Applied fundamentals in finance : portfolio management and investments / / Enzo Mondello

• Autore: Mondello Enzo <1968->
• Pubblicazione: Wiesbaden, Germany : , : Springer, , [2023]; ©2023
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (593 pages)
• Disciplina: 354.81150006
• Soggetto topico: Investments; Portfolio management
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Intro -- Preface -- About this Book -- Contents -- About the Author -- List of Abbreviations -- Part I: Portfolio Management -- 1: Return -- 1.1 Introduction -- 1.2 Simple (Discrete) Investment Return -- 1.3 Continuous Compounded Investment Return -- 1.4 Investment Return Over Several Periods -- 1.5 Arithmetic Mean Return -- 1.6 Geometric Mean Return -- 1.7 Money-Weighted Return -- Example: Calculation of the Money-Weighted Return for the Stock of Zalando -- 1.8 Real Rate of Return -- Example: Calculation of the Real Return After Taxes -- 1.9 Expected Return -- 1.10 Summary -- 1.11 Problems -- 1.12 Solutions -- Microsoft Excel Applications -- 2: Risk -- 2.1 Introduction -- 2.2 Variance and Standard Deviation -- Example: Calculation of the Volatility of the Mercedes-Benz Group Stock Based on Monthly Returns for 2016 -- 2.3 Average Return and Standard Deviation -- 2.4 Downside Risk -- Example: Calculation of the Semi-Standard Deviation of the Mercedes-Benz Group Stock Using Monthly Returns for 2016 -- 2.5 Value at Risk -- Example: Calculation of VAR -- 2.6 Summary -- 2.7 Problems -- 2.8 Solutions -- Appendix: Standard Normal Distribution Table -- Cumulative Probabilities for a Standard Normal Distribution -- Cumulative Probabilities for a Standard Normal Distribution -- Microsoft Excel Applications -- 3: Other Investment Characteristics -- 3.1 Introduction -- 3.2 Properties of a Distribution -- 3.2.1 Normal Distribution -- 3.2.2 Skewness -- 3.2.3 Kurtosis -- Example: Calculation of the Expected Return, Standard Deviation, Skewness, and Excess Kurtosis of a Return Distribution -- 3.2.4 Lognormal Distribution -- 3.3 Market Characteristics -- 3.3.1 Information Efficiency of Financial Markets -- 3.3.2 The Random Walk -- Example: Calculation of the Standard Deviation Over Several Time Periods with Different Autocorrelation. ; 3.3.3 Behavioural Finance and Market Efficiency -- 3.3.4 Market Liquidity and Trading Costs -- Example: Bid-Ask Spread -- 3.4 Summary -- 3.5 Problems -- 3.6 Solutions -- Microsoft Excel Applications -- References -- 4: Efficient Risky Portfolios -- 4.1 Introduction -- 4.2 Expected Return and Risk of a Two-Asset Portfolio -- Example: Calculation of Expected Return and Risk of an Asset Using Prospective Scenario Analysis -- Example: Calculation of Covariance with Prospective Scenario Analysis -- Example: Expected Return of a Two-Asset Portfolio with a Risk of Zero -- 4.3 The Efficient Frontier -- 4.4 Expected Return and Risk of a Portfolio Consisting of Many Risky Assets -- 4.5 Diversification Effect -- Example: Diversification Effect -- 4.6 Summary -- 4.7 Problems -- 4.8 Solutions -- Microsoft Excel Applications -- References -- 5: Optimal Portfolio -- 5.1 Introduction -- 5.2 Risk Aversion -- 5.2.1 Concept of Risk Aversion -- 5.2.2 Utility Theory and Indifference Curves -- Example: Calculation of Utility -- Example: Calculation of the Utility for Different Investments -- 5.3 