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Richard A. DeFusco CFA, McLeavey D.W., Runkle D.E. Ч Quantitative Methods For Investment Analysis
Richard A. DeFusco CFA, McLeavey D.W., Runkle D.E. Ч Quantitative Methods For Investment Analysis

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Ќазвание: Quantitative Methods For Investment Analysis

јвторы: Richard A. DeFusco CFA, McLeavey D.W., Runkle D.E.


As part of the CFA Institute Investment Series, the Second Edition of Quantitative Investment Analysis has been designed for a wide range of individuals, from graduate-level students focused on finance to practicing investment professionals. This globally relevant guide will help you understand quantitative methods and apply them to today's investment process.

In this latest edition, the distinguished team of Richard DeFusco, Dennis McLeavey, Jerald Pinto, and David Runkle update information associated with this discipline; improve the presentation and coverage of several major areas, including regression, time series, and multifactor models; and introduce an even greater variety of investment-oriented examplesЧwhich reflect the changes currently taking place in the investment community. Throughout the text, special attention is paid to ensuring the even treatment of subject matter, consistency of mathematical notation, and continuity of topic coverage that is so critical to the learning process.
Valuable for self-study and general reference, this book provides clear, example-driven coverage of a wide range of quantitative methods. Topics discussed include:

* The time value of money
* Discounted cash flow applications
* Common probability distributions
* Sampling and estimation
* Hypothesis testing
* Correlation and regression
* Multiple regression and issues in regression analysis
* Time-series analysis
* Portfolio concepts

And to further enhance your understanding of the tools and techniques presented here,don't forget to pick up the Quantitative Investment Analysis Workbook, Second EditionЧan essential guide containing learning outcomes and summary overview sections along with challenging problems and solutions.
With each author bringing his own unique experiences and perspectives to the table, the Second Edition of Quantitative Investment Analysis distills the knowledge, skills, and abilities you need to succeed in today's fast-paced financial environment. Filled with in-depth insights and practical advice, Quantitative Investment Analysis, Second Edition offers a comprehensive treatment of quantitative methods that combines best practices with solid theory.

язык: en

–убрика: Ёкономика и финансы/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

