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Solution Manual for Investments, 12th Edition, Zvi Bodie Alex Kane Alan Marcus

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Solution Manual for Investments, 12th Edition, Zvi Bodie, Alex Kane, Alan Marcus

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  • ISBN-10 ‏ : ‎ 1260013839
  • ISBN-13 ‏ : ‎ 978-1260013832
  • Author:   Zvi Bodie, Alex Kane, Alan MarcusInvestments sets the standard as a graduate (MBA) text intended primarily for courses in investment analysis. The guiding principle has been to present the material in a framework that is organized by a central core of consistent fundamental principles and will introduce students to major issues currently of concern to all investors. In an effort to link theory to practice, the authors make their approach consistent with that of the CFA Institute. Many features of this text make it consistent with and relevant to the CFA curriculum.

    The common unifying theme is that security markets are nearly efficient, meaning that most securities are priced appropriately given their risk and return attributes. Investments is also organized around several important themes: The central theme is the near-informational-efficiency of well-developed security markets and the general awareness that competitive markets do not offer “free lunches” to participants. A second theme is the risk–return trade-off. Also, this text places great emphasis on asset allocation. Finally, this text offers a broad and deep treatment of futures, options, and other derivative security markets.

 

Table of Content:

  1. PART I Introduction
  2. Chapter 1 The Investment Environment
  3. 1.1 Real Assets versus Financial Assets
  4. 1.2 Financial Assets
  5. 1.3 Financial Markets and the Economy
  6. The Informational Role of Financial Markets
  7. Consumption Timing
  8. Allocation of Risk
  9. Separation of Ownership and Management
  10. Corporate Governance and Corporate Ethics
  11. 1.4 The Investment Process
  12. 1.5 Markets Are Competitive
  13. The Risk–Return Trade-Off
  14. Efficient Markets
  15. 1.6 The Players
  16. Financial Intermediaries
  17. Investment Bankers
  18. Venture Capital and Private Equity
  19. Fintech and Financial Innovation
  20. 1.7 The Financial Crisis of 2008-2009
  21. Antecedents of the Crisis
  22. Changes in Housing Finance
  23. Mortgage Derivatives
  24. Credit Default Swaps
  25. The Rise of Systemic Risk
  26. The Shoe Drops
  27. The Dodd-Frank Reform Act
  28. 1.8 Outline of the Text
  29. End of Chapter Material
  30. Chapter 2 Asset Classes and Financial Instruments
  31. 2.1 The Money Market
  32. Treasury Bills
  33. Certificates of Deposit
  34. Commercial Paper
  35. Bankers’ Acceptances
  36. Eurodollars
  37. Repos and Reverses
  38. Federal Funds
  39. Brokers’ Calls
  40. The LIBOR Market
  41. Yields on Money Market Instruments
  42. Money Market Funds
  43. 2.2 The Bond Market
  44. Treasury Notes and Bonds
  45. Inflation-Protected Treasury Bonds
  46. Federal Agency Debt
  47. International Bonds
  48. Municipal Bonds
  49. Corporate Bonds
  50. Mortgage and Asset-Backed Securities
  51. 2.3 Equity Securities
  52. Common Stock as Ownership Shares
  53. Characteristics of Common Stock
  54. Stock Market Listings
  55. Preferred Stock
  56. Depositary Receipts
  57. 2.4 Stock and Bond Market Indexes
  58. Stock Market Indexes
  59. Dow Jones Industrial Average
  60. The Standard & Poor’s 500 Index
  61. Other U.S. Market-Value Indexes
  62. Equally Weighted Indexes
  63. Foreign and International Stock Market Indexes
  64. Bond Market Indicators
  65. 2.5 Derivative Markets
  66. Options
  67. Futures Contracts
  68. End of Chapter Material
  69. Chapter 3 How Securities Are Traded
  70. 3.1 How Firms Issue Securities
  71. Privately Held Firms
  72. Publicly Traded Companies
  73. Shelf Registration
  74. Initial Public Offerings
  75. 3.2 How Securities Are Traded
  76. Types of Markets
