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Modern Investment Theory, 5/E
Robert A. Haugen, University of California, Irvine

ISBN-10: 0130191701
ISBN-13: 9780130191700

Publisher: Prentice Hall
Copyright: 2001
Format: Cloth; 656 pp
Published: 06/08/2000

Suggested retail price: $184.00
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Intended for the introductory graduate or intermediate undergraduate courses in Investments and Finance Theory.

This text offers accurate and intuitive coverage of investments, with an emphasis on portfolio theory. It includes extensive discussion of capital asset pricing, arbitrage pricing, pricing of derivative securities, interest rates, and bond management. Stock valuation, estimating future earnings and dividends, and fixed income markets are examined. Calculus is useful, but not required, since it is used only in the appendixes to the main discussions in the chapters.

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    • Customized directly to match the problems in the text, this new windows-based software enables students to easily and immediately see the effects of changing assumptions on investment decisions. Ex.___

  • NEW - Chapter on performance measurement tools.

    • Shows students how to measure performance without need for asset pricing model assumptions on these models. Ex.___

  • NEW - Unique—Complete and detailed coverage of portfolio theory (Chs. 4, 5, 10)—including a unique graphical explanation of the Markowitz procedure and asset allocation problems backed by in-text computer problems that are fully integrated into the text.

    • Reflects current industry trends of using computer models to forecast assumptions based on these models. Ex.___

  • NEW - Two new Mini case studies, “Out-on-the-Street” scenarios have been added.

    • Enables students to apply techniques to real-world situations. Ex.___

  • NEW - Expanded glossary.

    • Offers students access to key terms.

  • NEW - More end of chapter computer-based problems.

    • Reinforces material and enables students to use Pmanager software. Ex.___

  • Unique—Complete and detailed coverage of portfolio theory (4, 5, 10)—Including a unique graphical explanation of the Markowitz procedure and asset allocation backed up by in-text computer problems that are fully integrated into the text.

    • Reflects current industry trends of using computer models to forecast assumptions based on these models. Ex.___

  • Unique—Issues related to capital asset pricing are covered in great detail.

    • Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) model coverage explains how to use these models, exposing their weaknesses and strengths.

    • Students will better know which models to consider when making investment decisions. Ex.___

  • Unique—Four chapters on interest rates and bond management.

    • Students are better prepared for today's environment volatility of interest rates of which has increased both the complexity and excitement of bond portfolio management. Ex.___

  • Options and forward and futures contracts receive extensive coverage.

    • Exposes students to current contracts that are becoming very popular to use in investments. Ex.___

  • Extensive use of graphics.

  • Version of Pmanager software available FREE on the Internet.

    • Customized directly to match the problems in the text, this new windows-based software enables students to easily and immediately see the effects of changing assumptions on investment decisions. Ex.___

  • Chapter on performance measurement tools.

    • Shows students how to measure performance without need for asset pricing model assumptions on these models. Ex.___

  • Unique—Complete and detailed coverage of portfolio theory (Chs. 4, 5, 10)—including a unique graphical explanation of the Markowitz procedure and asset allocation problems backed by in-text computer problems that are fully integrated into the text.

    • Reflects current industry trends of using computer models to forecast assumptions based on these models. Ex.___

  • Two new Mini case studies, “Out-on-the-Street” scenarios have been added.

    • Enables students to apply techniques to real-world situations. Ex.___

  • Expanded glossary.

    • Offers students access to key terms.

  • More end of chapter computer-based problems.

    • Reinforces material and enables students to use Pmanager software. Ex.___

I. BACKGROUND.

 1. Introduction to Modern Investment Theory.

 2. Securities and Markets.

 3. Some Statistical Concepts.

 4. Combining Individual Securities into Portfolios.

II. PORTFOLIO MANAGEMENT.

 5. Finding the Efficient Set.

 6. Factor Models.

 7. Asset Allocation.

III. ASSET PRICING THEORIES AND PERFORMANCE MEASUREMENT.

 8. The Capital Asset Pricing Model.

 9. Empirical Tests of the Asset Pricing Model.

10. The Arbitrage Pricing Theory.

11. Measuring Portfolio Performance with Asset Pricing Models.

12. Measuring Performance without Asset Pricing Models.

IV. INTEREST RATES AND BOND MANAGEMENT.

13. The Level of Interest Rates.

14. The Term Structure of Interest Rates.

15. Bond Portfolio Management.

16. Interest Immunization.

V. DERIVATIVE SECURITIES.

17. European Option Pricing.

18. American Option Pricing.

19. Additional Issues in Option Pricing.

20. Financial Forward and Futures Contracts.

VI. TAXES, STOCK VALUATION, AND MARKET EFFICIENCY.

21. The Effect of Taxes on Investment Strategy and Securities Prices.

22. Stock Valuation.

23. Issues in Estimating Future Earnings and Dividends.

24. Market Efficiency: The Concept.

25. Market Efficiency: The Evidence.

Customized directly to match the problems in the text, this new windows-based software enables students to easily and immediately see the effects of changing assumptions on the structure of asset allocation, expected returns to industries and asset classes, performance evaluation and many other investment decisions.

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