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The Portable Financial Analyst: What Practitioners Need to Know, 2nd Edition


Risk is an inescapable feature of investing, and risk, more than anything else, is what this fine book is all about.
–Peter L. Bernstein

Praise for this Second Edition

"For those looking for a serious introduction to the concepts and tools of quantitative financial analysis, this is a great book. The focus is economics and statistics as applied to financial markets. Though the topics are technical, the author's wit and good sense of humor are evident throughout."
–Bob Litterman, head of the Quantitative Resources Group, Goldman Sachs Asset Management

"This book is an essential resource for the thoughtful practitioner and serious student of finance. Kritzman straightforwardly introduces the reader to tools and concepts of huge significance in finance and investment management today. Neither brain candy nor mental steroids, this book is solid intellectual protein. Buy it. Study it. Bulk up."
–Robert F. Bruner, Distinguished Professor of Business Administration and Executive Director of the Batten Institute, Darden Graduate School of Business Administration, University of Virginia

"This is a wonderful collection of wide-ranging essays on financial analysis written by a preeminent practitioner in a remarkably lucid style . . . don't leave home without it!"
–Andrew W. Lo, Harris & Harris Group Professor, MIT Sloan School

Praise for the First Edition

"In one book, Mark Kritzman covers the key tools of modern investment practice. Clear, concise, and always to the point, the treatment is succinct but never superficial. This valuable volume should be included in the library of every serious investor."
–Dr. William F. Sharpe, Professor of Finance, Graduate School of Business, Stanford University and Nobel Prize Laureate, 1990, Economic Sciences

"Mark Kritzman makes the recondite transparent, the technical accessible, and the horrendously complex elegantly simple. Keep this book close at hand and you won't have to figure out these difficult issues again (and again and again)."
–Jack R. Meyer, President and CEO, Harvard Management Company, Inc.

MARK P. KRITZMAN is Managing Partner of Windham Capital Management Boston, a Senior Partner of State Street Associates, and Research Director of the AIMR Research Foundation. He also serves on the boards of the Institute for Quantitative Research in Finance and the International Securities Exchange, and on the editorial boards of Emerging Markets Review, Financial Analysts Journal, the Journal of Alternative Invest-ments, the Journal of Asset Management, the Journal of Derivatives, and the Journal of Investment Management. Mr. Kritzman has written numerous articles for academic and professional journals and is the author of six books including Puzzles of Finance (Wiley).
Foreword: Time and Magic: What This Book Is About.


Chapter 1. The Noble Prize.

Chapter 2. Uncertainty.

Chapter 3. Utility.

Chapter 4. Lognormality.

Chapter 5. Return and Risk.

Chapter 6. Higher Moments.

Chapter 7. Duration and Convexity.

Chapter 8. The Term Structure of Interest Rates.

Chapter 9. Serial Dependence.

Chapter 10. Time Diversification.

Chapter 11. Regressions.

Chapter 12. Factor Methods.

Chapter 13. Estimating Volatility: Part I.

Chapter 14. Estimating Volatility: Part II.

Chapter 15. Hypothesis Testing.

Chapter 16. Future Value and Risk of Loss.

Chapter 17. Event Studies.

Chapter 18. Simulation.

Chapter 19. Value at Risk.

Chapter 20. Optimization.

Chapter 21. Risk Budgets.

Chapter 22. Hedging.

Chapter 23. Opton Valuation and Replication.

Chapter 24. Commodity Futures Conracts.

Chapter 25. Currencies.