The Investment Portfolio User's Manual - Softcover

Intellipro, Inc.; Blake, Christopher; Elton, Edwin J.; Gruber, Martin J.; DeSantis, Georgio; Finnerty, Joseph; Goetzmann, William N.; Ronn, Ehud

Softcover

ISBN 10: 0471246107 ISBN 13: 9780471246107

Publisher: Wiley, 1998

Synopsis

* Calculate correlations, covariances, means and standard deviations
* Plot and graph the efficient frontier under various assumptions.regarding short sales and riskless lending and borrowing.
* Perform duration analysis and estimate spot rates for bonds.
* Do performance evaluation using single and multi-index andequilibrium models.
* Calculate prices for futures and prices and implied volatility foroptions.

About this title

From the Back Cover

The Investment Portfolio The Investment Portfolio is a powerful windows-based program that lets the user create, evaluate, and manage realistic portfolios. It gives them an interactive experience that makes the theory clear and relevant. The user creates various portfolios made up of stocks, bonds, mutual funds and treasury bills. They can take their data directly from the software’s built-in database, import data from ASCII files, or enter their own data using the software’s spreadsheet function. They then work with these portfolios.

Table of Contents
I. Getting Started		V. The Equilibrium Module		IX. The Futures Module
II. Overview of The Investment Portfolio Software		VI. The Valuation Module		X. The Statistics Module
III. The Markowitz Module		VII. The Bond Module		Appendix A: Data Files
IV. The Performance Module		VIII. The Option Module		Appendix B: Importing Data

The Markowitz Module Instantly calculates mean returns, standard deviations and correlations from time series data and graphs the efficient frontier under various assumptions regarding the variance/covariance matrix of asset returns and the availability of a riskless asset and short sales. You can view the mean return, standard deviation and the composition of any portfolio you select along the efficient frontier, and you can plot individual securities and your own "custom" portfolios. The Equilibrium Module Generates either the theoretical or empirical Security Market Line and allows you to plot and compare the actual returns of various assets with their equilibrium counterparts. The Bond Module Calculates spot rates, forward rates, theoretical bond values, durations, yield-to-maturities and convexities from sets of bond data and identifies duration-matching portfolios that immunize (protect) either user-supplied liabilities or individual bonds against shifts in interest rates. Also graphs spot, forward and predicted spot yield curves.

Edition details

• Publisher: Wiley
• Publication date: 1998
• ISBN 10: 0471246107
• ISBN 13: 9780471246107
• Binding: Paperback
• Language: English
• Edition number: 1
• Number of pages: 216