Investments

Investments

Vol. 2, Securities Prices and Performance

eBook - 1999
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MIT Press

This collection of articles in investment and portfolio management spans thethirty-five-year collaborative effort of two key figures in finance. Each of the nine sectionsbegins with an overview that introduces the main contributions of the pieces and traces thedevelopment of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz.Volume Ipresents the authors' groundbreaking work on estimating the inputs to portfolio optimization,including the analysis of alternative structures such as single and multi-index models inforecasting correlations; portfolio maximization under alternative specifications for returnstructures; the impact of CAPM and APT in the investment process; and taxes and portfoliocomposition.Volume II covers the authors' work on analysts' expectations; performance evaluation ofmanaged portfolios, including commodity, stock, and bond portfolios; survivorship bias andperformance persistence; debt markets; and immunization and efficiency.



Publisher: Cambridge, Mass. : MIT Press, c1999
Edition: 2nd ed
ISBN: 9780585120614
0585120617
0262050609
Characteristics: 1 online resource (427 p.) : ill
Additional Contributors: Gruber, Martin Jay 1937-

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