Macro-Investment Analysis

Contents

Before starting, you may wish to read an Overview of the work.

In the table of contents, any entry shown as a link is available. The other material is presently planned but unavailable.

Contents

Introduction

• Investment Approaches
• Financial Economics
• Models and Paradigms
  

Matrices and Programming

• Matrices
• Matrix Operations
• MATLAB
• Excel
• Asset Allocation with Investment Funds

Prices

• Time-state Claims
• Valuation
• Multiple Commodities, States and Times
• Interest Rates and Bond Yields
• Forward Prices

Probabilities

• Production, Consumption and Market Clearing
• Risk Premia
• Consumption and Investment Choices

 

Risk and Return

• Mean, Variance and Distributions
• Portfolio Choice
• Multi-period Returns
• Portfolio Characteristics
• Two-asset Portfolios

Optimization

• The Gradient Method
• Optimal Portfolios without Bounds on Holdings
• The Critical Line Method

 

Factor Models

• factor models -- copies of overheads

 

Style Analysis

• Not yet available

 

Equilibrium

• Equilibrium -- preliminary

 

Performance Measurement

• Not yet available

 

International Investment

• Not yet available

 

Dynamic Strategies

• Not yet available

 

Monte Carlo Simulation

• Not yet available

 

Retirement Planning

• Not yet available

 

Prof. William F. Sharpe, Stanford University
This version April 11, 1998
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