Quantitative Investment Analysis Workbook

QUANTITATIVE INVESTMENT ANALYSIS, Second Edition......Page 6
CONTENTS......Page 10
HOW QUANTITATIVE INVESTMENT ANALYSIS CAN IMPROVE PORTFOLIO DECISION MAKING......Page 16
ACKNOWLEDGMENTS......Page 20
PARENTAGE......Page 22
BENEFITS......Page 23
CONVENTIONAL WISDOM......Page 24
THE TEXTS......Page 25
2. INTEREST RATES: INTERPRETATION......Page 30
3. THE FUTURE VALUE OF A SINGLE CASH FLOW......Page 32
4. THE FUTURE VALUE OF A SERIES OF CASH FLOWS......Page 42
5. THE PRESENT VALUE OF A SINGLE CASH FLOW......Page 44
6. THE PRESENT VALUE OF A SERIES OF CASH FLOWS......Page 48
7. SOLVING FOR RATES, NUMBER OF PERIODS, OR SIZE OF ANNUITY PAYMENTS......Page 56
2. NET PRESENT VALUE AND INTERNAL RATE OF RETURN......Page 68
3. PORTFOLIO RETURN MEASUREMENT......Page 76
4. MONEY MARKET YIELDS......Page 83
2. SOME FUNDAMENTAL CONCEPTS......Page 90
3. SUMMARIZING DATA USING FREQUENCY DISTRIBUTIONS......Page 94
4. THE GRAPHIC PRESENTATION OF DATA......Page 101
5. MEASURES OF CENTRAL TENDENCY......Page 105
6. OTHER MEASURES OF LOCATION: QUANTILES......Page 123
7. MEASURES OF DISPERSION......Page 129
8. SYMMETRY AND SKEWNESS IN RETURN DISTRIBUTIONS......Page 147
9. KURTOSIS IN RETURN DISTRIBUTIONS......Page 152
10. USING GEOMETRIC AND ARITHMETIC MEANS......Page 156
2. PROBABILITY, EXPECTED VALUE, AND VARIANCE......Page 158
3. PORTFOLIO EXPECTED RETURN AND VARIANCE OF RETURN......Page 181
4. TOPICS IN PROBABILITY......Page 190
2. DISCRETE RANDOM VARIABLES......Page 200
3. CONTINUOUS RANDOM VARIABLES......Page 214
4. MONTE CARLO SIMULATION......Page 235
2. SAMPLING......Page 244
3. DISTRIBUTION OF THE SAMPLE MEAN......Page 250
4. POINT AND INTERVAL ESTIMATES OF THE POPULATION MEAN......Page 254
5. MORE ON SAMPLING......Page 264
1. INTRODUCTION......Page 272
2. HYPOTHESIS TESTING......Page 273
3. HYPOTHESIS TESTS CONCERNING THE MEAN......Page 282
4. HYPOTHESIS TESTS CONCERNING VARIANCE......Page 298
5. OTHER ISSUES: NONPARAMETRIC INFERENCE......Page 304
2. CORRELATION ANALYSIS......Page 310
3. LINEAR REGRESSION......Page 329
2. MULTIPLE LINEAR REGRESSION......Page 354
3. USING DUMMY VARIABLES IN REGRESSIONS......Page 370
4. VIOLATIONS OF REGRESSION ASSUMPTIONS......Page 374
5. MODEL SPECIFICATION AND ERRORS IN SPECIFICATION......Page 388
6. MODELS WITH QUALITATIVE DEPENDENT VARIABLES......Page 401
2. CHALLENGES OF WORKING WITH TIME SERIES......Page 404
3. TREND MODELS......Page 406
4. AUTOREGRESSIVE ( AR) TIME-SERIES MODELS......Page 415
5. RANDOM WALKS AND UNIT ROOTS......Page 428
6. MOVING-AVERAGE TIME-SERIES MODELS......Page 436
7. SEASONALITY IN TIME-SERIES MODELS......Page 441
8. AUTOREGRESSIVE MOVING-AVERAGE MODELS......Page 445
9. AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY MODELS......Page 446
10. REGRESSIONS WITH MORE THAN ONE TIME SERIES......Page 449
11. OTHER ISSUES IN TIME SERIES......Page 453
12. SUGGESTED STEPS IN TIME-SERIES FORECASTING......Page 454
2. MEAN– VARIANCE ANALYSIS......Page 458
3. PRACTICAL ISSUES IN MEAN– VARIANCE ANALYSIS......Page 493
4. MULTIFACTOR MODELS......Page 502
APPENDICES......Page 540
REFERENCES......Page 550
GLOSSARY......Page 556
ABOUT THE CFA PROGRAM......Page 570
ABOUT THE AUTHORS......Page 572
Index......Page 574