'Free asset' diaporamas de présentation

CHAPTER 6

CHAPTER 6. Efficient Diversification. The Goals of Chapter 6. Introduce the market risk and the firm-specific risk Portfolio Theory: Diversification in the case of two risky assets without or with the risk-free asset Extension to the multiple risky-asset case

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Asset Pricing Models Learning Objectives

Asset Pricing Models Learning Objectives. 1. Assumptions of the capital asset pricing model 2. Markowitz efficient frontier 3. Risk-free asset and its risk-return characteristics 4. Combining the risk-free asset with portfolio of risky assets on the efficient frontier.

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Portfolio Management 3-228-07 Albert Lee Chun

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An Introduction to Asset Pricing Models

Chapter 9. An Introduction to Asset Pricing Models. Innovative Financial Instruments. Dr. A. DeMaskey. Capital Market Theory: An Overview. Capital market theory extends portfolio theory and develops a model for pricing all risky assets

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CHAPTER 3 Risk and Return: Part II

CHAPTER 3 Risk and Return: Part II. Capital Asset Pricing Model (CAPM) Efficient frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model. What is the CAPM?.

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Chapter 5

Chapter 5. Risk and Return, Capital Allocation to Risky Assets. Outline. Return Hold Period Return Expected Return Risk Allocating Capital Between Risky & Risk-Free Assets. I: Return. Rates of Return: Single Period. HPR = Holding Period Return P 1 = Ending price

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Derivation of the Expected Value-Variance Frontier without a Risk-free Asset

Derivation of the Expected Value-Variance Frontier without a Risk-free Asset. Lecture X. Mathematical derivation without a Risk-free asset. General Formulation. Mean-variance frontier without a risk-free asset:. Lagrange Formulation. Looking at the constraints.

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The Black-Scholes Model for Option Pricing

The Black-Scholes Model for Option Pricing. -Meeting-2, 09-05-2007. Introduction. Reference:. Computational Methods for Option Pricing Yves Achdou and Olivier Pironneau SIAM, 2005. Option Pricing: Recap. Types. European American Asian Vanilla & Exotic. Vanilla European Model.

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Chapter 11

Arbitrage Pricing Theory and Multifactor Models of Risk and Return. Chapter 11. Single Factor Model. Returns on a security come from two sources Common macro-economic factor Firm specific events Possible common macro-economic factors Gross Domestic Product Growth Interest Rates .

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Portfolio risk

Portfolio risk.

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Lecture 6: CAPM & APT

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Portfolio Management

Portfolio Management. Grenoble Ecole de Management MSc Finance 2011 Exercises chapter 3. How to determine optimal weights.

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Passive versus Active Portfolio Management

Passive versus Active Portfolio Management Review of Market Efficiency Anomalies Market Timing A theoretical model of active portfolio management (Treynor-Black) Quantitative Investment Management Passive Management Buy and Hold Indexation

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Risk-Return Problems

Risk-Return Problems. 7. Calculating Returns and Deviations Based on the following information, calculate the expected return and standard deviation for the two stocks. Find covariance and correlation between the two stocks. Answer: ? AB = 0.0103 ? AB = 0.9953. Risk-Return Problems.

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