The Portable Financial Analyst: What Practitioners Need to Know, 2nd Edition

by Mark P. Kritzman ( ; )

• ISBN13: 9780471473435
• ISBN10: 047147343X
• Edition: 2nd
• Format: eBook
• Copyright: 2004-04-01
• Publisher: WILEY

Summary

Financial professionals are faced with increasingly technical topics that are theoretically complicated but practically necessary in determining the trade-off between risk and return. The Portable Financial Analyst, Second Edition is a unique collection of essays that address the heart of every analyst's and investor's dilemma: how to make decisions in the face of unknown forces and how to assert some control over the outcome

Author Biography

Mark P. Kritzman is Managing Partner of Windham Capital Management Boston, a Senior Partner of State Street Associates, and Research Director of the AIMR Research Foundation

Table of Contents

Foreword: Time and Magic: What This Book Is About	p. vii
Preface	p. xi
The Nobel Prize	p. 1
Uncertainty	p. 7
Utility	p. 17
Lognormality	p. 27
Return and Risk	p. 33
Higher Moments	p. 41
Duration and Convexity	p. 49
The Term Structure of Interest Rates	p. 57
Serial Dependence	p. 66
Time Diversification	p. 75
Regressions	p. 85
Factor Methods	p. 94
Estimating Volatility	p. 102
Estimating Volatility: Part II	p. 110
Hypothesis Testing	p. 114
Future Value and the Risk of Loss	p. 123
Event Studies	p. 132
Simulation	p. 139
Value at Risk	p. 148
Optimization	p. 158
Risk Budgets	p. 173
Hedging	p. 182
Option Valuation and Replication	p. 192
Commodity Futures Contracts	p. 201
Currencies	p. 210
Glossary	p. 221
Notes	p. 241
Index	p. 253
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