The Optimal Risky Portfolio -- 5.4 The Risk-Free Investment: Capital Allocation Line Model -- Example: Tangent Portfolio with Two Risky Assets -- Example: Expected Return and Risk of a Portfolio on the Most Efficient Capital Allocation Line -- Example: Calculation of Capital Allocation -- Example: Adding an Asset Class to an Existing Portfolio -- 5.5 Homogeneous Expectations: Capital Market Line Model -- Example: Calculation of Capital Allocation, Expected Return, and Risk in the Capital Market Line Model -- 5.6 Summary -- 5.7 Problems -- 5.8 Solutions -- Microsoft Excel Applications -- References -- 6: Capital Asset Pricing Model and Fama-French Model -- 6.1 Introduction -- 6.2 Capital Asset Pricing Model -- 6.2.1 Basics of the Model. ; 6.2.2 Calculation and Interpretation of the Beta -- Example: Calculation of Beta -- 6.2.3 The Security Market Line -- Example: Calculation of Expected Return with the CAPM -- Example: Expected Return and Beta of a Portfolio -- 6.2.4 Equilibrium Model -- Example: Determining Overvalued and Undervalued Equity Securities with the CAPM -- 6.2.5 Applications of the CAPM in Corporate Finance -- Example: Calculation of the Cost of Equity for Mercedes-Benz Group -- Example: Calculation of the Weighted Average Cost of Capital for Mercedes-Benz Group -- 6.3 Fama-French Model -- 6.3.1 The Risk Premiums for Size and Value -- 6.3.2 Expected Rate of Return -- Example: Expected Return Based on the CAPM and the FFM Using the Stock of Adidas AG -- 6.4 Summary -- 6.5 Problems -- 6.6 Solutions -- Microsoft Excel Applications -- References -- Online Sources -- 7: Portfolio Management Process -- 7.1 Introduction -- 7.2 Planning -- 7.2.1 Investment Objectives and Constraints -- 7.2.1.1 Risk Objectives -- Example: Determining Risk Tolerance -- 7.2.1.2 Return Objectives -- 7.2.1.3 Constraints -- Example: Investment Policy Statement -- 7.2.2 Investment Policy Statement -- 7.2.3 Capital Market Expectations -- 7.2.4 Strategic Asset Allocation -- 7.3 Execution -- 7.4 Feedback -- 7.4.1 Monitoring the Investment Policy Statement -- 7.4.2 Monitoring Capital Market Expectations -- 7.4.3 Rebalancing the Portfolio -- 7.4.4 Performance Evaluation -- Example: Sharpe Ratio and Information Ratio -- 7.5 Performance Attribution of an Active Portfolio -- Example: Performance Attribution -- 7.6 Summary -- 7.7 Problems -- 7.8 Solutions -- References -- Part II: Equity Securities -- 8: Dividend Discount Model -- 8.1 Introduction -- 8.2 Fundamentals of Equity Valuation -- Example: Calculation of the Intrinsic Share Value in the Event of a Company Liquidation in Four Years -- 8.3 Growth Rate. ; Example: Calculation of the Fundamental Growth Rate for the Stock of Mercedes-Benz Group AG -- 8.4 One-Stage Dividend Discount Model -- Example: Valuation of the Linde Stock with the One-Stage Dividend Discount Model -- 8.5 Two-Stage Dividend Discount Model -- Example: Valuation of the Mercedes-Benz Group Stock with the Two-Stage Dividend Discount Model -- 8.6 Summary -- 8.7 Problems -- 8.8 Solutions -- References -- 9: Free Cash Flow Models -- 9.1 Introduction -- 9.2 Free Cash Flow to Equity Model -- 9.2.1 Overview -- 9.2.2 Definition and Calculation of the FCFE -- 9.2.3 Growth Rate of the FCFE -- Example: Calculation of the Fundamental Free Cash Flow to Equity Growth Rate -- 9.2.4 One-Stage