| preface xvii part one background 1 introduction to modern investment theory 1 2 securities and markets 6 3 some statistical concepts 38 part two portfolio management 4 combining individual securities into portfolios 66 5 finding the efficient set 92 6 factor models 152 part three risk, expected return, and performance measurement 7 the capital asset pricing model 196 8 empirical tests of the capital asset pricing model 232 9 the arbitrage pricing theory 258 10 the tracking power of markowitz portfolio optimization 281 11 measuring portfolio performance 305 part four interest rates and bond management .12 the level of interest rates 341 13 the term structure of interest rates 367 14 bond portfolio management 407 15 interest immunization 422 part five the pricing of derivative securities 16 european option pricing 454 17 american option pricing 497 18 additional issues in option pricing 512 19 financial forward and futures contracts 541 part six issues in investment management 20 the effect of taxes on investment strategy and securities prices 573 21 stock valuation 594 22 issues in estimating future earnings and dividends 612 23 market efficiency: the concept 641 24 market efficiency: the evidence 661 appendix 10: additional properties of the minimum variance set 718 appendix 11: invest software 727 glossary 729 index 737 |
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