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Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 35000000002760 | HG4529.5 E48 1999 | Open Access Book | Book | Searching... |
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Summary
Summary
This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz.
Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.
Author Notes
Edwin J. Elton and Martin J. Gruber are both Nomura Professors of Finance at the Leonard N. Stern School of Business, New York University, and former Presidents of the American Finance Association.
Table of Contents
| Foreword | p. xi |
| Preface | p. xxi |
| Sources | p. xxiii |
| I Inputs to Portfolio Management | p. 1 |
| Dependence Structure | p. 3 |
| 1 Estimating the Dependence Structure of Share Prices--Implications for Portfolio Selection | p. 5 |
| 2 Are Betas Best? | p. 43 |
| 3 A Multi-index Risk Model of the Japanese Stock Market | p. 55 |
| 4 Do Investors Care About Sentiment? | p. 81 |
| Valuation | p. 109 |
| 5 Valuation and Asset Selection under Alternative Investment Opportunities | p. 111 |
| II Solving for Optional Portfolios | p. 129 |
| 6 Simple Criteria for Optimal Portfolio Selection | p. 131 |
| 7 Simple Criteria for Optimal Portfolio Selection: Tracing Out the Efficient Frontier | p. 151 |
| 8 Simple Rules for Optimal Portfolio Selection: The Multi-group Case | p. 161 |
| 9 Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets | p. 177 |
| 10 Portfolio Analysis with Partial Information: The Case of Grouped Data | p. 187 |
| III Other Objective Functions | p. 201 |
| Single-period Analysis | p. 203 |
| 11 On the Maximization of the Geometric Mean with Log-Normal Return Distribution | p. 205 |
| 12 Portfolio Theory When Investment Relatives Are Log-Normally Distributed | p. 213 |
| 13 Optimal Investment Strategies with Investor Liabilities | p. 225 |
| 14 Portfolio Analysis with a Nonnormal Multi-index Return-Generating Process | p. 249 |
| Multi-period Analysis | p. 263 |
| 15 Dynamic Programming Applications in Finance | p. 265 |
| 16 On the Optimality of Some Multi-period Portfolio Selection Criteria | p. 307 |
| 17 The Multi-period Consumption Investment Problem and Single Period Analysis | p. 323 |
| IV Equilibrium | p. 339 |
| 18 Non-Standard C.A.P.M.s and the Market Portfolio | p. 341 |
| 19 The Arbitrage Pricing Model and Returns on Assets under Uncertain Inflation | p. 359 |
| 20 On the Robustness of the Roll and Ross Arbitrage Pricing Theory | p. 375 |
| V Taxes and Portfolio Composition | p. 389 |
| 21 Marginal Stockholder Tax Rates and the Clientele Effect | p. 391 |
| 22 The Ex-Dividend Day Behavior of Stock Prices, A Re-examination of the Clientele Effect: A Comment | p. 403 |
| 23 A Simple Examination of the Empirical Relationship between Dividend Yields and Deviations from the CAPM | p. 411 |
| 24 Taxes and Portfolio Composition | p. 425 |
| VI The Past and the Future | p. 439 |
| 25 Modern Portfolio Theory, 1950 to Date | p. 441 |
| Index | p. 461 |