  77. Direct Search Markets
  78. Brokered Markets
  79. Dealer Markets
  80. Auction Markets
  81. Types of Orders
  82. Market Orders
  83. Price-Contingent Orders
  84. Trading Mechanisms
  85. Dealer Markets
  86. Electronic Communication Networks (ECNs)
  87. Specialist/DMM Markets
  88. 3.3 The Rise of Electronic Trading
  89. 3.4 U.S. Markets
  90. NASDAQ
  91. The New York Stock Exchange
  92. ECNs
  93. 3.5 New Trading Strategies
  94. Algorithmic Trading
  95. High-Frequency Trading
  96. Dark Pools
  97. Bond Trading
  98. 3.6 Globalization of Stock Markets
  99. 3.7 Trading Costs
  100. 3.8 Buying on Margin
  101. 3.9 Short Sales
  102. 3.10 Regulation of Securities Markets
  103. Self-Regulation
  104. The Sarbanes-Oxley Act
  105. Insider Trading
  106. End of Chapter Material
  107. Chapter 4 Mutual Funds and Other Investment Companies
  108. 4.1 Investment Companies
  109. 4.2 Types of Investment Companies
  110. Unit Investment Trusts
  111. Managed Investment Companies
  112. Other Investment Organizations
  113. Commingled Funds
  114. Real Estate Investment Trusts (REITs)
  115. Hedge Funds
  116. 4.3 Mutual Funds
  117. Investment Policies
  118. Money Market Funds
  119. Equity Funds
  120. Sector Funds
  121. Bond Funds
  122. International Funds
  123. Balanced Funds
  124. Asset Allocation and Flexible Funds
  125. Index Funds
  126. How Funds Are Sold
  127. 4.4 Costs of Investing in Mutual Funds
  128. Fee Structure
  129. Operating Expenses
  130. Front-End Load
  131. Back-End Load
  132. 12b-1 Charges
  133. Fees and Mutual Fund Returns
  134. 4.5 Taxation of Mutual Fund Income
  135. 4.6 Exchange-Traded Funds
  136. 4.7 Mutual Fund Investment Performance: A First Look
  137. 4.8 Information on Mutual Funds
  138. End of Chapter Material
  139. PART II Portfolio Theory and Practice
  140. Chapter 5 Risk, Return, and the Historical Record
  141. 5.1 Measuring Returns over Different Holding Periods
  142. Annual Percentage Rates
  143. Continuous Compounding
  144. 5.2 Interest Rates and Inflation Rates
  145. Real and Nominal Rates of Interest
  146. The Equilibrium Real Rate of Interest
  147. Interest Rates and Inflation
  148. Taxes and the Real Rate of Interest
  149. Treasury Bills and Inflation, 1926–2018
  150. 5.3 Risk and Risk Premiums
  151. Holding-Period Returns
  152. Expected Return and Standard Deviation
  153. Excess Returns and Risk Premiums
  154. 5.4 Learning from Historical Returns
  155. Time Series versus Scenario Analysis
  156. Expected Returns and the Arithmetic Average
  157. The Geometric (Time-Weighted) Average Return
  158. Estimating Variance and Standard Deviation
  159. Mean and Standard Deviation Estimates from Higher-Frequency Observations
  160. The Reward-to-Volatility (Sharpe) Ratio
  161. 5.5 The Normal Distribution
  162. 5.6 Deviations from Normality and Tail Risk
  163. Value at Risk
  164. Expected Shortfall
  165. Lower Partial Standard Deviation and the Sortino Ratio
  166. Relative Frequency of Large, Negative 3-Sigma Returns
  167. 5.7 Historic Returns on Risky Portfolios
  168. A Global View of the Historical Record
  169. 5.8 Normality and Long-Term Investments
  170. Short-Run versus Long-Run Risk
  171. Forecasts for the Long Haul
  172. End of Chapter Material
  173. Chapter 6 Capital Allocation to Risky Assets
  174. 6.1 Risk and Risk Aversion
  175. Risk, Speculation, and Gambling
  176. Risk Aversion and Utility Values
  177. Estimating Risk Aversion
  178. 6.2 Capital Allocation across Risky and Risk-Free Portfolios
  179. 6.3 The Risk-Free Asset
  180. 6.4 Portfolios of One Risky Asset and a Risk-Free Asset
  181. 6.5 Risk Tolerance and Asset Allocation
  182. Non-Normal Returns
  183. 6.6 Passive Strategies: The Capital Market Line
  184. End of Chapter Material
  185. Appendix A: Risk Aversion, Expected Utility, and the St. Petersburg Paradox
  186. Chapter 7 Efficient Diversification
  187. 7.1 Diversification and Portfolio Risk
