Investments Vol. 1 : Portfolio Theory and Asset Pricing

by Edwin J. Elton and Martin J. Gruber

• ISBN13: 9780262050593
• ISBN10: 0262050595
• Format: Hardcover
• Copyright: 1999-08-20
• Publisher: Mit Pr

Summary

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

Author Biography

Edwin J. Elton and Martin J. Gruber are both Nomura Professors of Finance at the Leonard N. Stern School of Business, New York University, and former Presidents of the American Finance Association.

Table of Contents

Foreword	xi
Harry Markowitz
Preface	xxi
Sources	xxiii
I Expectations and Performance	1	(98)
Improved Forecasting through the Design of Homogeneous Groups	3	(28)
Journal of Business
Professional Expectations: Accuracy and Diagnosis of Errors	31	(16)
Mustafa Gultekin
Journal of Financial and Quantitative Analysis
Expectations and Share Prices	47	(20)
Mustafa Gultekin
Management Science
Expectational Data and Japanese Stock Prices	67	(12)
Japan and the World Economy
Discrete Expectational Data and Portfolio Performance	79	(20)
Seth Grossman
Journal of Finance
II The Performance of Managed Portfolios	99	(6)
Theoretical	105	(18)
Differential Information and Timing Ability	107	(16)
Journal of Banking and Finance
Empirical Commodities Partnerships	123	(60)
Professionally Managed, Publicly Traded Commodity Funds	125	(28)
Joel C. Rentzler
Journal of Business
New Public Offerings, Information, and Investor Rationality: The Case of Publicly Offered Commodity Funds	153	(16)
Joel Rentzler
Journal of Business
The Performance of Publicly Offered Commodity Funds	169	(14)
Joel Rentzler
Financial Analysts Journal
Mutual Funds---Stock Investments	183	(152)
Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios	185	(24)
Sanjiv Das
Matthew Hlavka
Review of Financial Studies
Survivorship Bias and Mutual Fund Performance	209	(26)
Christopher R. Blake
Review of Financial Studies
The Persistence of Risk-Adjusted Mutual Fund Performance	235	(28)
Christopher R. Blake
Journal of Business
Mutual Funds---Bond Investments
The Performance of Bond Mutual Funds	263	(40)
Christopher R. Blake
Journal of Business
Fundamental Economic Variables, Expected Returns, and Bond Fund Performance	303	(32)
Christopher R. Blake
Journal of Finance
III Debt Markets	335	(82)
Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market	337	(18)
Joel Rentzler
Review of Economics and Statistics
Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments	355	(12)
Joel C. Rentzler
Management Science
Bond Returns, Immunization and the Return Generating Process	367	(34)
Prafulla G. Nabar
Studies in Banking and Finance
The Structure of Spot Rates and Immunization	401	(16)
Roni Michaely
Journal of Finance
Index	417