»здание: 2

√од издани€: 2007

 оличество страниц: 721

ƒобавлена в каталог: 11.03.2010

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
ѕредметный указатель
Absolute dispersion      126
Absolute frequency      93 103
Accrued interest      74
Active factor risk, analysis example      660Ч663
Active factor risk, definition      657
Active management      633
Active return definition      652
Active risk, comparison example      658Ч659
Active risk, definition      655
Active risk, squared      657 658
Active specific risk definition      657
Adjusted beta definition      628
Analyzing sources of returns      652Ч655
Analyzing sources of risk      655Ч663
Annual percentage rate (APR)      12
Annuity      see also "Ordinary annuity"
Annuity payments size, solving for      29Ч33
Annuity, definition      13
Annuity, due      13
Annuity, perpetual      23
Arbitrage Pricing Theory (APT)      633 637Ч643
Arbitrage pricing theory (APT), assumptions of      637
Arbitrage pricing theory (APT), capital asset pricing model versus      637 638
Arbitrage pricing theory (APT), examples      639Ч642
Arbitrage pricing theory (APT), factor risk premium      638
Arithmetic mean      103Ч107 243
Arithmetic mean, definition      103
Arithmetic mean, disadvantage of      107
Arithmetic mean, Foolish Four and      307
Arithmetic mean, population mean and      103Ч104
Arithmetic mean, properties of      106Ч107
Arithmetic mean, returns examples      117Ч118 119
Arithmetic mean, sample mean and      103 104Ч105
Arithmetic mean, usage example      109Ч110
Arithmetic mean, using geometric and      153Ч155
Arithmetic mean, variations of      107
Arithmetic mean, weighted mean formula versus formula of      113
Asian call option      267
Asset selection risk definition      657
Asset's risk measurement      135
Autocorrelations of time series      52Ч530 545 551
Autoregressive (AR) time-series models      527Ч540
Autoregressive (AR) time-series models, comparing forecast model performance      536Ч538
Autoregressive (AR) time-series models, covariance-stationary series      528Ч529
Autoregressive (AR) time-series models, detecting serially correlated errors in      529Ч532
Autoregressive (AR) time-series models, determining which model to use      567Ч568
Autoregressive (AR) time-series models, instability of regression coefficients      538Ч540
Autoregressive (AR) time-series models, mean reversion      532Ч533
Autoregressive (AR) time-series models, moving-average versus      551Ч553
Autoregressive (AR) time-series models, multiperiod forecasts and chain rule of forecasting      533Ч536
Autoregressive (AR) time-series models, seasonality and      553
Autoregressive conditional heteroskedasticity (ARCH) models      559Ч562 568
Autoregressive model      517Ч518
Autoregressive moving-average models      558Ч559
Average versus mean usage      104
Back simulation      271
Bank discount basis      73Ч74
Bank discount basis, definition      73
Bank discount basis, example      73Ч74
Bank discount basis, yield      74
Bayes' formula      180 211Ч215
Benchmark      633
Bernoulli random variable      236Ч239 244
Bernoulli trial      236 238 239
Beta definitions      618
Beta definitions, adjusted      628
Beta definitions, fundamental      629
Beta definitions, standardized      643
Bid-ask spread, explaining      443Ч447
Bid-ask spread, nonlinearity and      480Ч483
Bid-ask spread, variable bias and, omitted      478Ч479
Binomial distribution      236Ч246
Binomial formula      217
Binomial model of stock price movement      245
Binomial option pricing model      232 236
Binomial tree      245 246
Black Ч Litterman asset allocation model      623
Black Ч Scholes Ч Merton option pricing model      260 262
Black Ч Scholes Ч Merton option pricing model, Monte Carlo simulation versus      272
Black Ч Scholes Ч Merton option pricing model, probability distribution and      232
Black Ч Scholes Ч Merton option pricing model, volatility and      264
Block brokers      237Ч238 240Ч242
Bond portfolio example, expected number of defaults in      244
Bond-equivalent basis      77
Bond-equivalent yield      77
Box Ч Pierce Q-statistic      530
Breusch Ч Pagan test      465Ч467
Capital allocation line (CAL)      610Ч617 636
Capital Asset Pricing Model (CAPM)      618Ч619
Capital asset pricing model (CAPM), arbitrage pricing theory versus      637 638 666Ч667
Capital asset pricing model (CAPM), asset allocation and      623 625
Capital asset pricing model (CAPM), assumptions of      618
Capital asset pricing model (CAPM), definition      618
Capital asset pricing model (CAPM), heteroskedasticity and      464
Capital asset pricing model (CAPM), probability distribution and      232
Capital asset pricing model (CAPM), risk adjustment and      414
Capital budgeting      58
Capital market line (CML)      617 618
Capital structure      58
Cash flow additivity principle      30 35
Cash flow(s)      see also "Discounted cash flow applications"
Cash flow(s), future value of series of      13Ч15
Cash flow(s), future value of single      4Ч13
Cash flow(s), incremental      58
Cash flow(s), ordinary annuity and      13Ч14
Cash flow(s), present value of series of      18Ч26
Cash flow(s), present value of single      15Ч18
Cash flow(s), unequal      15
CD equivalent yield      see "Money market yield"
Central limit theorem      292Ч295 328
Central limit theorem, definition      292
Central limit theorem, example      293Ч294
Central limit theorem, Monte Carlo simulation and      293Ч294
Central limit theorem, normal distribution and      263
Central limit theorem, population distribution and      339
Central limit theorem, sampling and      286
Central tendency, measure of      103Ч120
Central tendency, measure of, arithmetic mean      103Ч107
Central tendency, measure of, comparison of values of means      120
Central tendency, measure of, geometric mean      115Ч119
Central tendency, measure of, harmonic mean      119Ч120
Central tendency, measure of, median      108Ч110
Central tendency, measure of, mode      110Ч112
Central tendency, measure of, weighted mean      112Ч115
Chain rule of forecasting and multiperiod forecasts      533Ч536
Chebyshev's inequality      137Ч138 249
Coefficient of variation (cv)      139Ч140
Combination      217
Common size statements      483
Company fundamental factors      651
Company share-related factors      652
Complement      192
Compounding      see also "Interest rate(s)"
Compounding, continuous      10Ч12
Compounding, definition      4
Compounding, examples      9Ч10 11
Compounding, frequency of      9Ч10
Compounding, future value effect from      11
Compounding, importance of      5
Conditional expected values      196
Conditional variances      198Ч199
Confidence interval      253Ч254 325
Confidence interval for population mean      297Ч303
Confidence interval, chi-square test and      352
Confidence interval, construction of      297Ч298
Confidence interval, definition      297
Confidence interval, degree of confidence      207
Confidence interval, hypothesis tests and      332 405 406
Confidence interval, one-sided      297