  188. 7.2 Portfolios of Two Risky Assets
  189. 7.3 Asset Allocation with Stocks, Bonds, and Bills
  190. Asset Allocation with Two Risky Asset Classes
  191. 7.4 The Markowitz Portfolio Optimization Model
  192. Security Selection
  193. Capital Allocation and the Separation Property
  194. The Power of Diversification
  195. Asset Allocation and Security Selection
  196. Optimal Portfolios and Non-Normal Returns
  197. 7.5 Risk Pooling, Risk Sharing, and Time Diversification
  198. Risk Sharing versus Risk Pooling
  199. Time Diversification
  200. End of Chapter Material
  201. Appendix A: A Spreadsheet Model for Efficient Diversification
  202. Appendix B: Review of Portfolio Statistics
  203. Chapter 8 Index Models
  204. 8.1 A Single-Factor Security Market
  205. The Input List of the Markowitz Model
  206. Systematic versus Firm-Specific Risk
  207. 8.2 The Single-Index Model
  208. The Regression Equation of the Single-Index Model
  209. The Expected Return–Beta Relationship
  210. Risk and Covariance in the Single-Index Model
  211. The Set of Estimates Needed for the Single-Index Model
  212. The Index Model and Diversification
  213. 8.3 Estimating the Single-Index Model
  214. The Security Characteristic Line for Amazon
  215. The Explanatory Power of Amazon’s SCL
  216. The Estimate of Alpha
  217. The Estimate of Beta
  218. Firm-Specific Risk
  219. Typical Results from Index Model Regressions
  220. 8.4 The Industry Version of the Index Model
  221. Predicting Betas
  222. 8.5 Portfolio Construction Using the Single-Index Model
  223. Alpha and Security Analysis
  224. The Index Portfolio as an Investment Asset
  225. The Single-Index Model Input List
  226. The Optimal Risky Portfolio in the Single-Index Model
  227. The Information Ratio
  228. Summary of Optimization Procedure
  229. An Example
  230. Correlation and Covariance Matrix
  231. Risk Premium Forecasts
  232. The Optimal Risky Portfolio
  233. Is the Index Model Inferior to the Full-Covariance Model?
  234. End of Chapter Material
  235. PART III Equilibrium in Capital Markets
  236. Chapter 9 The Capital Asset Pricing Model
  237. 9.1 The Capital Asset Pricing Model
  238. The Market Portfolio
  239. The Passive Strategy Is Efficient
  240. The Risk Premium of the Market Portfolio
  241. Expected Returns on Individual Securities
  242. The Security Market Line
  243. The CAPM and the Single-Index Market
  244. 9.2 Assumptions and Extensions of the CAPM
  245. Identical Input Lists
  246. Risk-Free Borrowing and the Zero-Beta Model
  247. Labor Income and Other Nontraded Assets
  248. A Multiperiod Model and Hedge Portfolios
  249. A Consumption-Based CAPM
  250. Liquidity and the CAPM
  251. 9.3 The CAPM and the Academic World
  252. 9.4 The CAPM and the Investment Industry
  253. End of Chapter Material
  254. Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return
  255. 10.1 Multifactor Models: A Preview
  256. Factor Models of Security Returns
  257. 10.2 Arbitrage Pricing Theory
  258. Arbitrage, Risk Arbitrage, and Equilibrium
  259. Diversification in a Single-Factor Security Market
  260. Well-Diversified Portfolios
  261. The Security Market Line of the APT
  262. Individual Assets and the APT
  263. Well-Diversified Portfolios in Practice
  264. 10.3 The APT and the CAPM
  265. 10.4 A Multifactor APT
  266. 10.5 The Fama-French (FF) Three-Factor Model
  267. Estimating and Implementing a Three-Factor SML
  268. Smart Betas and Multifactor Models
  269. End of Chapter Material
  270. Chapter 11 The Efficient Market Hypothesis
  271. 11.1 Random Walks and Efficient Markets
  272. Competition as the Source of Efficiency
  273. Versions of the Efficient Market Hypothesis
  274. 11.2 Implications of the EMH
  275. Technical Analysis
  276. Fundamental Analysis
  277. Active versus Passive Portfolio Management
  278. The Role of Portfolio Management in an Efficient Market
  279. Resource Allocation
  280. 11.3 Event Studies
  281. 11.4 Are Markets Efficient?
