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Models for Investors in Real World Markets

Models for Investors in Real World Markets

James R. Thompson, Edward E. Williams, M. Chapman Findlay III

ISBN: 978-0-470-31709-9

Dec 2007

408 pages

Description

* Considers neoclassical models in light of results that can go wrong with them to bring about better models.
* Questions the assumption that markets clear quickly.
* Offers a timely examination of the LTCM collapse.
* Written by a group of well-respected and highly qualified authors.
Preface.

Introduction and the Institutional Environment.

Some Conventional Building Blocks (With Various Reservations).

Diversification and Portfolio Selection.

Capital Market Equilibrium Theories.

Equilibrium Implying Efficiency: The Neoclassical Fantasy.

More Realistic Paradigms for Investment.

Security Analysis.

Empirical Financial Forecasting.

Stock Price Growth as Noisy Compound Interest.

Investing in Real World Markets: Returns and Risk Profiles.

Common Stock Options.

Summary, Some Unsettled (Unsettling) Questions, and Conclusions.

Appendix A: A Brief Introduction to Probability and Statistics.

Appendix B: Statistical Tables.

Index.
“This volume provides a new, antiefficient markets approach to investment theory and management…a valuable reference…” (Zentralblatt Math, Vol.1050, 2005)

"...very readable and highly educational...a good choice for your next investment..." (Technometrics, Vol. 45, No. 3, August 2003)

"...examines investment strategies based on risk-neutral probabilities and offers an anti-efficient markets approach to investment theory and management." (AAII Journal, August 2003)