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Textbook

Quantitative Investment Analysis, 2nd Edition

ISBN: 978-0-470-05220-4
Hardcover
600 pages
January 2007, ©2007
US $100.00 Add to Cart

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Quantitative Investment Analysis, 2nd Edition (0470052201) cover image
Other Available Formats: E-book

Foreword xiii

Acknowledgments xvii

Introduction xix

CHAPTER 1 The Time Value of Money 1

1 Introduction 1

2 Interest Rates: Interpretation 1

3 The Future Value of a Single Cash Flow 3

4 The Future Value of a Series of Cash Flows 13

5 The Present Value of a Single Cash Flow 15

6 The Present Value of a Series of Cash Flows 19

7 Solving for Rates, Number of Periods, or Size of Annuity Payments 27

CHAPTER 2 Discounted Cash Flow Applications 39

1 Introduction 39

2 Net Present Value and Internal Rate of Return 39

3 Portfolio Return Measurement 47

34 Money Market Yields 54

CHAPTER 3 Statistical Concepts andMarket Returns 61

1 Introduction 61

2 Some Fundamental Concepts 61

3 Summarizing Data Using Frequency Distributions 65

4 The Graphic Presentation of Data 72

5 Measures of Central Tendency 76

6 Other Measures of Location: Quantiles 94

7 Measures of Dispersion 100

8 Symmetry and Skewness in Return Distributions 118

9 Kurtosis in Return Distributions 123

10 Using Geometric and Arithmetic Means 127

CHAPTER 4 Probability Concepts 129

1 Introduction 129

2 Probability, Expected Value, and Variance 129

3 Portfolio Expected Return and Variance of Return 152

4 Topics in Probability 161

CHAPTER 5 Common Probability Distributions 171

1 Introduction 171

2 Discrete Random Variables 171

3 Continuous Random Variables 185

4 Monte Carlo Simulation 206

CHAPTER 6 Sampling and Estimation 215

1 Introduction 215

2 Sampling 215

3 Distribution of the Sample Mean 221

4 Point and Interval Estimates of the Population Mean 225

5 More on Sampling 235

CHAPTER 7 Hypothesis Testing 243

1 Introduction 243

2 Hypothesis Testing 244

3 Hypothesis Tests Concerning the Mean 253

4 Hypothesis Tests Concerning Variance 269

5 Other Issues: Nonparametric Inference 275

CHAPTER 8 Correlation and Regression 281

1 Introduction 281

2 Correlation Analysis 281

3 Linear Regression 300

CHAPTER 9 Multiple Regression and Issues in Regression Analysis 325

1 Introduction 325

2 Multiple Linear Regression 325

3 Using Dummy Variables in Regressions 341

4 Violations of Regression Assumptions 345

5 Model Specification and Errors in Specification 359

6 Models with Qualitative Dependent Variables 372

CHAPTER 10 Time-Series Analysis 375

1 Introduction 375

2 Challenges of Working with Time Series 375

3 Trend Models 377

4 Autoregressive (AR) Time-Series Models 386

5 Random Walks and Unit Roots 399

6 Moving-Average Time-Series Models 407

7 Seasonality in Time-Series Models 412

8 Autoregressive Moving-Average Models 416

9 Autoregressive Conditional Heteroskedasticity Models 417

10 Regressions with More than One Time Series 420

11 Other Issues in Time Series 424

12 Suggested Steps in Time-Series Forecasting 425

CHAPTER 11 Portfolio Concepts 429

1 Introduction 429

2 Mean–Variance Analysis 429

3 Practical Issues in Mean–Variance Analysis 464

4 Multifactor Models 473

Appendices 511

References 521

Glossary 527

About the CFA Program 541

About the Authors 543

Index 545