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CFA Institute is the premier association for investment professionals around the world, with over 130,000 members in 151 countries and territories. Since 1963 the organization has developed and administered the renowned Chartered Financial analyst® Program. With a rich history of leading the investment profession, CFA Institute has set the highest standards in ethics, education, and professional excellence within the global investment community and is the foremost authority on investment profession conduct and practice. Each book in the CFA Institute investment Series is geared toward industry practitioners along with graduate-level finance students and covers the most important topics in the industry. The authors of these cutting-edge books are themselves industry professionals and academics and bring their wealth of knowledge and expertise to this series.

QUANTITATIVE INVESTMENT ANALYSIS Third Edition

Richard A. DeFusco, CFA

Dennis W. McLeavey, CFA

Jerald E. Pinto, CFA

David E. Runkle, CFA

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ISBN 978-1-119-10422-3 (Hardcover) ISBN 978-1-119-10459-9 (ePDF)

ISBN 978-1-119-10460-5 (ePub)

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CONTENTS 1. Foreword 2. Preface 3. Acknowledgment 4. About the CFA Institute Investment Series 5. CHAPTER 1: The Time Value of Money

1. 1. Introduction 2. 2. Interest Rates: Interpretation 3. 3. The Future Value of a Single Cash Flow 4. 4. The Future Value of a Series of Cash Flows 5. 5. The Present Value of a Single Cash Flow 6. 6. The Present Value of a Series of Cash Flows 7. 7. Solving for Rates, Number of Periods, or Size of Annuity Payments 8. 8. Summary 9. Problems 10. Notes

6. CHAPTER 2: Discounted Cash Flow Applications 1. 1. Introduction 2. 2. Net Present Value and Internal Rate of Return 3. 3. Portfolio Return Measurement 4. 4. Money Market Yields 5. 5. Summary 6. References 7. Problems 8. Notes

7. CHAPTER 3: Statistical Concepts and Market Returns 1. 1. Introduction 2. 2. Some Fundamental Concepts 3. 3. Summarizing Data Using Frequency Distributions 4. 4. The Graphic Presentation of Data

5. 5. Measures of Central Tendency 6. 6. Other Measures of Location: Quantiles 7. 7. Measures of Dispersion 8. 8. Symmetry and Skewness in Return Distributions 9. 9. Kurtosis in Return Distributions 10. 10. Using Geometric and Arithmetic Means 11. 11. Summary 12. References 13. Problems 14. Notes

8. CHAPTER 4: Probability Concepts 1. 1. Introduction 2. 2. Probability, Expected Value, and Variance 3. 3. Portfolio Expected Return and Variance of Return 4. 4. Topics in Probability 5. 5. Summary 6. References 7. Problems 8. Notes

9. CHAPTER 5: Common Probability Distributions 1. 1. Introduction to Common Probability Distributions 2. 2. Discrete Random Variables 3. 3. Continuous Random Variables 4. 4. Monte Carlo Simulation 5. 5. Summary 6. References 7. Problems 8. Notes

10. CHAPTER 6: Sampling and Estimation 1. 1. Introduction 2. 2. Sampling

3. 3. Distribution of the Sample Mean 4. 4. Point and Interval Estimates of the Population Mean 5. 5. More on Sampling 6. 6. Summary 7. References 8. Problems 9. Notes

11. CHAPTER 7: Hypothesis Testing 1. 1. Introduction 2. 2. Hypothesis Testing 3. 3. Hypothesis Tests Concerning the Mean 4. 4. Hypothesis Tests Concerning Variance 5. 5. Other Issues: Nonparametric Inference 6. 6. Summary 7. References 8. Problems 9. Notes

12. CHAPTER 8: Correlation and Regression 1. 1. Introduction 2. 2. Correlation Analysis 3. 3. Linear Regression 4. 4. Summary 5. Problems 6. Notes

13. CHAPTER 9: Multiple Regression and Issues in Regression Analysis 1. 1. Introduction 2. 2. Multiple Linear Regression 3. 3. Using Dummy Variables in Regressions 4. 4. Violations of Regression Assumptions 5. 5. Model Specification and Errors in Specification 6. 6. Models with Qualitative Dependent Variables