Excel Modeling in Investments

For courses in corporate finance or financial management at the undergraduate and graduate level.

Excel Modeling in Investments, Fifth Edition approaches building and estimating models with Microsoft® Excel®. Students are shown the steps involved in building models, rather than already-completed spreadsheets.

Contenu

Preface vii

Fifth Edition Changes vii

Ready-To-Build Spreadsheets vii

What Is Unique About This Book xi

Conventions Used In This Book xii

Craig’s Challenge xiv

Excel® Modeling Books xiv

Suggestions for Faculty Members xiv

Acknowledgements xv

About The Author xvi

PART 1 BONDS / FIXED INCOME SECURITIES 1

Chapter 1 Bond Pricing 1

1.1 Annual Payments 1

1.2 EAR, APR, and Foreign Currencies 2

1.3 Duration and Convexity 7

1.4 Price Sensitivity 9

1.5 Immunization 11

1.6 System of Five Bond Variables 17

Problems 18

Chapter 2 The Yield Curve 21

2.1 Obtaining It From Treasury Bills and Strips 21

2.2 Using It To Price A Coupon Bond 22

2.3 Using It To Determine Forward Rates 23

Problems 24

Chapter 3 Affine Yield Curve Models 25

3.1 US Yield Curve Dynamics 25

3.2 The Vasicek Model 30

3.3 The Cox-Ingersoll-Ross Model 32

Problems 34

PART 2 PORTFOLIO MANAGEMENT 35

Chapter 4 Portfolio Optimization 35

4.1 Two Risky Assets and a Riskfree Asset 35

4.2 Descriptive Statistics 38

4.3 Many Risky Assets and a Riskfree Asset 42

4.4 Any Number of Risky Assets 52

Problems 57

Chapter 5 Constrained Portfolio Optimization 58

5.1 No Short Sales, No Borrowing, and Other Constraints 58

5.2 Any Number of Risky Assets 68

Problems 77

Chapter 6 Portfolio Performance 78

6.1 Evaluation Measures 78

Problems 80

Chapter 7 Portfolio Diversification Lowers Risk 81

7.1 Basics 81

7.2 International 82

Problems 84

PART 3 SECURITY ANALYSIS 85

Chapter 8 Stock Valuation 85

8.1 Dividend Discount Mode