Handbook of Quantitative Finance and Risk Management

Online-Ressource (XX, 1550p. 335 illus, digital)

Includes bibliographical references and indexes

Handbook of QuantitativeFinance and RiskManagement; Preface; About the Editors; Contents; List of Contributors; Part I Overview of Quantitative Finance and Risk Management Research; 1 Theoretical Framework of Finance; 1.1 Introduction; 1.2 Discounted Cash-Flow Valuation Theory; 1.2.1 Bond Valuation; 1.2.1.1 Perpetuity; 1.2.1.2 Term Bonds; 1.2.2 Common-Stock Valuation; 1.3 M and M Valuation Theory; 1.3.1 Review and Extension of M and M Proposition I; 1.3.2 Miller's Proposition on Debt and Taxes; 1.4 Markowitz Portfolio Theory; 1.5 Capital Asset Pricing Model; 1.6 Arbitrage Pricing Theory

1.6.1 Ross's Arbitrage Model Specification1.7 Option Valuation; 1.8 Futures Valuation and Hedging; 1.8.1 Futures Markets: Overview; 1.8.2 The Valuation of Futures Contracts; 1.8.2.1 The Arbitrage Argument; 1.8.2.2 Interest Costs; 1.8.2.3 Carrying Costs; 1.8.2.4 Supply and Demand Effects; 1.8.2.5 The Effect of Hedging Demand; 1.8.3 Hedging Concepts and Strategies; 1.8.3.1 Hedging Risks and Costs; 1.8.3.2 The Johnson Minimum-Variance Hedge Strategy; 1.8.3.3 The Howard-D'Antonio Optimal Risk-Return Hedge Strategy; 1.9 Conclusion; References

2 Investment, Dividend, Financing, and Production Policies: Theoryand Implications2.1 Introduction; 2.2 Investment and Dividend Interactions: The Internal Versus External Financing Decision; 2.3 Interactions Between Dividend and Financing Policies; 2.4 Interactions Between Financing and Investment Decisions; 2.4.1 Risk-Free Debt Case; 2.5 Implications of Financing and Investment Interactionsfor Capital Budgeting; 2.5.1 Arditti and Levy Method; 2.5.2 Myers Adjusted-Present-Value Method; 2.6 Implications of Different Policies on the Beta Coefficient; 2.7 Conclusion; References

Appendix 2A Stochastic Dominance and its Applications to Capital-Structure Analysis with Default Risk2A.1 Introduction; 2A.2 Concepts and Theorems of Stochastic Dominance; 2A.3 Stochastic-Dominance Approach to Investigating the Capital-Structure Problem with Default Risk; 2A.4 Summary; 3 Research Methods in Quantitative Finance and Risk Management; 3.1 Introduction; 3.2 Statistics; 3.3 Econometrics; 3.4 Mathematics; 3.5 Other Disciplines; 3.6 Conclusion; References; Part II Portfolio Theory and Investment Analysis; 4 Foundation of Portfolio Theory; 4.1 Introduction

4.2 Risk Classification and Measurement4.2.1 Call Risk; 4.2.2 Convertible Risk; 4.2.3 Default Risk; 4.2.4 Interest-Rate Risk; 4.2.5 Management Risk; 4.2.6 Marketability (Liquidity) Risk; 4.2.7 Political Risk; 4.2.8 Purchasing-Power Risk; 4.2.9 Systematic and Unsystematic Risk; 4.3 Portfolio Analysis and Application; 4.3.1 Expected Return on a Portfolio; 4.3.2 Variance and Standard Deviation of a Portfolio; 4.3.3 The Two-Asset Case; 4.4 The Efficient Portfolio and Risk Diversification; 4.4.1 The Efficient Portfolio; 4.4.2 Corporate Application of Diversification; 4.4.3 The Dominance Principle

4.4.4 Three Performance Measures

10.1007/978-0-387-77117-5 [DOI]

ECONIS - Online Catalogue of the ZBW