  282. The Issues
  283. The Magnitude Issue
  284. The Selection Bias Issue
  285. The Lucky Event Issue
  286. Weak-Form Tests: Patterns in Stock Returns
  287. Returns over Short Horizons
  288. Returns over Long Horizons
  289. Predictors of Broad Market Returns
  290. Semistrong Tests: Market Anomalies
  291. The Small-Firm Effect
  292. The Neglected-Firm and Liquidity Effects
  293. Book-to-Market Ratios
  294. Post–Earnings-Announcement Price Drift
  295. Other Predictors of Stock Returns
  296. Strong-Form Tests: Inside Information
  297. Interpreting the Anomalies
  298. Risk Premiums or Inefficiencies?
  299. Anomalies or Data Mining?
  300. Anomalies over Time
  301. Bubbles and Market Efficiency
  302. 11.5 Mutual Fund and Analyst Performance
  303. Stock Market Analysts
  304. Mutual Fund Managers
  305. So, Are Markets Efficient?
  306. End of Chapter Material
  307. Chapter 12 Behavioral Finance and Technical Analysis
  308. 12.1 The Behavioral Critique
  309. Information Processing
  310. Limited Attention, Underreaction, and Overreaction
  311. Overconfidence
  312. Conservatism
  313. Extrapolation and Pattern Recognition
  314. Behavioral Biases
  315. Framing
  316. Mental Accounting
  317. Regret Avoidance
  318. Affect and Feelings
  319. Prospect Theory
  320. Limits to Arbitrage
  321. Fundamental Risk
  322. Implementation Costs
  323. Model Risk
  324. Limits to Arbitrage and the Law of One Price
  325. “Siamese Twin” Companies
  326. Equity Carve-Outs
  327. Closed-End Funds
  328. Bubbles and Behavioral Economics
  329. Evaluating the Behavioral Critique
  330. 12.2 Technical Analysis and Behavioral Finance
  331. Trends and Corrections
  332. Momentum and Moving Averages
  333. Relative Strength
  334. Breadth
  335. Sentiment Indicators
  336. Trin Statistic
  337. Confidence Index
  338. Short Interest
  339. Put/Call Ratio
  340. A Warning
  341. End of Chapter Material
  342. Chapter 13 Empirical Evidence on Security Returns
  343. 13.1 The Index Model and the Single-Factor SML
  344. The Expected Return–Beta Relationship
  345. Setting Up the Sample Data
  346. Estimating the SCL
  347. Estimating the SML
  348. Tests of the CAPM
  349. The Market Index
  350. Measurement Error in Beta
  351. 13.2 Tests of the Multifactor Models
  352. Labor Income
  353. Private (Nontraded) Business
  354. Early Tests of the Multifactor CAPM and APT
  355. A Macro Factor Model
  356. 13.3 Fama-French-Type Factor Models
  357. Size and B/M as Risk Factors
  358. Behavioral Explanations
  359. Momentum: A Fourth Factor
  360. Characteristics versus Factor Sensitivities
  361. 13.4 Liquidity and Asset Pricing
  362. 13.5 Consumption-Based Asset Pricing and the Equity Premium Puzzle
  363. Expected versus Realized Returns
  364. Survivorship Bias
  365. Extensions to the CAPM May Resolve the Equity Premium Puzzle
  366. Liquidity and the Equity Premium Puzzle
  367. Behavioral Explanations of the Equity Premium Puzzle
  368. End of Chapter Material
  369. PART IV Fixed-Income Securities
  370. Chapter 14 Bond Prices and Yields
  371. 14.1 Bond Characteristics
  372. Treasury Bonds and Notes
  373. Accrued Interest and Quoted Bond Prices
  374. Corporate Bonds
  375. Call Provisions on Corporate Bonds
  376. Convertible Bonds
  377. Puttable Bonds
  378. Floating-Rate Bonds
  379. Preferred Stock
  380. Other Domestic Issuers
  381. International Bonds
  382. Innovation in the Bond Market
  383. Inverse Floaters
  384. Asset-Backed Bonds
  385. Catastrophe Bonds
  386. Indexed Bonds
  387. 14.2 Bond Pricing
