Investments Volume 1: Portfolio Theory & Asset Pricing
- 8h 6m
- Edwin J. Elton, Martin J. Gruber
- The MIT Press
- 1999
Investments, a two-volume collection of articles in investment and portfolio management, spans the thirty-five-year collaboration 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 forewordby Nobel laureate Harry Markowitz.
This volume presents the author's ground-breaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlation; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and porfolio composition.
Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt market; and immunization and efficiency.
About the Authors
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.
In this Book
-
Estimating the Dependence Structure of Share Prices—Implications for Portfolio Selection
-
Are Betas Best?
-
A Multi-index Risk Model of the Japanese Stock Market
-
Do Investors Care About Sentiment?
-
Valuation and Asset Selection Under Alternative Investment Opportunities
-
Simple Criteria for Optimal Portfolio Selection
-
Simple Criteria for Optimal Portfolio Selection: Tracing out the Efficient Frontier
-
Simple Rules for Optimal Portfolio Selection: The Multi-Group Case
-
Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets
-
Portfolio Analysis with Partial Information: The Case of Grouped Data
-
On the Maximization of the Geometric Mean with Log-Normal Return Distribution
-
Portfolio Theory When Investment Relatives Are Log-Normally Distributed
-
Optimal Investment Strategies with Investor Liabilities
-
Portfolio Analysis with a Nonnormal Multi-index Return-Generating Process
-
Dynamic Programming Applications in Finance
-
On the Optimality of Some Multi-Period Portfolio Selection Criteria
-
The Multi-Period Consumption Investment Problem and Single Period Analysis
-
Non-Standard C.A.P.M.s and the Market Portfolio
-
The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation
-
On the Robustness of the Roll and Ross Arbitrage Pricing Theory
-
Marginal Stockholder Tax Rates and the Clientele Effect
-
The Ex-Dividend Day Behavior of Stock Prices; A Re-examination of the Clientele Effect: A Comment
-
A Simple Examination of the Empirical Relationship between Dividend Yields and Deviations from the CAPM
-
Taxes and Portfolio Composition
-
Modern Portfolio Theory, 1950 to Date
