Modern Portfolio Theory and Investment Analysis

MARTIN J. GRUBER is Nomura Professor of Finance and past Chairman of the Finance Department at the Stern School of Business of New York University. He is a fellow of the American Finance Association. He has published nine books and more than 100 journal articles in journals such as The Journal of Finance, The Review of Financial Studies, Review of Economics and Statistics, Journal of Financial Economics, Journal of Business, Management Science, Journal of Financial and Quantitative Analysis, Operations Research, Oxford Economic Papers, and The Journal of Portfolio Management. He has been coeditor of the Journal of Finance. He has been President of the American Finance Association, a Director of the European Finance Association, a Director of the American Finance Association, and a Director of both the Computer Applications Committee and the Investment Technology Symposium of the New York Society of Security Analysts. He was formerly Finance Department Editor for Management Science. Professor Gruber has consulted in the areas of Investment Analysis and Portfolio Management with many major financial institutions. He is currently a director of DWS Mutual Funds, and a Director of the Diawa closed-end funds. He is formerly a director of TIAA, a director and chairman of CREF, and a director of the S. G. Cowen Mutual Funds.

STEPHEN J. BROWN is David S. Loeb Professor of Finance and Coordinator of Undergraduate Finance at the Leonard N. Stern School of Business, New York University. He has served on the Board of Directors of the American Finance Association, was   founding editor of The Review of Financial Studies and is currently a member of the Board of the Society of Quantitative Analysis. He is a Managing Editor of the Journal of Financial and Quantitative Analysis and has served on the editorial boards of The Journal of Finance, Pacific-Basin Finance Journal, and other journals. He has published numerous articles and four books on finance and economics related areas. In 1996 he served on the nominating committee for the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel. He has served as an expert witness for the U.S. Department of Justice.

WILLIAM N. GOETZMANN is Edwin J. Beinecke Professor of Finance and Management Studies at the Yale School of Management and Director, International Center for Finance at the Yale School of Management and has served on the Board of Directors of the American Finance Association. His published research topics include global investing, forecasting stock markets, selecting mutual fund managers, housing as investment, and the risk and return of art. Professor Goetzmann has a background in arts and media management. As a documentary filmmaker, he has written and coproduced programs for Nova and the American Masters series, including a profile of the artist Thomas Eakins. A former director of Denver’s Museum of Western Art, Professor Goetzmann coauthored the award winning book, The West of the Imagination.

Chapter 1: Introduction

Chapter 2: Financial Securities

Chapter 3: Financial Markets

Chapter 4: The Characteristics of the Opportunity Set Under Risk

Chapter 5: Delineating Efficient Portfolios

Chapter 6: Techniques for Calculating the Efficient Frontier

Chapter 7: The Correlation Structure of Security Returns: The Single-Index Model

Chapter 8: The Correlation Structure of Security Returns: Multi-Index Models and Grouping Techniques

Chapter 9: Simple Techniques for Determining the Efficient Frontier

Chapter 10: Estimating Expected Returns

Chapter 11: How to Select Among the Portfolios in the Opportunity Set

Chapter 12: International Diversification

Chapter 13: The Standard Capital Asset Pricing Model

Chapter 14: Nonstandard Forms of Capital Asset Pricing Models

Chapter 15: Empirical Tests of Equilibrium Models

Chapter 16: The Arbitrage Pricing Model APT – A Multifactor Approach to Explaining Asset Prices

Chapter 17: Efficient Markets

Chapter 18: The Valuation Process

Chapter 19: Earnings Estimation

Chapter 20: Behavioral Finance, Investor Decision Making, and Asset Prices

Chapter 21: Interest Rate Theory and the Pricing of Bonds

Chapter 22: The Management of Bond Portfolios

Chapter 23: Option Pricing Theory

Chapter 24: The Valuation and Uses of Financial Futures

Chapter 25: Mutual Funds

Chapter 26: Evaluation of Portfolio Performance

Chapter 27: Evaluation of Security Analysis

Chapter 28: Portfolio Management Revisited

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