrances 52 242
Intertemporal capital asset pricing model 215 224
Investment Company Institute (ICI) 250
Investors, active vs. passive 135
Investors, corporate/institutional 8 166—168 301
Investors, equity 168
Investors, individual 8—9 264 301 303
Investors, response of to risk 185
Invisible hand market theory 122 306
Ito, Kiyoshi 185—186 201 215
Jensen, Michael 140—142 144 145 149 181 195—196 240 250
Johnson, Alvin 165
Jones, Eddie 25 120
Journal of Business 129 131 132 140 175 195 196 261
Journal of Finance 41 42 46 55 80 91 98 137 155 194 195 198
Journal of Political Economy (JPE) 220 221 222 225
Journal of Portfolio Management, The 14 113 180 225—256
Journal of the American Statistical Association 94
Journal of the History of Ideas 214
Journal of the Royal Statistical Society 96
Kaplan, Gilbert 132—133 154 254—255
Kendall, Maurice 96—98 99 104 106 107 109 112 116 131 133 149 209 306
Kennedy, John F. 67—68 83 113 133 196
Ketchum, Marshall 46
Keynes, John Maynard 6 19 48 50 53 55 66 68—71 70 74 93 118—119 129n 192
Kidder Peabody 283—284
King, Benjamin 261
Kirby, Robert 303
Koestler, Arthur 110
Koopmans, Tjalling 45—46 49 50 53 67 78—79 165
Kruizenga, Richard 115—116 131 207 208
Law of One Price see "Arbitrage"
Law of the Conservation of Investment Value 169 170
Leavens, Dickson 55
LeBaron, Dean 249n
Leibowitz, Martin 85—86
Leland O'Brien Rubinstein Associates, Inc. (LOR) 281—282 283 284 289—290 293 294
Leland — Rubinstein Associates 278—279 281
Leland, Hayne 269—276 278 279 280—284 292 293 294 301
Leland, John 270
Leontief, Wassily 151 152
Leverage 172—173 176 178 179
Leveraged buyouts 178—179
Levy, Paul 20
Linear programming 45—46 49 50 78—79 165 247
Lintner, John 194 198—199 200 209 259 305
Liquidity management 68—69
Liquidity market 190 289 293 304
Liquidity money 69
Liquidity preference theory 69 70 71
Liquidity stock 7 8
Loading charges see "Brokerage commissions"
Loeb, Gerald 48—49 53
London School of Economics (LSE) 275
London Stock Exchange 5
Lorie, James 128—131 137 193 237 239 240
Love, Douglas 264
Luckett, Dudley 194
Lynch, Peter 142 143 144
Mabie, John 281
Macroeconomics 65 168—169
Magee, John 99 104
Management science 78 82 85
Mandelbrot, Benoit 20 131—132
Marginal utility concept 59
Market theories (general discussion) 17—18 30—31 42 43 112 200—201 see
Market theories (general discussion), competitive 134—135 171 173 192
Market theories (general discussion), disaster avoidance 55—57
Market theories (general discussion), invisible hand 122 306
Market theories (general discussion), linear regression/econometric 31—38
Market theories (general discussion), seasonal fluctuations 144 290
Market theories (general discussion), stochastic process 18—23 186
Markowitz, Harry 41—46 47—51 53 54—55 56—60 63 66 67 71—72 74 76—79 80 85 91 105 128 135—136 149n 150 152 165 166 174 175 181 182 186 187 192 193 202 215 234 240 267 294 301 305 306
Marschak, Jacob 46 60 66—67 165
Marshall, Alfred 122
Marx, Karl 117 263
Mathematical economics 129n
Mathematical Theory of Non-Uniform Gases, The 103—104
Maximum expected return concept 53 63 73
McAvoy, Paul 221—222
McCormick Harvester 28
McKibben, Walt 260
McNamara, Robert 83
McQuown, John Andrew 236—237 238—242 245—252 257
Mean-variance analysis 54—55 84
Mean-Variance Analysis in Portfolio Choice and Capital Markets (Markowitz) 55
Meid, David 87
Mellon Bank 243 244
Merck 51
Merrill Lynch 129 237
Merton, Robert C. 185 186 201 213—214 215—217 221—224 228—229 230 270n 294 305
Merton, Robert K. 270
Milken, Michael 292 297 302 305
Mill, John Stuart 122