Confidence interval, regression forecasts and      416Ч418
Confidence interval, reliability factors for      299
Confidence interval, sample size selection      303 304Ч305
Confidence interval, Sharpe ratio and      300 302Ч303
Confidence interval, two-sided      297
Consistent estimator      296Ч297
Constants-proportions strategy      114
Continuous compounded return      262 264
Continuous random variables      232 246Ч266
Continuous random variables, applications of normal distribution      257Ч260
Continuous random variables, definition      233
Continuous random variables, integration and      195
Continuous random variables, lognormal distribution      260Ч266
Continuous random variables, normal distribution      250Ч257
Continuous random variables, rate of return as      233
Continuous random variables, uniform distribution      246Ч249
Correlation, analysis      376Ч395
Correlation, analysis examples      384Ч391
Correlation, analysis limitations      381Ч384
Correlation, analysis uses      384Ч391
Correlation, coefficient      377
Correlation, coefficient, calculating and interpreting      379Ч381
Correlation, coefficient, testing significance of      392Ч395
Correlation, definitions      207 591
Correlation, examples      384Ч391 392Ч394
Correlation, exchange rate return      386Ч387
Correlation, linear association and      377
Correlation, matrix      207
correlation, positive      395
Correlation, properties of      207Ч208
Correlation, scatter plots and      376Ч377 378 379 383
Correlation, serial      see "Serial correlation and regression errors"
Correlation, spurious      384
Correlation, style analysis      386
Cost averaging      120
Counting, principles of      215Ч218
Counting, principles of, applying      218
Counting, principles of, labeling problems      216Ч217
Counting, principles of, multiplication rule of      215
Covariance      204Ч205
Covariance, computing between random variables      210
Covariance, definitions      204 379
Covariance, effect on portfolio variance      205
Covariance, finite      542
Covariance, historical      209
Covariance, matrix      205Ч206 625
Covariance, observations about      205
Covariance, return estimating      209
Covariance, sample      379Ч381
Covariance, stationaiy      562 563 564 565 567
Covariance-stationary series      528Ч529 541
Credit ratings for bonds      90
Cross-sectional data      105Ч106 291 395Ч396 418 449
Cross-sectional data and time-series      289Ч291
Cumulative distribution function (cdf)      234 236 247Ч248
Cumulative frequency      94
Cumulative frequency distribution      100 101 102Ч103
Cumulative probabilities for standard normal distribution      686Ч687
Cumulative relative frequency      94 103
Data snooping      see "Data mining"
Data, graphics presentation of      99Ч103
Data, graphics presentation of, cumulative frequency distribution      100 101 102Ч103
Data, graphics presentation of, frequency polygon      100
Data, graphics presentation of, histogram      99Ч100 101
Data-mining, bias      306Ч308
Data-mining, definition      306
Data-mining, intergenerational      306Ч307
Data-mining, signs of use of      307Ч308
Deciles      120
Default risk premium      3
Degrees of freedom (df)      300Ч301 335
Degrees of freedom, level of significance table      689
Dependent variable(s)      395 442 490Ч492
Descriptive statistics      88Ч89
Dickey Ч Fuller test for unit root      545Ч546 562 564 565
Diffuse priors      215
Discount definition      2 73
Discount yield      see "Bank discount basis"
Discounted cash flow applications      57Ч86
Discounted cash flow applications, introduction      57
Discounted cash flow applications, money market yields      72Ч77
Discounted cash flow applications, net present value and internal rate of return      58Ч65
Discounted cash flow applications, portfolio return measurement      65Ч72
Discounted cash flow applications, summary      77Ч78
Discrete random variables      195 232Ч246
Discrete random variables, binomial distribution      236Ч246
Discrete random variables, definition      232Ч233
Discrete random variables, uniform distribution, discrete      234Ч236
Discriminant analysis      490
Dispersion, measures of      126Ч144
Dispersion, measures of, Chebyshev's inequality      137Ч138
Dispersion, measures of, coefficient of variation      139Ч140
Dispersion, measures of, definition      126
Dispersion, measures of, interquartile range      127
Dispersion, measures of, mean absolute deviation      127Ч129
Dispersion, measures of, population variance and population standard deviation      129Ч132
Dispersion, measures of, range      126Ч127
Dispersion, measures of, relative      139
Dispersion, measures of, sample variance and sample standard deviation      132Ч135
Dispersion, measures of, semivariance, semideviation, and related concepts      135Ч137
Dispersion, measures of, Sharpe ratio      141Ч144
Distribution-free tests      see "Non-parametric tests"
Diversification, portfolio      602 605Ч609
Dollar-weighted return      see "Money-weighted rate of return"
Dummy variables in regressions, using      458Ч462
Durbin Ч Watson (DW) statistic, critical values for      694
Durbin Ч Watson (DW) statistic, testing for correlated errors and      526Ч527
Durbin Ч Watson (DW) statistic, testing for serial correlation and      470Ч472 529
Durbin Ч Watson (DW) statistic, time-series forecasting and      567
Dutch Book Theorem      184
Earnings per share (EPS), forecasting      194
Earnings per share (EPS), nature of statistics and      88
Economic forecasts, evaluating      384Ч385
Effective annual rate (EAR)      12
Effective annual yield (EAY)      75 76
Efficiency definition      296
Efficient frontier      594 599 602
Error autocorrelations      530
Error term      395
Estimators      see also "Sampling"
Estimators, consistent      296Ч297
Estimators, point      295Ч297
Estimators, precision of      298
Estimators, properties of      296
Estimators, questions answered by      295
Estimators, unbiased      296 300
European option      267
European-style option      267
Event(s), definition      180Ч181
Event(s), dependent      189
Event(s), independent      189
Event(s), multiplication rule for independent      189
Excess kurtosis      150
Exhaustive definition      181
Expected value(s)      115
Expected value(s) of product of uncorrelated random variables, multiplication rule      211
Expected value(s) of random variable      194Ч195
Expected value(s), calculation of portfolio      203
Expected value(s), conditional      196Ч197
Expected value(s), definition      194
Expected value(s), properties of      203
Expected value(s), total probability rule for      197
Expected value(s), weight and      203
F-distribution table      690Ч693
Face value of T-bill      72
Fat tails      252
Financial risk definition      260
Finite population correction (fpc) factor      336
First-differencing      542
Fisher effect regression with lagged dependent variable      486Ч487
Fisher effect regression with measurement error      488Ч489
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