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Index
The Frank J. Fabozzi Series
Title Page
Copyright Page
About the Editors
Contributing Authors
Foreword
PART One - Instruments, Asset Allocation, Portfolio Selection, and Asset Pricing
CHAPTER 1 - Overview of Investment Management
SETTING INVESTMENT OBJECTIVES
ESTABLISHING AN INVESTMENT POLICY
SELECTING A PORTFOLIO STRATEGY
CONSTRUCTING THE PORTFOLIO
MEASURING AND EVALUATING PERFORMANCE
KEY POINTS
CHAPTER 2 - Asset Classes, Alternative Investments, Investment Companies, and ...
ASSET CLASSES
OVERVIEW OF ALTERNATIVE ASSET PRODUCTS
INVESTMENT COMPANIES
EXCHANGE-TRADED FUNDS
MUTUAL FUNDS VS. ETFs: RELATIVE ADVANTAGES
KEY POINTS
QUESTIONS
CHAPTER 3 - Portfolio Selection
SOME BASIC CONCEPTS
MEASURING A PORTFOLIO’S EXPECTED RETURN
MEASURING PORTFOLIO RISK
PORTFOLIO DIVERSIFICATION
CHOOSING A PORTFOLIO OF RISKY ASSETS
ISSUES IN PORTFOLIO SELECTION
KEY POINTS
QUESTIONS
CHAPTER 4 - Capital Asset Pricing Models
SHARPE-LINTNER CAPM
ROY CAPM
CONFUSIONS REGARDING THE CAPM
TWO MEANINGS OF MARKET EFFICIENCY
CAPM INVESTORS DO NOT GET PAID FOR BEARING RISK
THE “TWO BETA” TRAP
KEY POINTS
QUESTIONS
CHAPTER 5 - Factor Models
ARBITRAGE PRICING THEORY
TYPES OF FACTOR MODELS
FACTOR MODEL ESTIMATION
KEY POINTS
APPENDIX: PRINCIPAL COMPONENT ANALYSIS IN FINANCE
QUESTIONS
CHAPTER 6 - Modeling Asset Price Dynamics
FINANCIAL TIME SERIES
BINOMIAL TREES
ARITHMETIC RANDOM WALKS
GEOMETRIC RANDOM WALKS
MEAN REVERSION
ADVANCED RANDOM WALK MODELS
STOCHASTIC PROCESSES
KEY POINTS
QUESTIONS
CHAPTER 7 - Asset Allocation and Portfolio Construction
ASSET ALLOCATION AND PORTFOLIO CONSTRUCTION DECISIONS IN THE OPTIMAL DESIGN OF ...
ASSET ALLOCATION AND PORTFOLIO CONSTRUCTION DECISIONS IN THE OPTIMAL DESIGN OF ...
DYNAMIC ALLOCATION DECISIONS TO THE PERFORMANCE-SEEKING AND LIABILITY-HEDGING PORTFOLIOS
KEY POINTS
APPENDIX
QUESTIONS
PART Two - Equity Analysis and Portfolio Management
CHAPTER 8 - Fundamentals of Common Stock
EARNINGS
DIVIDENDS
THE U.S. EQUITY MARKETS
TRADING MECHANICS
TRADING COSTS
STOCK MARKET INDICATORS
KEY POINTS
QUESTIONS
CHAPTER 9 - Common Stock Portfolio Management Strategies
INTEGRATING THE EQUITY PORTFOLIO MANAGEMENT PROCESS
CAPITAL MARKET PRICE EFFICIENCY
TRACKING ERROR AND RELATED MEASURES
ACTIVE VS. PASSIVE PORTFOLIO MANAGEMENT
EQUITY STYLE MANAGEMENT
PASSIVE STRATEGIES
ACTIVE INVESTING
PERFORMANCE EVALUATION
KEY POINTS
QUESTIONS
CHAPTER 10 - Approaches to Common Stock Valuation
DISCOUNTED CASH FLOW MODELS
RELATIVE VALUATION METHODS
KEY POINTS
QUESTIONS
CHAPTER 11 - Quantitative Equity Portfolio Management
TRADITIONAL AND QUANTITATIVE APPROACHES TO EQUITY PORTFOLIO MANAGEMENT
FORECASTING STOCK RETURNS, RISKS, AND TRANSACTION COSTS
CONSTRUCTING PORTFOLIOS
TRADING
EVALUATING RESULTS AND UPDATING THE PROCESS
KEY POINTS
QUESTIONS
CHAPTER 12 - Long-Short Equity Portfolios
