Synopsis
aeo Calculate correlations, covariances, means and standard deviations aeo Plot and graph the efficient frontier under various assumptions.regarding short sales and riskless lending and borrowing. aeo Perform duration analysis and estimate spot rates for bonds. aeo Do performance evaluation using single and multi--index andequilibrium models. aeo Calculate prices for futures and prices and implied volatility foroptions.
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From the Back Cover
The Investment Portfolio The Investment Portfolio is a powerful windows-based program that lets the user create, evaluate, and manage realistic portfolios. It gives them an interactive experience that makes the theory clear and relevant. The user creates various portfolios made up of stocks, bonds, mutual funds and treasury bills. They can take their data directly from the software's built-in database, import data from ASCII files, or enter their own data using the software's spreadsheet function. They then work with these portfolios.Table of ContentsI. Getting StartedV. The Equilibrium ModuleIX. The Futures ModuleII. Overview of The Investment Portfolio SoftwareVI. The Valuation ModuleX. The Statistics ModuleIII. The Markowitz ModuleVII. The Bond ModuleAppendix A: Data FilesIV. The Performance ModuleVIII. The Option ModuleAppendix B: Importing DataThe Markowitz Module Instantly calculates mean returns, standard deviations and correlations from time series data and graphs the efficient frontier under various assumptions regarding the variance/covariance matrix of asset returns and the availability of a riskless asset and short sales. You can view the mean return, standard deviation and the composition of any portfolio you select along the efficient frontier, and you can plot individual securities and your own "custom" portfolios. The Equilibrium Module Generates either the theoretical or empirical Security Market Line and allows you to plot and compare the actual returns of various assets with their equilibrium counterparts. The Bond Module Calculates spot rates, forward rates, theoretical bond values, durations, yield-to-maturities and convexities from sets of bond data and identifies duration-matching portfolios that immunize (protect) either user-supplied liabilities or individual bonds against shifts in interest rates. Also graphs spot, forward and predicted spot yield curves.
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