  388. Bond Pricing between Coupon Dates
  389. 14.3 Bond Yields
  390. Yield to Maturity
  391. Yield to Call
  392. Realized Compound Return versus Yield to Maturity
  393. 14.4 Bond Prices over Time
  394. Yield to Maturity versus Holding-Period Return
  395. Zero-Coupon Bonds and Treasury Strips
  396. After-Tax Returns
  397. 14.5 Default Risk and Bond Pricing
  398. Junk Bonds
  399. Determinants of Bond Safety
  400. Bond Indentures
  401. Sinking Funds
  402. Subordination of Further Debt
  403. Dividend Restrictions
  404. Collateral
  405. Yield to Maturity and Default Risk
  406. Credit Default Swaps
  407. Credit Risk and Collateralized Debt Obligations
  408. End of Chapter Material
  409. Chapter 15 The Term Structure of Interest Rates
  410. 15.1 The Yield Curve
  411. Bond Pricing
  412. 15.2 The Yield Curve and Future Interest Rates
  413. The Yield Curve under Certainty
  414. Holding-Period Returns
  415. Forward Rates
  416. 15.3 Interest Rate Uncertainty and Forward Rates
  417. 15.4 Theories of the Term Structure
  418. The Expectations Hypothesis
  419. Liquidity Preference Theory
  420. 15.5 Interpreting the Term Structure
  421. 15.6 Forward Rates as Forward Contracts
  422. End of Chapter Material
  423. Chapter 16 Managing Bond Portfolios
  424. 16.1 Interest Rate Risk
  425. Interest Rate Sensitivity
  426. Duration
  427. What Determines Duration?
  428. Rule 1 for Duration
  429. Rule 2 for Duration
  430. Rule 3 for Duration
  431. Rule 4 for Duration
  432. Rule 5 for Duration
  433. 16.2 Convexity
  434. Why Do Investors Like Convexity?
  435. Duration and Convexity of Callable Bonds
  436. Duration and Convexity of Mortgage-Backed Securities
  437. 16.3 Passive Bond Management
  438. Bond-Index Funds
  439. Immunization
  440. Cash Flow Matching and Dedication
  441. Other Problems with Conventional Immunization
  442. 16.4 Active Bond Management
  443. Sources of Potential Profit
  444. Horizon Analysis
  445. End of Chapter Material
  446. PART V Security Analysis
  447. Chapter 17 Macroeconomic and Industry Analysis
  448. 17.1 The Global Economy
  449. 17.2 The Domestic Macroeconomy
  450. Key Economic Indicators
  451. Gross Domestic Product
  452. Employment
  453. Inflation
  454. Interest Rates
  455. Budget Deficit
  456. Sentiment
  457. 17.3 Demand and Supply Shocks
  458. 17.4 Federal Government Policy
  459. Fiscal Policy
  460. Monetary Policy
  461. Supply-Side Policies
  462. 17.5 Business Cycles
  463. The Business Cycle
  464. Economic Indicators
  465. Other Indicators
  466. 17.6 Industry Analysis
  467. Defining an Industry
  468. Sensitivity to the Business Cycle
  469. Sector Rotation
  470. Industry Life Cycles
  471. Start-Up Stage
  472. Consolidation Stage
  473. Maturity Stage
  474. Relative Decline
  475. Industry Structure and Performance
  476. Threat of Entry
  477. Rivalry between Existing Competitors
  478. Pressure from Substitute Products
  479. Bargaining Power of Buyers
  480. Bargaining Power of Suppliers
  481. End of Chapter Material
  482. Chapter 18 Equity Valuation Models
  483. 18.1 Valuation by Comparables
  484. Limitations of Book Value
  485. 18.2 Intrinsic Value versus Market Price
  486. 18.3 Dividend Discount Models
  487. The Constant-Growth DDM
  488. Convergence of Price to Intrinsic Value
  489. Stock Prices and Investment Opportunities
  490. Life Cycles and Multistage Growth Models
  491. Multistage Growth Models
  492. 18.4 The Price–Earnings Ratio
  493. The Price–Earnings Ratio and Growth Opportunities
  494. P/E Ratios and Stock Risk
