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Title: Models for Investors in Real World Markets by James R. Thompson, Edward E. Williams, M. Chapman Findlay ISBN: 0-471-35628-X Publisher: Wiley-Interscience Pub. Date: 01 November, 2002 Format: Hardcover Volumes: 1 List Price(USD): $89.50 |
Average Customer Rating: 5 (1 review)
Rating: 5
Summary: Models for Investors in Real World Markets
Comment: When I looked at the cover of this book, I knew it was going to be contrarian. It shows volatility moving in the opposite direction to growth. Looking inside the book, I found the cover figure in Chapter 9 where it was described as volatility versus growth for 75 years of the Ibbotson Index starting in 1926. I looked at the Ibbotson table, and, indeed with the authors' eleven outlier years eliminated, the correlation is still negative (-.142). (With all 75 years included, I found the correlation to be (-.317).) At any rate, the Markowitzian notion of finding how large you can stand for volatility to be and then finding the portolio which maximizes growth is stood on its head.
The authors come up with an alternative to the Markowitz approach for portfolio selection based on something they call a simugram, which looks to be computer intensive.
Much of the book is spent on fundamental analysis, and indeed the authors do not seem favorably disposed to technical analysis. They dump on Black-Scholes and blame its use for the collapse of LTCM and Enron.
Some finance professionals will find much of this book annoying, since it attacks many standard concepts, such as the Efficient Market Hypothesis. And it seems to attack some of the basic tools in the finance tool kit, such as "risk neutral" evaluation.
One of the troubling things I found is that though the authors attack the canon of modern finance, they have only limited alternatives to recommend. They seem to recommend either doing deep fundamental analysis, using their complex simugram portfolio analysis, or putting one's money into an index fund. Most of us don't have the time to do the first or the software to do the second. To do the third really gives up on mathematical finance.
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Title: The Portable Financial Analyst: What Practioners Need to Know, 2nd Edition by Mark P. Kritzman ISBN: 0471267600 Publisher: John Wiley & Sons Pub. Date: 14 March, 2003 List Price(USD): $49.95 |
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Title: Asset Pricing by John H. Cochrane ISBN: 0691074984 Publisher: Princeton Univ Pr Pub. Date: 01 January, 2001 List Price(USD): $75.00 |
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Title: Time Series Models for Business and Economic Forecasting by Philip Hans Franses ISBN: 0521586410 Publisher: Cambridge University Press Pub. Date: 15 October, 1998 List Price(USD): $33.00 |
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Title: Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter, Andrew Rennie ISBN: 0521552893 Publisher: Cambridge University Press Pub. Date: 19 September, 1996 List Price(USD): $47.95 |
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Title: A Guide to Econometrics - 4th Edition by Peter Kennedy ISBN: 0262611406 Publisher: MIT Press Pub. Date: 08 May, 1998 List Price(USD): $32.95 |
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