Elton E.J. et al. Modern Portfolio Theory and Investment Analysis

Wiley, 2003. – 736 p. – 6th ed. – ISBN: 0471428566, 9780471428565This book covers the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. Stressing the economic intuition behind the subject matter, this classic text pres–ents advanced concepts of investment analysis and portfolio management.
It can be used for courses in both portfolio theory and in investment analysis that have an emphasis on portfolio the–ory. It can also be used in a course in investments where both portfolio analysis and security analysis are discussed.
The authors′ goal has been to make all the material in this text accessible to students of portfolio analysis and invest–ment management, both at the undergraduate and graduate levels while maintaining the rigor through the use of ap–pendices which can be used in conjunction with the text.Part I: Introduction. Introduction. Financial Securities. Financial Markets. Part II: Portfolio Analysis. Section I: Mean Variance Portfolio Theory. The Characteristics of the Opportunity Set Under Risk. Delineating Efficient Portfolios. Techniques for Calculating the Efficient Frontier. Section II: Simplifying the Portfolio Selection Process. The Correlation Structure of Security Returns: The Single-Index Model. The Correlation Structure of Security Returns: Multi-Index Models and Grouping Techniques. Simple Techniques for Determining the Efficient Frontier. Section III: Selecting the Optimum Portfolio. Utility Analysis. Other Portfolio Selection Models. Section IV: Widening the Selection Universe. International Diversification. Part III: Models of Equilibrium in the Capital Markets. The Standard Capital Asset Pricing Model. Nonstandard Forms of Capital Asset Pricing Models. Empirical Tests of Equilibrium Models. The Arbitrage Pricing Model Apt-A New Approach to Explaining Asset Prices. Part IV: Security Analysis and Portfolio Theory. Efficient Markets. The Valuation Process. Earnings Estimation. Interest Rate Theory and the Pricing of Bonds. The Management of Bond Portfolios. Option Pricing Theory. The Valuation and Uses of Financial Futures. Part V: Evaluating the Investment Process. Evaluation of Portfolio Performance. Evaluation of Security Analysis. Portfolio Management Revisited. Index.