  495. Pitfalls in P/E Analysis
  496. The Cyclically Adjusted P/E Ratio
  497. Combining P/E Analysis and the DDM
  498. Other Comparative Valuation Ratios
  499. Price-to-Book Ratio
  500. Price-to-Cash-Flow Ratio
  501. Price-to-Sales Ratio
  502. 18.5 Free Cash Flow Valuation Approaches
  503. Comparing the Valuation Models
  504. The Problem with DCF Models
  505. 18.6 The Aggregate Stock Market
  506. End of Chapter Material
  507. Chapter 19 Financial Statement Analysis
  508. 19.1 The Major Financial Statements
  509. The Income Statement
  510. The Balance Sheet
  511. The Statement of Cash Flows
  512. 19.2 Measuring Firm Performance
  513. 19.3 Profitability Measures
  514. Return on Assets, ROA
  515. Return on Capital, ROC
  516. Return on Equity, ROE
  517. Financial Leverage and ROE
  518. Economic Value Added
  519. 19.4 Ratio Analysis
  520. Decomposition of ROE
  521. Turnover and Other Asset Utilization Ratios
  522. Liquidity Ratios
  523. Market Price Ratios: Growth versus Value
  524. Choosing a Benchmark
  525. 19.5 An Illustration of Financial Statement Analysis
  526. 19.6 Comparability Problems
  527. Inventory Valuation
  528. Depreciation
  529. Inflation and Interest Expense
  530. Fair Value Accounting
  531. Quality of Earnings and Accounting Practices
  532. International Accounting Conventions
  533. 19.7 Value Investing: The Graham Technique
  534. End of Chapter Material
  535. PART VI Options, Futures, and Other Derivatives
  536. Chapter 20 Options Markets: Introduction
  537. 20.1 The Option Contract
  538. Options Trading
  539. American versus European Options
  540. Adjustments in Option Contract Terms
  541. The Options Clearing Corporation
  542. Other Listed Options
  543. Index Options
  544. Futures Options
  545. Foreign Currency Options
  546. Interest Rate Options
  547. 20.2 Values of Options at Expiration
  548. Call Options
  549. Put Options
  550. Option versus Stock Investments
  551. 20.3 Option Strategies
  552. Protective Put
  553. Covered Calls
  554. Straddle
  555. Spreads
  556. Collars
  557. 20.4 The Put-Call Parity Relationship
  558. 20.5 Option-Like Securities
  559. Callable Bonds
  560. Convertible Securities
  561. Warrants
  562. Collateralized Loans
  563. Levered Equity and Risky Debt
  564. 20.6 Financial Engineering
  565. 20.7 Exotic Options
  566. Asian Options
  567. Barrier Options
  568. Lookback Options
  569. Currency-Translated Options
  570. Digital Options
  571. End of Chapter Material
  572. Chapter 21 Option Valuation
  573. 21.1 Option Valuation: Introduction
  574. Intrinsic and Time Values
  575. Determinants of Option Values
  576. 21.2 Restrictions on Option Values
  577. Restrictions on the Value of a Call Option
  578. Early Exercise and Dividends
  579. Early Exercise of American Puts
  580. 21.3 Binomial Option Pricing
  581. Two-State Option Pricing
  582. Generalizing the Two-State Approach
  583. Making the Valuation Model Practical
  584. 21.4 Black-Scholes Option Valuation
  585. The Black-Scholes Formula
  586. Dividends and Call Option Valuation
  587. Put Option Valuation
  588. Dividends and Put Option Valuation
  589. 21.5 Using the Black-Scholes Formula
  590. Hedge Ratios and the Black-Scholes Formula
  591. Portfolio Insurance
  592. Option Pricing and the Financial Crisis
  593. Option Pricing and Portfolio Theory
  594. Hedging Bets on Mispriced Options
  595. 21.6 Empirical Evidence on Option Pricing
  596. End of Chapter Material
  597. Chapter 22 Futures Markets
  598. 22.1 The Futures Contract
