Quantitative Investment Analysis by DeFusco, Richard A. -- Read -- Imperial Library of Trantor

Index

Title Page Copyright Page Dedication Foreword Acknowledgments Introduction

PARENTAGE BENEFITS CONVENTIONAL WISDOM THE TEXTS

CHAPTER 1 - THE TIME VALUE OF MONEY

1. INTRODUCTION 2. INTEREST RATES: INTERPRETATION 3. THE FUTURE VALUE OF A SINGLE CASH FLOW 4. THE FUTURE VALUE OF A SERIES OF CASH FLOWS 5. THE PRESENT VALUE OF A SINGLE CASH FLOW 6. THE PRESENT VALUE OF A SERIES OF CASH FLOWS 7. SOLVING FOR RATES, NUMBER OF PERIODS, OR SIZE OF ANNUITY PAYMENTS

CHAPTER 2 - DISCOUNTED CASH FLOW APPLICATIONS

1. INTRODUCTION 2. NET PRESENT VALUE AND INTERNAL RATE OF RETURN 3. PORTFOLIO RETURN MEASUREMENT 4. MONEY MARKET YIELDS

CHAPTER 3 - STATISTICAL CONCEPTS AND MARKET RETURNS

1. INTRODUCTION 2. SOME FUNDAMENTAL CONCEPTS 3. SUMMARIZING DATA USING FREQUENCY DISTRIBUTIONS 4. THE GRAPHIC PRESENTATION OF DATA 5. MEASURES OF CENTRAL TENDENCY 6. OTHER MEASURES OF LOCATION: QUANTILES 7. MEASURES OF DISPERSION 8. SYMMETRY AND SKEWNESS IN RETURN DISTRIBUTIONS 9. KURTOSIS IN RETURN DISTRIBUTIONS 10. USING GEOMETRIC AND ARITHMETIC MEANS

CHAPTER 4 - PROBABILITY CONCEPTS

1. INTRODUCTION 2. PROBABILITY, EXPECTED VALUE, AND VARIANCE 3. PORTFOLIO EXPECTED RETURN AND VARIANCE OF RETURN 4. TOPICS IN PROBABILITY

CHAPTER 5 - COMMON PROBABILITY DISTRIBUTIONS

1. INTRODUCTION 2. DISCRETE RANDOM VARIABLES 3. CONTINUOUS RANDOM VARIABLES 4. MONTE CARLO SIMULATION

CHAPTER 6 - SAMPLING AND ESTIMATION

1. INTRODUCTION 2. SAMPLING 3. DISTRIBUTION OF THE SAMPLE MEAN 4. POINT AND INTERVAL ESTIMATES OF THE POPULATION MEAN 5. MORE ON SAMPLING

CHAPTER 7 - HYPOTHESIS TESTING

1. INTRODUCTION 2. HYPOTHESIS TESTING 3. HYPOTHESIS TESTS CONCERNING THE MEAN 4. HYPOTHESIS TESTS CONCERNING VARIANCE 5. OTHER ISSUES: NONPARAMETRIC INFERENCE

CHAPTER 8 - CORRELATION AND REGRESSION

1. INTRODUCTION 2. CORRELATION ANALYSIS 3. LINEAR REGRESSION

CHAPTER 9 - MULTIPLE REGRESSION AND ISSUES IN REGRESSION ANALYSIS

1. INTRODUCTION 2. MULTIPLE LINEAR REGRESSION 3.USING DUMMY VARIABLES IN REGRESSIONS 4. VIOLATIONS OF REGRESSION ASSUMPTIONS 5. MODEL SPECIFICATION AND ERRORS IN SPECIFICATION 6. MODELS WITH QUALITATIVE DEPENDENT VARIABLES

CHAPTER 10 - TIME-SERIES ANALYSIS

1. INTRODUCTION 2. CHALLENGES OF WORKING WITH TIME SERIES 3. TREND MODELS 4. AUTOREGRESSIVE (AR) TIME-SERIES MODELS 5. RANDOM WALKS AND UNIT ROOTS 6. MOVING-AVERAGE TIME-SERIES MODELS 7. SEASONALITY IN TIME-SERIES MODELS 8. AUTOREGRESSIVE MOVING-AVERAGE MODELS 9. AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY MODELS 10. REGRESSIONS WITH MORE THAN ONE TIME SERIES 11. OTHER ISSUES IN TIME SERIES 12. SUGGESTED STEPS IN TIME-SERIES FORECASTING

CHAPTER 11 - PORTFOLIO CONCEPTS

1. INTRODUCTION 2. MEAN – VARIANCE ANALYSIS 3. PRACTICAL ISSUES IN MEAN – VARIANCE ANALYSIS 4. MULTIFACTOR MODELS

APPENDICES REFERENCES GLOSSARY ABOUT THE CFA PROGRAM ABOUT THE AUTHORS Index