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Richard A. DeFusco CFA, McLeavey D.W., Runkle D.E. — Quantitative Methods For Investment Analysis
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Íàçâàíèå: Quantitative Methods For Investment AnalysisÀâòîðû: Richard A. DeFusco CFA, McLeavey D.W., Runkle D.E.Àííîòàöèÿ: 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.
ßçûê: Ðóáðèêà: Ýêîíîìèêà è ôèíàíñû /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Èçäàíèå: 2Ãîä èçäàíèÿ: 2007Êîëè÷åñòâî ñòðàíèö: 721Äîáàâëåíà â êàòàëîã: 11.03.2010Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
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Ïðåäìåòíûé óêàçàòåëü
Absolute dispersion 126 Absolute frequency 93 103 Accrued interest 74 Active factor risk, analysis example 660—663 Active factor risk, definition 657 Active management 633 Active return definition 652 Active risk, comparison example 658—659 Active risk, definition 655 Active risk, squared 657 658 Active specific risk definition 657 Adjusted beta definition 628 Analyzing sources of returns 652—655 Analyzing sources of risk 655—663 Annual percentage rate (APR) 12 Annuity see also "Ordinary annuity" Annuity payments size, solving for 29—33 Annuity, definition 13 Annuity, due 13 Annuity, perpetual 23 Arbitrage Pricing Theory (APT) 633 637—643 Arbitrage pricing theory (APT), assumptions of 637 Arbitrage pricing theory (APT), capital asset pricing model versus 637 638 Arbitrage pricing theory (APT), examples 639—642 Arbitrage pricing theory (APT), factor risk premium 638 Arithmetic mean 103—107 243 Arithmetic mean, definition 103 Arithmetic mean, disadvantage of 107 Arithmetic mean, Foolish Four and 307 Arithmetic mean, population mean and 103—104 Arithmetic mean, properties of 106—107 Arithmetic mean, returns examples 117—118 119 Arithmetic mean, sample mean and 103 104—105 Arithmetic mean, usage example 109—110 Arithmetic mean, using geometric and 153—155 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 52—530 545 551 Autoregressive (AR) time-series models 527—540 Autoregressive (AR) time-series models, comparing forecast model performance 536—538 Autoregressive (AR) time-series models, covariance-stationary series 528—529 Autoregressive (AR) time-series models, detecting serially correlated errors in 529—532 Autoregressive (AR) time-series models, determining which model to use 567—568 Autoregressive (AR) time-series models, instability of regression coefficients 538—540 Autoregressive (AR) time-series models, mean reversion 532—533 Autoregressive (AR) time-series models, moving-average versus 551—553 Autoregressive (AR) time-series models, multiperiod forecasts and chain rule of forecasting 533—536 Autoregressive (AR) time-series models, seasonality and 553 Autoregressive conditional heteroskedasticity (ARCH) models 559—562 568 Autoregressive model 517—518 Autoregressive moving-average models 558—559 Average versus mean usage 104 Back simulation 271 Bank discount basis 73—74 Bank discount basis, definition 73 Bank discount basis, example 73—74 Bank discount basis, yield 74 Bayes' formula 180 211—215 Benchmark 633 Bernoulli random variable 236—239 244 Bernoulli trial 236 238 239 Beta definitions 618 Beta definitions, adjusted 628 Beta definitions, fundamental 629 Beta definitions, standardized 643 Bid-ask spread, explaining 443—447 Bid-ask spread, nonlinearity and 480—483 Bid-ask spread, variable bias and, omitted 478—479 Binomial distribution 236—246 Binomial formula 217 Binomial model of stock price movement 245 Binomial option pricing model 232 236 Binomial tree 245 246 Black — Litterman asset allocation model 623 Black — Scholes — Merton option pricing model 260 262 Black — Scholes — Merton option pricing model, Monte Carlo simulation versus 272 Black — Scholes — Merton option pricing model, probability distribution and 232 Black — Scholes — Merton option pricing model, volatility and 264 Block brokers 237—238 240—242 Bond portfolio example, expected number of defaults in 244 Bond-equivalent basis 77 Bond-equivalent yield 77 Box — Pierce Q-statistic 530 Breusch — Pagan test 465—467 Capital allocation line (CAL) 610—617 636 Capital Asset Pricing Model (CAPM) 618—619 Capital asset pricing model (CAPM), arbitrage pricing theory versus 637 638 666—667 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 13—15 Cash flow(s), future value of single 4—13 Cash flow(s), incremental 58 Cash flow(s), ordinary annuity and 13—14 Cash flow(s), present value of series of 18—26 Cash flow(s), present value of single 15—18 Cash flow(s), unequal 15 CD equivalent yield see "Money market yield" Central limit theorem 292—295 328 Central limit theorem, definition 292 Central limit theorem, example 293—294 Central limit theorem, Monte Carlo simulation and 293—294 Central limit theorem, normal distribution and 263 Central limit theorem, population distribution and 339 Central limit theorem, sampling and 286 Central tendency, measure of 103—120 Central tendency, measure of, arithmetic mean 103—107 Central tendency, measure of, comparison of values of means 120 Central tendency, measure of, geometric mean 115—119 Central tendency, measure of, harmonic mean 119—120 Central tendency, measure of, median 108—110 Central tendency, measure of, mode 110—112 Central tendency, measure of, weighted mean 112—115 Chain rule of forecasting and multiperiod forecasts 533—536 Chebyshev's inequality 137—138 249 Coefficient of variation (cv) 139—140 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 10—12 Compounding, definition 4 Compounding, examples 9—10 11 Compounding, frequency of 9—10 Compounding, future value effect from 11 