An Introduction to Investment Theory by William N.Goetzmann

An Introduction to Investment Theory by William N.Goetzmann
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An Introduction to Investment Theory by William N.Goetzmann

An Introduction to Investment Theory by William N.Goetzmann

An Introduction to Investment Theory by William N.Goetzmann

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This hyper-text book introduces the foundations of investment decision-making. Beginning with portfolio theory and the tradeoff between risk and return, it shows how the definition of investor risk depends crucially upon diversification. It explains modern asset pricing models currently used to determine the expected rate of return on investments and finally it presents evidence about what information can be used for strategic investment advantage. The book is designed for use in a four-week teaching module for master’s students studying introductory Finance. It assumes some knowledge of statistics and a familiarity with the concepts of net present value. Please feel free to link to this text, but do not download or reproduce the material without my permission, since it is copyrighted.

Chapter I Capital Markets: Investment Performance
Chapter II Basics of Return and Risk: Efficient Frontier
Chapter III Preferences and Investor Choice
Chapter IV CAPM: The Portfolio Approach to Risk
Chapter V Understanding Security Market Line
Chapter VI Arbitrage Pricing Theory
Chapter VII Betas, Leverage, Discount Rate
Chapter VIII Information & Efficiency of Capital Markets
SUMMARY Short Summary of Chapters For Study

Acknowledgements
I wish to thank the students in my 1996 Financial Management class for working with the notes to this book in the development phase, Ken Gray for his invaluable programming assistance and Zika Abzuk for system adminstration. I wish to thank my colleagues N. Prabhala, Geert Rouwenhorst and Campbell Harvey for their useful suggestions. I wish to thank Ibbotson Associates for the use of their Encorr software in the preparation of figures for this text. All errors are the sole responsibility of the author.

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About Author

William N. Goetzmann

William N. Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies and Faculty Director of the International Center for Finance at the Yale School of Management. He is an expert on a diverse range of investments. His past work includes studies of stock market predictability, hedge funds and survival biases in performance measurement. His current research focuses on alternative investing, factor investing, behavioral finance and the art market.

Professor Goetzmann has written and co-authored a number of books, including Modern Portfolio Theory and Investment Analysis (Wiley, 2014), The Origins of Value: The Financial Innovations that Created Modern Capital Markets (Oxford, 2005), The Great Mirror of Folly: Finance, Culture and the Crash of 1720 (Yale, 2013) and most recently, Money Changes Everything: How Finance Made Civilization Possible (Princeton, 2016). He teaches portfolio management, alternative investments, real estate and financial history at the Yale School of Management.

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