CONSTRUCTING A MARKET-NEUTRAL PORTFOLIO
THE IMPORTANCE OF INTEGRATED OPTIMIZATION
ADDING BACK A MARKET RETURN
SOME CONCERNS ADDRESSED
EVALUATING LONG-SHORT
KEY POINTS
QUESTIONS
CHAPTER 13 - Multifactor Equity Risk Models
MODEL DESCRIPTION AND ESTIMATION
RISK DECOMPOSITION
APPLICATIONS IN PORTFOLIO CONSTRUCTION AND RISK CONTROL
KEY POINTS
QUESTIONS
CHAPTER 14 - Fundamentals of Equity Derivatives
THE ROLE OF DERIVATIVES
LISTED EQUITY OPTIONS
FUTURES CONTRACTS
PRICING STOCK INDEX FUTURES
OTC EQUITY DERIVATIVES
STRUCTURED PRODUCTS
KEY POINTS
QUESTIONS
CHAPTER 15 - Using Equity Derivatives in Portfolio Management
EQUITY INVESTMENT MANAGEMENT
PORTFOLIO APPLICATIONS OF LISTED OPTIONS
PORTFOLIO APPLICATIONS OF STOCK INDEX FUTURES
APPLICATIONS OF OTC EQUITY DERIVATIVES
RISK AND EXPECTED RETURN OF OPTION STRATEGIES
KEY POINTS
QUESTIONS
PART Three - Bond Analysis and Portfolio Management
CHAPTER 16 - Bonds, Asset-Backed Securities, and Mortgage-Backed Securities
GENERAL FEATURES OF BONDS
U.S. TREASURY SECURITIES
FEDERAL AGENCY SECURITIES
CORPORATE BONDS
MUNICIPAL SECURITIES
ASSET-BACKED SECURITIES
RESIDENTIAL MORTGAGE-BACKED SECURITIES
COMMERCIAL MORTGAGE-BACKED SECURITIES
KEY POINTS
QUESTIONS
CHAPTER 17 - Basic Valuation, Yield Measures, and Interest Rate Risk Measures
BASIC VALUATION OF OPTION-FREE BONDS
CONVENTIONAL YIELD MEASURES
TOTAL RETURN
MEASURING INTEREST RATE RISK
KEY POINTS
QUESTIONS
CHAPTER 18 - Spot Rates, Forward Rates, Yield Spreads, and Valuation
ARBITRAGE-FREE BOND VALUATION
YIELD SPREAD MEASURES
FORWARD RATES
OVERVIEW OF THE VALUATION OF BONDS WITH EMBEDDED OPTIONS
LATTICE MODEL
VALUATION OF MBS AND ABS
KEY POINTS
QUESTIONS
CHAPTER 19 - Bond Portfolio Strategies for Outperforming a Benchmark
SELECTING THE BENCHMARK INDEX
CREATING A CUSTOM INDEX
BEATING THE BENCHMARK INDEX
KEY POINTS
QUESTIONS
CHAPTER 20 - The Art of Fixed Income Portfolio Investing
THE GLOBAL FIXED INCOME PORTFOLIO MANAGER
THE GLOBAL CHALLENGE
PORTFOLIO PARAMETERS
REGULATORY CHANGES, DEMOGRAPHIC TRENDS, AND INSTITUTIONAL BIAS
INFORMATION IN THE MARKETS
DURATION AND YIELD CURVE
VOLATILITY
INTERNATIONAL CORPORATE BONDS
INTERNATIONAL INVESTING AND POLITICAL EXTERNALITIES
FOREIGN INVESTMENT SELECTION
CURRENCY SELECTION
KEY POINTS
QUESTIONS
CHAPTER 21 - Multifactor Fixed Income Risk Models and Their Applications
APPROACHES USED TO ANALYZE RISK
APPLICATIONS OF RISK MODELING
KEY POINTS
QUESTIONS
CHAPTER 22 - Interest Rate Derivatives and Risk Control
INTEREST RATE FUTURES AND FORWARD CONTRACTS
INTEREST RATE SWAPS
INTEREST RATE OPTIONS
INTEREST RATE AGREEMENTS (CAPS AND FLOORS)
KEY POINTS
QUESTIONS
CHAPTER 23 - Credit Default Swaps and the Indexes
WHAT ARE CREDIT DEFAULT SWAPS?
CREDIT DEFAULT SWAPS INDEXES
KEY POINTS
QUESTIONS
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Index
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