Compounding, importance of 5 Conditional expected values 196 Conditional variances 198—199 Confidence interval 253—254 325 Confidence interval for population mean 297—303 Confidence interval, chi-square test and 352 Confidence interval, construction of 297—298 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 416—418 Confidence interval, reliability factors for 299 Confidence interval, sample size selection 303 304—305 Confidence interval, Sharpe ratio and 300 302—303 Confidence interval, two-sided 297 Consistent estimator 296—297 Constants-proportions strategy 114 Continuous compounded return 262 264 Continuous random variables 232 246—266 Continuous random variables, applications of normal distribution 257—260 Continuous random variables, definition 233 Continuous random variables, integration and 195 Continuous random variables, lognormal distribution 260—266 Continuous random variables, normal distribution 250—257 Continuous random variables, rate of return as 233 Continuous random variables, uniform distribution 246—249 Correlation, analysis 376—395 Correlation, analysis examples 384—391 Correlation, analysis limitations 381—384 Correlation, analysis uses 384—391 Correlation, coefficient 377 Correlation, coefficient, calculating and interpreting 379—381 Correlation, coefficient, testing significance of 392—395 Correlation, definitions 207 591 Correlation, examples 384—391 392—394 Correlation, exchange rate return 386—387 Correlation, linear association and 377 Correlation, matrix 207 correlation, positive 395 Correlation, properties of 207—208 Correlation, scatter plots and 376—377 378 379 383 Correlation, serial see "Serial correlation and regression errors" Correlation, spurious 384 Correlation, style analysis 386 Cost averaging 120 Counting, principles of 215—218 Counting, principles of, applying 218 Counting, principles of, labeling problems 216—217 Counting, principles of, multiplication rule of 215 Covariance 204—205 Covariance, computing between random variables 210 Covariance, definitions 204 379 Covariance, effect on portfolio variance 205 Covariance, finite 542 Covariance, historical 209 Covariance, matrix 205—206 625 Covariance, observations about 205 Covariance, return estimating 209 Covariance, sample 379—381 Covariance, stationaiy 562 563 564 565 567 Covariance-stationary series 528—529 541 Credit ratings for bonds 90 Cross-sectional data 105—106 291 395—396 418 449 Cross-sectional data and time-series 289—291 Cumulative distribution function (cdf) 234 236 247—248 Cumulative frequency 94 Cumulative frequency distribution 100 101 102—103 Cumulative probabilities for standard normal distribution 686—687 Cumulative relative frequency 94 103 Data snooping see "Data mining" Data, graphics presentation of 99—103 Data, graphics presentation of, cumulative frequency distribution 100 101 102—103 Data, graphics presentation of, frequency polygon 100 Data, graphics presentation of, histogram 99—100 101 Data-mining, bias 306—308 Data-mining, definition 306 Data-mining, intergenerational 306—307 Data-mining, signs of use of 307—308 Deciles 120 Default risk premium 3 Degrees of freedom (df) 300—301 335 Degrees of freedom, level of significance table 689 Dependent variable(s) 395 442 490—492 Descriptive statistics 88—89 Dickey — Fuller test for unit root 545—546 562 564 565 Diffuse priors 215 Discount definition 2 73 Discount yield see "Bank discount basis" Discounted cash flow applications 57—86 Discounted cash flow applications, introduction 57 Discounted cash flow applications, money market yields 72—77 Discounted cash flow applications, net present value and internal rate of return 58—65 Discounted cash flow applications, portfolio return measurement 65—72 Discounted cash flow applications, summary 77—78 Discrete random variables 195 232—246 Discrete random variables, binomial distribution 236—246 Discrete random variables, definition 232—233 Discrete random variables, uniform distribution, discrete 234—236 Discriminant analysis 490 Dispersion, measures of 126—144 Dispersion, measures of, Chebyshev's inequality 137—138 Dispersion, measures of, coefficient of variation 139—140 Dispersion, measures of, definition 126 Dispersion, measures of, interquartile range 127 Dispersion, measures of, mean absolute deviation 127—129 Dispersion, measures of, population variance and population standard deviation 129—132 Dispersion, measures of, range 126—127 Dispersion, measures of, relative 139 Dispersion, measures of, sample variance and sample standard deviation 132—135 Dispersion, measures of, semivariance, semideviation, and related concepts 135—137 Dispersion, measures of, Sharpe ratio 141—144 Distribution-free tests see "Non-parametric tests" Diversification, portfolio 602 605—609 Dollar-weighted return see "Money-weighted rate of return" Dummy variables in regressions, using 458—462 Durbin — Watson (DW) statistic, critical values for 694 Durbin — Watson (DW) statistic, testing for correlated errors and 526—527 Durbin — Watson (DW) statistic, testing for serial correlation and 470—472 529 Durbin — 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 384—385 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 296—297 Estimators, point 295—297 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 180—181 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 194—195 Expected value(s), calculation of portfolio 203 Expected value(s), conditional 196—197 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 690—693 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 486—487 Fisher effect regression with measurement error 488—489
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