Richard A. DeFusco CFA, McLeavey D.W., Runkle D.E. — Quantitative Methods For Investment Analysis
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Íàçâàíèå: Quantitative Methods For Investment Analysis
Àâòîðû: 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.
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 examples—which 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 Edition—an 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.
Absolute dispersion126 Absolute frequency93103 Accrued interest74 Active factor risk, analysis example660—663 Active factor risk, definition657 Active management633 Active return definition652 Active risk, comparison example658—659 Active risk, definition655 Active risk, squared657658 Active specific risk definition657 Adjusted beta definition628 Analyzing sources of returns652—655 Analyzing sources of risk655—663 Annual percentage rate (APR)12 Annuitysee also "Ordinary annuity" Annuity payments size, solving for29—33 Annuity, definition13 Annuity, due13 Annuity, perpetual23 Arbitrage Pricing Theory (APT)633637—643 Arbitrage pricing theory (APT), assumptions of637 Arbitrage pricing theory (APT), capital asset pricing model versus637638 Arbitrage pricing theory (APT), examples639—642 Arbitrage pricing theory (APT), factor risk premium638 Arithmetic mean103—107243 Arithmetic mean, definition103 Arithmetic mean, disadvantage of107 Arithmetic mean, Foolish Four and307 Arithmetic mean, population mean and103—104 Arithmetic mean, properties of106—107 Arithmetic mean, returns examples117—118119 Arithmetic mean, sample mean and103104—105 Arithmetic mean, usage example109—110 Arithmetic mean, using geometric and153—155 Arithmetic mean, variations of107 Arithmetic mean, weighted mean formula versus formula of113 Asian call option267 Asset selection risk definition657 Asset's risk measurement135 Autocorrelations of time series52—530545551 Autoregressive (AR) time-series models527—540 Autoregressive (AR) time-series models, comparing forecast model performance536—538 Autoregressive (AR) time-series models, covariance-stationary series528—529 Autoregressive (AR) time-series models, detecting serially correlated errors in529—532 Autoregressive (AR) time-series models, determining which model to use567—568 Autoregressive (AR) time-series models, instability of regression coefficients538—540 Autoregressive (AR) time-series models, mean reversion532—533 Autoregressive (AR) time-series models, moving-average versus551—553 Autoregressive (AR) time-series models, multiperiod forecasts and chain rule of forecasting533—536 Autoregressive (AR) time-series models, seasonality and553 Autoregressive conditional heteroskedasticity (ARCH) models559—562568 Autoregressive model517—518 Autoregressive moving-average models558—559 Average versus mean usage104 Back simulation271 Bank discount basis73—74 Bank discount basis, definition73 Bank discount basis, example73—74 Bank discount basis, yield74 Bayes' formula180211—215 Benchmark633 Bernoulli random variable236—239244 Bernoulli trial236238239 Beta definitions618 Beta definitions, adjusted628 Beta definitions, fundamental629 Beta definitions, standardized643 Bid-ask spread, explaining443—447 Bid-ask spread, nonlinearity and480—483 Bid-ask spread, variable bias and, omitted478—479 Binomial distribution236—246 Binomial formula217 Binomial model of stock price movement245 Binomial option pricing model232236 Binomial tree245246 Black — Litterman asset allocation model623 Black — Scholes — Merton option pricing model260262 Black — Scholes — Merton option pricing model, Monte Carlo simulation versus272 Black — Scholes — Merton option pricing model, probability distribution and232 Black — Scholes — Merton option pricing model, volatility and264 Block brokers237—238240—242 Bond portfolio example, expected number of defaults in244 Bond-equivalent basis77 Bond-equivalent yield77 Box — Pierce Q-statistic530 Breusch — Pagan test465—467 Capital allocation line (CAL)610—617636 Capital Asset Pricing Model (CAPM)618—619 Capital asset pricing model (CAPM), arbitrage pricing theory versus637638666—667 Capital asset pricing model (CAPM), asset allocation and623625 Capital asset pricing model (CAPM), assumptions of618 Capital asset pricing model (CAPM), definition618 Capital asset pricing model (CAPM), heteroskedasticity and464 Capital asset pricing model (CAPM), probability distribution and232 Capital asset pricing model (CAPM), risk adjustment and414 Capital budgeting58 Capital market line (CML)617618 Capital structure58 Cash flow additivity principle3035 Cash flow(s)see also "Discounted cash flow applications" Cash flow(s), future value of series of13—15 Cash flow(s), future value of single4—13 Cash flow(s), incremental58 Cash flow(s), ordinary annuity and13—14 Cash flow(s), present value of series of18—26 Cash flow(s), present value of single15—18 Cash flow(s), unequal15 CD equivalent yieldsee "Money market yield" Central limit theorem292—295328 Central limit theorem, definition292 Central limit theorem, example293—294 Central limit theorem, Monte Carlo simulation and293—294 Central limit theorem, normal distribution and263 Central limit theorem, population distribution and339 Central limit theorem, sampling and286 Central tendency, measure of103—120 Central tendency, measure of, arithmetic mean103—107 Central tendency, measure of, comparison of values of means120 Central tendency, measure of, geometric mean115—119 Central tendency, measure of, harmonic mean119—120 Central tendency, measure of, median108—110 Central tendency, measure of, mode110—112 Central tendency, measure of, weighted mean112—115 Chain rule of forecasting and multiperiod forecasts533—536 Chebyshev's inequality137—138249 Coefficient of variation (cv)139—140 Combination217 Common size statements483 Company fundamental factors651 Company share-related factors652 Complement192 Compoundingsee also "Interest rate(s)" Compounding, continuous10—12 Compounding, definition4 Compounding, examples9—1011 Compounding, frequency of9—10 Compounding, future value effect from11 Compounding, importance of5 Conditional expected values196 Conditional variances198—199 Confidence interval253—254325 Confidence interval for population mean297—303 Confidence interval, chi-square test and352 Confidence interval, construction of297—298 Confidence interval, definition297 Confidence interval, degree of confidence207 Confidence interval, hypothesis tests and332405406 Confidence interval, one-sided297 Confidence interval, regression forecasts and416—418
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