Quantitative Investment Analysis Workbook

HANDS–ON QUANTITATIVE ANALYSIS PRACTICE BASED ON REAL–WORLD SCENARIOS

Quantitative Investment Analysis Workbook, Third Edition provides the key component of effective learning practice. This companion workbook conveniently aligns with the text chapter–by–chapter, provides brief chapter summaries to refresh your memory on key points before you begin working, and explicitly lays out the learning objectives so you understand the "why" of each problem. Those who self study will find solutions to all exercise problems. This workbook lets you:

Refresh your memory with succinct chapter summaries Enhance your understanding with topic–specific practice problems Work toward explicit chapter objectives to internalize key information Practice important techniques with real–world applications

For everyone who wants a practical route to mastering quantitative methods, Quantitative Investment Analysis Workbook, Third Edition lives up to its reputation for clarity and world–class practice based on actual scenarios investors face every day.

Part I Learning Objectives, Summary Overview, and Problems

Chapter 1 The Time Value of Money 3

Learning Outcomes 3

Summary Overview 3

Problems 4

Chapter 2 Discounted Cash Flow Applications 7

Learning Outcomes 7

Summary Overview 7

Problems 8

Chapter 3 Statistical Concepts and Market Returns 13

Learning Outcomes 13

Summary Overview 14

Problems 15

Chapter 4 Probability Concepts 23

Learning Outcomes 23

Summary Overview 24

Problems 26

Chapter 5 Common Probability Distributions 31

Learning Outcomes 31

Summary Overview 32

Problems 34

Chapter 6 Sampling and Estimation 39

Learning Outcomes 39

Summary Overview 39

Problems 41

Chapter 7 Hypothesis Testing 45

Learning Outcomes 45

Summary Overview 46

Problems 48

Chapter 8 Correlation and Regression 53

Learning Outcomes 53

Summary Overview 53

Problems 55

Chapter 9 Multiple Regression and Issues in Regression Analysis 67

Learning Outcomes 67

Summary Overview 68

Problems 70

Chapter 10 Time–Series Analysis 87

Learning Outcomes 87

Summary Overview 88

Problems 90

Chapter 11 An Introduction to Multifactor Models 99

Learning Outcomes 99

Summary Overview 99

Problems 101

Part II Solutions

Chapter 1 The Time Value of Money 105

Solutions 105

Chapter 2 Discounted Cash Flow Applications 121

Solutions 121

Chapter 3 Statistical Concepts and Market Returns 127

Solutions 127

Chapter 4 Probability Concepts 143

Solutions 143

Chapter 5 Common Probability Distributions 151

Solutions 151

Chapter 6 Sampling and Estimation 157

Solutions 157

Chapter 7 Hypothesis Testing 163

Solutions 163

Chapter 8 Correlation and Regression 171

Solutions 171

Chapter 9 Multiple Regression and Issues in Regression Analysis 181

Solutions 181

Chapter 10 Time–Series Analysis 191

Solutions 191

Chapter 11 An Introduction to Multifactor Models 197

Solutions 197

About the CFA Program 199

RICHARD A. DEFUSCO, CFA, is a Professor of Finance at the University of Nebraska–Lincoln. He earned his CFA charter in 1999 and started CFA grading in 2000.

DENNIS W. McLEAVEY, CFA, is Faculty Advisor to the Ram Fund and Professor Emeritus of Finance and OR/MS at the University of Rhode Island. He obtained his CFA charter in 1990 and began CFA grading in 1995.

JERALD E. PINTO, PhD, CFA, has been at CFA Institute since 2002 as Visiting Scholar, Vice President, and now Director, Curriculum Projects in the Credentialing Division for the CFA and CIPM Programs.

DAVID E. RUNKLE, CFA, is Director of Quantitative Research for Trilogy Global Advisors, LP. He joined Trilogy in 2007 from Piper Jaffray, where he was an Investment Research Manager.