FCFE Model -- Example: Calculation of the Intrinsic Share Value Using the One-Stage FCFE Model -- 9.2.5 Two-Stage FCFE Model -- Example: Valuation of the Mercedes-Benz Group Stock with the Two-Stage FCFE Model -- 9.3 Free Cash Flow to Firm Model -- 9.3.1 Definition and Calculation of Free Cash Flow to Firm -- 9.3.2 Growth Rate of the FCFF -- 9.3.3 One-Stage FCFF Model -- Example: Calculation of the Intrinsic Share Value With the One-Stage FCFF Model -- 9.3.4 Comparison Between FCFE and FCFF Models -- 9.4 Adjusted Present Value Model -- Example: Calculation of Enterprise Value Using the APV Model for a Debt-Financed Acquisition -- 9.5 Summary -- 9.6 Problems -- 9.7 Solutions -- References -- 10: Multiples -- 10.1 Introduction -- 10.2 Price-to-Earnings Ratio -- 10.2.1 Definition -- Example: Comparables Method -- 10.2.2 P/E Ratio Based on Forecast Fundamentals -- Example: Calculation of the Justified Trailing P/E Ratio and of the Intrinsic Share Value Using the Deutsche Telekom Stock -- 10.2.3 P/E Ratio Based on Comparable Companies -- Example: Relative Valuation Analysis of the Mercedes-Benz Group Stock Based on the Comparables Method Using the Price-to-Earni. ; 10.3 Price/Earnings-to-Growth Ratio -- Example: Relative Valuation Analysis of the Mercedes-Benz Group Stock Based on the Comparables Method Using the Price/Earnings... -- Example: Calculation of the Justified Price/Earnings-to-Growth Ratio Using the Deutsche Telekom AG Stock -- 10.4 Price-to-Book Ratio -- 10.4.1 Definition -- 10.4.2 P/B Ratio Based on Forecast Fundamentals -- Example: Calculation of the Justified Price-to-Book Ratio Using the Deutsche Telekom AG Stock -- 10.4.3 P/B Ratio Based on Comparable Companies -- Example: Relative Valuation Analysis of the Mercedes-Benz Group Stock Based on the Comparables Method Using the Price-to-Book ... -- 10.5 Enterprise Value EBITDA Ratio -- Example: Calculation of the Enterprise Value EBITDA Ratio -- 10.6 Summary -- 10.7 Problems -- 10.8 Solutions -- References -- Online Sources -- Part III: Bonds -- 11: Bond Price and Yield -- 11.1 Introduction -- 11.2 Basic Features of a Bond -- 11.3 Different Types of Bonds -- 11.4 Pricing of Fixed-Rate Bonds -- 11.4.1 Pricing Fixed-Rate Bonds with a Fixed Risk-Adjusted Discount Rate -- Example: Pricing of the Mercedes-Benz Group AG 2% 2019/2031 Bond on a Coupon Date -- Example: Pricing of the Mercedes-Benz Group AG 2% 2019/2031 Bond between Two Coupon Dates -- 11.4.2 Pricing Fixed-Rate Bonds with Risk-Adjusted Discount Rates That Correspond to the Timing of the Cash Flows -- Example: Pricing of the Mercedes-Benz Group AG 2% 2019/2031 Bond between Two Coupon Dates with Risk-Adjusted Discount Rates th... -- 11.4.3 Pricing of Zero-Coupon Bonds -- Example: Pricing of the Mercedes-Benz Group AG 0% 2019/2024 Bond -- 11.5 Pricing of Floating-Rate Notes -- Example: Pricing of the Mercedes-Benz Group AG 2016/2019 Floating-Rate Note -- 11.6 Yield Measures for Fixed-Rate Bonds. ; Example: Calculation of the Current Yield, the Yield to Maturity, and the Total Return of the Mercedes-Benz Group AG 2% 2019/2.
• Titolo autorizzato: Applied Fundamentals in Finance
• ISBN: 3-658-41021-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910734871003321
• Lo trovi qui: Univ. Federico II
• Serie: Springer Texts in Business and Economics Series