William F Sharpe received the Nobel Prize in Economics in 1990 for his work on equilibrium pricing in capital markets. He was one of the originators of theCapital Asset Pricing Model, developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradientmethod for asset allocation optimization, and returns-based style analysis for evaluating the style and performance of investment funds. This book consistsof a collection of Dr Sharpe's work in these and other areas. INDICE: Portfolio Choice: The Diagonal Security Model; A Simplified Model for Portfolio Analysis; Mathematical Investment Portfolio Selection: Some Early Results; Portfolio Analysis; Mean-Absolute Deviation Characteristic Lines for Securities and Portfolios; Imputing Expected Returns From Portfolio Composition; An Algorithm for Portfolio Improvement; Asset Prices: A Positive Theory of Security Market Behavior; Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk; The Capital Asset Pricing Model: Traditional and 'Zero-Beta' Versions; The Parable of the Money Managers; The Capital Asset Pricing Model: A 'Multi-Beta' Interpretation; Valuation of a Call Option on a Stock with Simple Price Changes; Security Codings: Measuring Relative Attractiveness in Perfect and Imperfect Markets; Factor models, CAPMs, and the APT; Market Equilibrium with no Short Sales; The Arithmetic of Active Management; Capital Asset Prices with and without Negative Holdings; Nuclear Financial Economics; Asset Allocation: Bonds Versus Stocks: Some Lessons From Capital Market Theory; Likely Gains From Market Timing; Corporate Pension Funding Policy; Major Investment Styles; Decentralized Investment Management; Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans; Integrated Asset Allocation; Dynamic Strategies for Asset Allocation; Liabilities: A New Approach; Expected Utility Asset Allocation; Adaptive Asset Allocation Policies; Performance and Risk Analysis: Mutual Fund Performance; Adjusting for Risk in PortfolioPerformance Measurement; Asset allocation: Management Style and Performance Measurement; The Sharpe Ratio; Morningstar's Risk-Adjusted Ratings; Budgeting and Monitoring Pension Fund Risk; Empirical Analyses: Risk-Aversion in the Stock Market: Some Empirical Evidence; Risk-Return Classes of New York Stock Exchange Common Stocks, 1931–1967 (excerpt); Risk, Return and Yield: New York StockExchange Common Stocks, 1928–1969; Duration and Security Risk; Factors in NewYork Stock Exchange Security Returns, 1931–1979; Financial Implications of South African Divestment; Investor Wealth Measures and Expected Return; International Value and Growth Stock Returns; Lifetime Finance: Financial Planning in Fantasyland; Retirement Financial Planning: A State/Preference Approach; Financing Retirement: Saving, Investing, Spending and Insuring; Lockbox Separation;Efficient Retirement Financial Strategies; Choosing Outcomes Versus Choosing Products: Consumer-focused Retirement Investment Advice; The 4% Rule: At What Price?.
- ISBN: 978-981-4329-95-8
- Editorial: World Scientific
- Encuadernacion: Cartoné
- Páginas: 716
- Fecha Publicación: 01/04/2012
- Nº Volúmenes: 1
- Idioma: Inglés