Stock Market Analysis Using the SAS System: Portfolio Selection and Evaluation
Contents
Chapter 1 Background Topics
- Introduction
- Single-Period Return Measure
- Multiple-Period Return Measures
- Calculating Expected Returns
- Risk Measures
- Learning More
- References
Chapter 2 Discounted Cash Flow (DCF) Analysis
- Introduction
- Fixed-Dollar Dividends
- Constant-Growth Dividends
- Multiperiod DCF Methodology
- Searching For Overpriced and Underpriced Stocks
- Chapter Summary
- Learning More
- References
Chapter 3 Sorting and Clustering Stocks
- Introduction
- Sorting Stocks by Financial Characteristics
- Clustering Stocks by Financial Characteristics
- Creating Tree Diagrams
- Learning More
- References
Chapter 4 The Capital Asset Pricing Model (CAPM)
- Introduction
- The CAPM in Risk Premium Form
- Applying the CAPM to Additional Stocks
- Using the CAPM Bs and the Security Market Line
- Chapter Summary
- Learning More
- References
Chapter 5 Portfolio Creation with Linear Programming
- Introduction
- Portfolio Creation Using Linear Programming
- Portfolio Creation Using Integer Programming
- Portfolio Creation with Short Sales Allowed Chapter Summary
- Learning More
- References
Chapter 6 The Markowitz Model, Portfolio Creation with Nonlinear Programming
- Introduction
- Portfolio Creation Using the DATA step and PROC CORR
- Portfolio Creation Using PROC NLP
- Chapter Summary
- Learning More
- References
Chapter 7 Evaluating Portfolios
- Introduction
- Comparing Expected and Actual Returns
- Evaluating Portfolio Performance Using CAPM Regressions
- Evaluating Portfolio Performance Using Total Risk
- Learning More
- References
Chapter 8 Valuing Stock Options
- Introduction
- Valuing Options Using the Binomial Method
- Valuing Options Using the Black-Scholes Method
- Learning More
- References
- Glossary
Index