Miller, Merton 98 127 163—164 166—169 170 171 173 174—178 179 180 181—182 183 185 186 187 192 193 194 202 209 211 212 217 221 222 229 240 294 305
Minnesota Mining 149
MIT 46 114 128 130 131 208
Mitchell, Wesley 165
MM Theory 174—178 179 181—182 209 222
Modigliani, Franco 163 164—166 167—171 173 174—178 179 180 181—182 183 185—187 194 202 209 214—215 222 224 294 305
Molodovsky, Nicholas 132 196—197
Money Managers, The ("Adam Smith") 87
Money market funds 3
Morgan, J.P. 42
Morgenstem, Oskar 59
Mortgages, government-guaranteed 3 230
Mortgages, prepaid 206
Mortgages, rates on 119 205
Mossin, Jan 198 200
Multiple manager risk analysis (MULMAN) 264—265
Mutual funds 3 4 7 301
Mutual funds, individual investment in 110
Mutual funds, performance analysis of 140—142
Mutual funds, portfolio management and 51
Mutual funds, Value Line 136
Myers, Stewart 224
National Bureau of Economic Research 167—168
National General 224—225
Naval Research Logistics Quarterly 57 79
Neff, John 142 143 144 145
Nelson, Samuel 28
New School for Social Research 164—165 166
New York Stock Exchange 73 123 128 247
New York Stock Exchange, volume of trading 5 27 91 226 282
New York Times averages 27
Newton, Isaac 56
Nixon, Richard 3
Noise trading 108 124—125 134 149 160 161 192 303
Noise trading, asset prices and 209
Noise trading, inefficiency of 181
O'Brien, John 281—282
October, 1987, crash 285—294
OPEC countries 3
Operations research 103
Optimal capital structure 167
Optimal investment strategy see "Diversification" "Portfolio(s) optimal"
Optimization theory 216 267—268
options 7 204 205 208 230 302 304
| Options markets 2 205
Options markets, over-the-counter 206 209 225
Options, call 206 218—219 222 226 227
Options, contracts 115 204 207
Options, expected return on 213
Options, implicit 205
Options, out-of-the-money/in-the-money 207 277—278
Options, pricing formulas 131 208 211 213 217—223 224 227—228 270n 274 278
Options, put 206 217 226 227 271—272 285
Options, valuation 204 215
Osborne, M.F.M. 103—106 114 116 120 131 149 181 305
Pacific Stock Exchange 226 276
Paul A. Samuelson: Critical Reassessments 114
Paul Samuelson and Modem Economic Theory 114
Pecora, Ferdinand 42
Pension funds 140 248 249 264
Pension funds, corporate 4 8 9 10—11 242 250 251
Pension funds, performance evaluation 239
Pension funds, stock holdings 110 270
performance analysis 240
Performance measurement 238—240 241 242 247 249 250
Performance quotient (P.Q.) 143—144
Perold, Andre 304
Personal trusts 168
Philadelphia Stock Exchange 226
Pogue, Gerald 223—224
Polaroid 119
Pollard, Spencer 66
Portfolio insurance 4 269—273 279—282 283—284
Portfolio insurance, Black Monday and 288—290 292—293
Portfolio management 9—10 43—44 76 234 244—246 256—268 303
Portfolio management by bank trust departments 51
Portfolio management, economic policy and 68
Portfolio management, equity management and 264—265
Portfolio management, interior decorator approach to 61—63 68 163
Portfolio management, intertemporal capital asset pricing model for 215 224
Portfolio management, Ito's lemma and 185—186
Portfolio management, Liquidity Preference theory of 69 70 71
Portfolio management, risk calculations 54 58
Portfolio Selection: Efficient Diversification of Investment (Markowitz) 50
Portfolio(s), asset mix 72—73 see
Portfolio(s), computer-based 247 261
Portfolio(s), dart-board 139
Portfolio(s), efficiency of 53 57—58 136 181 192—193
Portfolio(s), market 192—193 196
Portfolio(s), mean-variance analysis of 54—55
Portfolio(s), optimal 186 192 196 250
Portfolio(s), options 272
Portfolio(s), risk 54 81
Portfolio(s), trading 302
Portfolio(s), variance 54
Portfolio(s), volatility 273
