Investments, Vol. 1: Portfolio Theory and Asset Pricing

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9780262050593: Investments, Vol. 1: Portfolio Theory and Asset Pricing

This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz.

Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.

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About the Author:

Edwin J. Elton and Martin J. Gruber are both Nomura Professors of Finance at the Leonard N. Stern School of Business, New York University, and former Presidents of the American Finance Association.

Review:

Through their scholarship and through their students, Elton and Gruber have for 35 years led the development of Modern Portfolio Theory and its applications. By underpinning the creation of the European Finance Association, Ned and Marty also helped create today's international community of finance scholars. This volume documents their contribution to the theory and practice of investment.

(Elroy Dimson, President-Designate, European Finance Association; London Business School)

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Book Description MIT Press Ltd, United States, 1999. Hardback. Book Condition: New. Language: English . Brand New Book. This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz.Volume I presents the authors groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors work on analysts expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency. Bookseller Inventory # AAH9780262050593

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Book Description MIT Press Ltd, United States, 1999. Hardback. Book Condition: New. Language: English . Brand New Book. This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz.Volume I presents the authors groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors work on analysts expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency. Bookseller Inventory # AAH9780262050593

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