  599. The Basics of Futures Contracts
  600. Existing Contracts
  601. 22.2 Trading Mechanics
  602. The Clearinghouse and Open Interest
  603. The Margin Account and Marking to Market
  604. Cash versus Actual Delivery
  605. Regulations
  606. Taxation
  607. 22.3 Futures Markets Strategies
  608. Hedging and Speculation
  609. Basis Risk and Hedging
  610. 22.4 Futures Prices
  611. The Spot-Futures Parity Theorem
  612. Spreads
  613. Forward versus Futures Pricing
  614. 22.5 Futures Prices versus Expected Spot Prices
  615. Expectations Hypothesis
  616. Normal Backwardation
  617. Contango
  618. Modern Portfolio Theory
  619. End of Chapter Material
  620. Chapter 23 Futures, Swaps, and Risk Management
  621. 23.1 Foreign Exchange Futures
  622. The Markets
  623. Interest Rate Parity
  624. Direct versus Indirect Quotes
  625. Using Futures to Manage Exchange Rate Risk
  626. 23.2 Stock-Index Futures
  627. The Contracts
  628. Creating Synthetic Stock Positions: An Asset Allocation Tool
  629. Index Arbitrage
  630. Using Index Futures to Hedge Market Risk
  631. 23.3 Interest Rate Futures
  632. Hedging Interest Rate Risk
  633. 23.4 Swaps
  634. Swaps and Balance Sheet Restructuring
  635. The Swap Dealer
  636. Other Interest Rate Contracts
  637. Swap Pricing
  638. Credit Risk in the Swap Market
  639. Credit Default Swaps
  640. 23.5 Commodity Futures Pricing
  641. Pricing with Storage Costs
  642. Discounted Cash Flow Analysis for Commodity Futures
  643. End of Chapter Material
  644. PART VII Applied Portfolio Management
  645. Chapter 24 Portfolio Performance Evaluation
  646. 24.1 The Conventional Theory of Performance Evaluation
  647. Average Rates of Return
  648. Time-Weighted Returns versus Dollar-Weighted Returns
  649. Adjusting Returns for Risk
  650. Risk-Adjusted Performance Measures
  651. The Sharpe Ratio for Overall Portfolios
  652. The M2 Measure and the Sharpe Ratio
  653. The Treynor Ratio
  654. The Information Ratio
  655. The Role of Alpha in Performance Measures
  656. Implementing Performance Measurement: An Example
  657. Realized Returns versus Expected Returns
  658. Selection Bias and Portfolio Evaluation
  659. 24.2 Style Analysis
  660. 24.3 Performance Measurement with Changing Portfolio Composition
  661. Performance Manipulation and the Morningstar Risk-Adjusted Rating
  662. 24.4 Market Timing
  663. The Potential Value of Market Timing
  664. Valuing Market Timing as a Call Option
  665. The Value of Imperfect Forecasting
  666. 24.5 Performance Attribution Procedures
  667. Asset Allocation Decisions
  668. Sector and Security Selection Decisions
  669. Summing Up Component Contributions
  670. End of Chapter Material
  671. Chapter 25 International Diversification
  672. 25.1 Global Markets for Equities
  673. Developed Countries
  674. Emerging Markets
  675. Market Capitalization and GDP
  676. Home-Country Bias
  677. 25.2 Exchange Rate Risk and International Diversification
  678. Exchange Rate Risk
  679. Investment Risk in International Markets
  680. International Diversification
  681. Are Benefits from International Diversification Preserved in Bear Markets?
  682. 25.3 Political Risk
  683. 25.4 International Investing and Performance Attribution
  684. Constructing a Benchmark Portfolio of Foreign Assets
  685. Performance Attribution
  686. End of Chapter Material
  687. Chapter 26 Hedge Funds
  688. 26.1 Hedge Funds versus Mutual Funds
  689. Transparency
  690. Investors
  691. Investment Strategies
  692. Liquidity
  693. Compensation Structure
  694. 26.2 Hedge Fund Strategies
