Modern Portfolio Theory and Investment Analysis, 9th Edition

Index

Accounting methods, earnings and, 482, 484

Accrued interest, 549–550

Active bond functions, measuring performance of, 682

Active bond management, 570–572

Active bond selection using modern portfolio theory, 572–578

Active ETFs, 658

Active management, 718–719

Active short-term bond management, 283

Active strategies, 722–723

Actively managed mutual funds, performance of, 682

Active-passive approach, 390–392

Agarwal, Vikas, 687, 687n21

Aggregate asset allocation, 206–211

Aggregate interest rate forecasting, 570–571

Aggregate performance, of all mutual funds, 663

Agrawal, A., 437

Aharony, Joseph, 437

Akerlof, George A., 503

Albin, Peter, 434

Algorithmic processes, 33

Alpha estimation, 137, 213–214, 677–678, 681–682, 684–685, 709–710

Alpha funds, 642

Alternative security types, return characteristics of, 19–20

American calls, 592, 598

American Stock Exchange index (AMEX), 22

Amihud, Yakov, 429

Analysts forecasts, 494–495

Anchoring and adjustment, 502

Ang, Andrew, 211, 279, 279n19, 280n20, 378n13, 392–395, 414nn5–6, 416n6, 431, 431n26

Announcement of share price, effects of, 431–432

Arbitrage pricing theory (APT), 330, 364–407

attributes of securities, specifying, 373–374

and CAPM, 381–382

characteristics, 369

credit risk factor, 392

description, 364–369

equity risk premium, 396

estimating, 369–380

factors and characteristics, simultaneous determination of, 371–372

foreign exchange [FX] carry, 393

GDP factor, 395

inflation factor, 395

liquidity factor, 394–395

momentum factor, ...