Quantitative Methods for Investment Analysis
Professional Book Distributors, 2004 - Business & Economics - 721 pages
Designed for use in the CFA program or by investment professionals, this textbook provides a guide to applying quantitative analysis to the investment process. From the perspective of an investment generalist, it covers the knowledge, skills, and abilities needed to utilize quantitative methods. Chapters address the time value of money, discounted cash flow applications, market returns, statistical concepts, probability concepts, probability distributions, sampling and estimation, hypothesis testing, correlation and regression, time series analysis, and portfolio concepts. The authors are CFAs affiliated with universities or private companies. c. Book News Inc.
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Discounted Cash Flow Applications
PORTFOLIO RETURN MEASUREMENT
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0.05 significance level alternative hypothesis analyst arithmetic mean asset average bond calculate cash flows central limit theorem companies compute confidence interval continuously compounded covariance critical value default degrees of freedom discount earnings equal Equation equity estimate example expected value f-Statistic forecast formula future value geometric mean holding period return hypothesis testing independent variable Index inflation interest rate investment investors kurtosis level of significance linear regression measure median Monte Carlo simulation monthly returns mutual funds normal distribution null hypothesis number of observations outcomes parameter payment percent confidence interval population mean population variance portfolio return predicted present value random variable rate of return regression model reject the null rejection point risk sample mean sample standard deviation sample variance serial correlation Sharpe ratio skewness slope coefficient Solution squared standard error standard normal stock price T-bill Table test statistic tion yield z-test