Positive sum theory 120—121
Prais, S.J. 116
Predictions of stock movement see "Forecasting" "Market
Price(s) see also "Capital Asset Pricing Model" "Random "Specific
Price(s) of growth stocks 156
Price(s), arbitrage 171
Price(s), Black/Scholes formula of see "Black/Scholes formula"
Price(s), efficient markets and 160—161 211
Price(s), future 213
Price(s), information and 120
Price(s), interest rates and 159 201
Price(s), intrinsic value and 150 151 152—154 158 159—162 182
Price(s), manipulation 123
Price(s), risk and 184—185 186 188 191 192 201 213
Price(s), security analysis and 134
Price(s), shadow 119—120 123 125
Price(s), transfer 79—80
Price(s), trends 136 144—145
Price(s), zero downside limit on 116 121
Price(s)/earnings ratio 150 154 159
Price(s)/value differentiation 117—118 119—120 134 149 299
Probability theory 76—78 93 105 142—143 216
Procter & Gamble 51 54
Profit maximization 170
Program trading 4
Prospective yield 118 119
puts see "Options"
Railroads 27 28
rand 78—79
Random Character of Stock Prices, The (Cootner) 131 208
Random price fluctuations/random walks 95—96 97 99—103 107 116 117 122 126 131 132—133 134 149 160 304
Random price fluctuations/random walks, selection of securities and 131 139—140
Rational expectations hypothesis 122
Reagan, Ronald 128n 196 270
Regan, Donald 196 209
Regulation of markets 125
Renshaw, Edward 244n
Return analysis see "Risk/return ratios"
Review of Economic Studies, The 64
Review of Economics and Statistics 198 220
Rhea, Robert 30—31 34 35 99
Ricardo, David 122
Rinfret, Pierre 133 139
Risk 42 47—48 174 300—301
Risk of stocks vs. bonds 160
Risk, arbitrage 4
Risk, calculations 57 64
Risk, diversification and 47—51 54 131 190
Risk, dominant 186 189
Risk, expected return and 53 59 83 84 187 191—192
Risk, minimalization 43 187
Risk, portfolio 54 58 81 261
Risk, premium 187 189
Risk, Rosenberg's model 260—261 263
Risk, stock prices and 184—185 186 188 191 192 201 213 261
Risk, systematic (beta) 188—191 192 200 201 218 260
Risk, trade-offs 43 44 48 50 84
Risk, valuation of assets and 188
Risk-free assets 200 218
Risk/return ratios 130 141 182 187 191 237 239 294
Roberts, Harry 98—103 104 110 138 301 305
Robinson, James Harvey 165
Roll, Richard 201
Roos, Charles 32
Rosenberg Institutional Equity Management (RIEM) 257 267—268
Rosenberg, Barr 256—268 275 280 282
Rosenberg, June 257 259—260 263
Ross, Stephen 201 277 278
Rothschild, Nathan 139 143
Roy, A.D. 55 56—57 59 63—64 103 114
Rubinstein, Mark 274—275 276 277 279 280—281 283 290 293
Sametz, Arnold 110
Samsonite 247 248 249
Samuelson, Paul 17 23 94 112 115—122 126 128 130 143 149 155 158 161 165 170 181 192 202 207—208 214 216 223 234 294 305 306
Savage, Jimmie 22—23 115—116
Savings rates 68—69
Scheinman, William 101
Scholes, Myron 208 210—211 212 213 214 216 217 220—222 223—225 227—229 230 239 240 241 250 251 272 279 294 305
Schumpeter, Joseph 33 151 152 166
Schwayder, Keith 247
Schwert, G. William 303
Scott Paper 149
Securities analysis 195—196 240
Securities and Exchange Commission 9
Security Analysis (Graham/Dodd) 156—157 158 160
Security selection 166 181 186 192 234
Separation theorem 72—74 76 84 186 234
Shadow prices 119—120 123 125
Sharpe, William 57 75—76 78—79 80—85 86—87 88 105 135 137 140 162 181 186 187—195 198—202 209 215 224 234 240 261 267 294 305
Shepard, Alan 85
Shiller, Robert 291
Shultz, George 128n
Singer Manufacturing Company 28
Single-index model 80—85 86 140 188 192 261
Sloan School of Management 130 223 224
Smith, Adam 117 122
Smith, Edgar Lawrence 129 130
Solow, Robert 275
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