Investments, tenth edition

    ALAN  J.      MARCUS   

 Boston College  

 Alan Marcus is the Mario J. 

Gabelli Professor of Finance 

in the Carroll School of 

Management at Boston 

College. He received his PhD 

in economics from MIT. 

Professor Marcus has been 

a visiting professor at the 

Athens Laboratory of 

Business Administration and 

at MIT’s Sloan School of 

Management and has served 

as a research associate at the 

National Bureau of Economic 

Research. Professor Marcus 

has published widely in the 

fields of capital markets and 

portfolio management. His 

consulting work has ranged 

from new-product develop-

ment to provision of expert 

testimony in utility rate 

proceedings. He also spent 

2 years at the Federal Home 

Loan Mortgage Corporation 

(Freddie Mac), where he 

developed models of mortgage 

pricing and credit risk. He cur-

rently serves on the Research 

Foundation Advisory Board 

of the CFA Institute.  

  About  the  Authors 

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vi

 Preface 

 xvi  

 PART I  

Introduction    1

1

 The  Investment  Environment 

 1  

2

 Asset Classes and Financial 

Instruments 

 28  

3

 How  Securities  Are  Traded 

 59  

4

 Mutual Funds and Other Investment 

Companies 

 92   

 PART II  

Portfolio Theory 

and Practice  117

5  

 Risk, Return, and the Historical 

Record 

 117  

6

 Capital  Allocation  to  Risky  Assets 

 168  

7

 Optimal  Risky  Portfolios 

 205  

8

 Index  Models 

 256   

  Brief  Contents 

 PART III  

Equilibrium in Capital 

Markets 291

9  

 The Capital Asset Pricing Model  291   

10

 Arbitrage Pricing Theory and Multifactor 

Models of Risk and Return   324  

11

 The Efficient Market Hypothesis  349   

12

 Behavioral Finance and Technical 

Analysis 

 388  

13

 Empirical Evidence on Security Returns  414    

 PART IV  

Fixed-Income 

Securities 445

14  

 Bond  Prices  and  Yields 

 445  

15

 The Term Structure of Interest Rates   487  

16

 Managing  Bond  Portfolios 

 515   

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Brief Contents

vii

 PART VII  

Applied Portfolio 

Management 835

24  

 Portfolio  Performance  Evaluation 

 835  

25

 International  Diversification 

 882  

26

 Hedge  Funds 

 926  

27

 The Theory of Active Portfolio 

Management 

 951  

28

 Investment Policy and the Framework of the 

CFA  Institute 

 977