  695. Directional versus Nondirectional Strategies
  696. Statistical Arbitrage
  697. High-Frequency Strategies
  698. Electronic News Feeds
  699. Cross-Market Arbitrage
  700. Electronic Market Making
  701. Electronic “Front Running”
  702. 26.3 Portable Alpha
  703. An Example of a Pure Play
  704. 26.4 Style Analysis for Hedge Funds
  705. 26.5 Performance Measurement for Hedge Funds
  706. Liquidity and Hedge Fund Performance
  707. Hedge Fund Performance and Selection Bias
  708. Hedge Fund Performance and Changing Factor Loadings
  709. Tail Events and Hedge Fund Performance
  710. 26.6 Fee Structure in Hedge Funds
  711. End of Chapter Material
  712. Chapter 27 The Theory of Active Portfolio Management
  713. 27.1 Optimal Portfolios and Alpha Values
  714. Forecasts of Alpha Values and Extreme Portfolio Weights
  715. Restriction of Benchmark Risk
  716. 27.2 The Treynor-Black Model and Forecast Precision
  717. Adjusting Forecasts for the Precision of Alpha
  718. Distribution of Alpha Values
  719. Organizational Structure and Performance
  720. 27.3 The Black-Litterman Model
  721. Black-Litterman Asset Allocation Decision
  722. Step 1: The Covariance Matrix from Historical Data
  723. Step 2: Determination of a Baseline Forecast
  724. Step 3: Integrating the Manager’s Private Views
  725. Step 4: Revised (Posterior) Expectations
  726. Step 5: Portfolio Optimization
  727. 27.4 Treynor-Black versus Black-Litterman: Complements, Not Substitutes
  728. The BL Model as Icing on the TB Cake
  729. Why Not Replace the Entire TB Cake with the BL Icing?
  730. 27.5 The Value of Active Management
  731. A Model for the Estimation of Potential Fees
  732. Results from the Distribution of Actual Information Ratios
  733. Results from Distribution of Actual Forecasts
  734. 27.6 Concluding Remarks on Active Management
  735. End of Chapter Material
  736. Appendix A: Forecasts and Realizations of Alpha
  737. Appendix B: The General Black-Litterman Model
  738. Chapter 28 Investment Policy and the Framework of the CFA Institute
  739. 28.1 The Investment Management Process
  740. Objectives
  741. 28.2 Major Investor Types
  742. Individual Investors
  743. Personal Trusts
  744. Mutual Funds
  745. Pension Funds
  746. Endowment Funds
  747. Life Insurance Companies
  748. Non–Life Insurance Companies
  749. Banks
  750. 28.3 Constraints
  751. Liquidity
  752. Investment Horizon
  753. Regulations
  754. Tax Considerations
  755. Unique Needs
  756. 28.4 Policy Statements
  757. Sample Policy Statements for Individual Investors
  758. 28.5 Asset Allocation
  759. Taxes and Asset Allocation
  760. 28.6 Managing Portfolios of Individual Investors
  761. Human Capital and Insurance
  762. Investment in Residence
  763. Saving for Retirement and the Assumption of Risk
  764. Retirement Planning Models
  765. Manage Your Own Portfolio or Rely on Others?
  766. Tax Sheltering
  767. The Tax-Deferral Option
  768. Tax-Protected Retirement Plans
  769. Deferred Annuities
  770. Variable and Universal Life Insurance
  771. 28.7 Pension Funds
  772. Defined Contribution Plans
  773. Defined Benefit Plans
  774. Pension Investment Strategies
  775. Investing in Equities
  776. Wrong Reasons to Invest in Equities
  777. 28.8 Investments for the Long Run
  778. Target Date Funds
  779. Inflation Risk and Long-Term Investors
  780. End of Chapter Material
  781. REFERENCES TO CFA PROBLEMS
  782. GLOSSARY
  783. NAME INDEX
  784. SUBJECT INDEX
  785. NOTATION, FORMULAS

 

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