'Portfolio variance' diaporamas de présentation

Chapter 6 Why Diversification Is a Good Idea

Chapter 6 Why Diversification Is a Good Idea. Introduction. Diversification of a portfolio is logically a good idea Virtually all stock portfolios seek to diversify in one respect or another. Carrying Your Eggs in More Than One Basket. Investments in your own ego

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Strategic Asset Allocation session 1

Strategic Asset Allocation session 1 . Andrei Simonov. Introduction . The field of Finance and Investments Individual agents making decisions to supply capital to the markets Firms getting capital from the financial markets (when, where, how?)

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Strategic Asset Allocation session 1

Strategic Asset Allocation session 1. Andrei Simonov. Introduction. The field of Finance and Investments Individual agents making decisions to supply capital to the markets Firms getting capital from the financial markets (when, where, how?)

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Chapter 7 Portfolio Theory and Asset Pricing

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Percentage of sales approach:

Percentage of sales approach:. EFN and Capacity Usage. Suppose COMPUTERFIELD is operating at 75% capacity: 1. What would be sales at full capacity? (1p) 2. What is the capital intensity ratio at full capacity? (1p)

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Markowitz Mean-variance

Markowitz Mean-variance. Sequence Of MPT Material. Basic Return vs Risk Optimizing the Risky Portfolio Risk Aversion / Utility Function Allocate Between Risk-free asset and Risky Asset (CAL). Stocks vs Bonds Markowitz Mean-Variance Asset Allocation. Going In Reverse: the CAPM.

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Return risk and the Security market line quantfinancejobs

Chapter 13. Return risk and the Security market line http://www.quantfinancejobs.com. Chapter Outline. Expected Returns and Variances of a portfolio Announcements, Surprises, and Expected Returns Risk: Systematic and Unsystematic Diversification and Portfolio Risk Systematic Risk and Beta

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WHAT IS RISK?

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Chapter 5 The Mathematics of Diversification

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Portfolio Theory

Portfolio Theory. The Benefits of Diversification. Overview. Originally proposed by Harry Markowitz in 1950s, was the first formal attempt to quantify the risk of a portfolio and develop a methodology for determining the optimal portfolio.

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Portfolio Theory : The First Half-Century (plus a little) Harry M. Markowitz

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Covariance

Covariance. And portfolio variance. Review question. Define the internal rate of return. Answer:. The internal rate of return of a project is r such that, given the cash flows CF t of the project,. The states of nature model. Time zero is now. Time one is the future.

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Topic 4: Portfolio Concepts

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Risk and the Cost of Capital

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Applications of Parametric Quadratic Optimization

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Diagrams of CAPM

Diagrams of CAPM. Chapter 10 figures. Investors need only two funds. Figures 10.4, 10.5, and 10.6. Correlation coefficient. Portfolio variance. In terms of the correlation coefficient. MV. MV. MV. Diversification, minimum variance. B. E(R). A. s. The case of r = 1.

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Efficient Portfolios with no short-sale restriction

Efficient Portfolios with no short-sale restriction. MGT 4850 Spring 2008 University of Lethbridge. Portfolio return. One period return => E T ? Matrix of 60 monthly returns for 30 industry portfolios (60x30) Column vector of equal weights (30x1)

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Markowitz Model

Markowitz Model. For 3-stock portfolio, short selling allowed. Eg. R A = 20% R B = 10% R C = 8% ? 2 A =100 ? 2 B =25 ? 2 C =16 ? AB = 15 ? AC = 20 ? BC = 4. Markowitz Model. Form the Lagrangian. Markowitz Model: Solution. For R* = 15% w A = 50.214%

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Correlation Matrix

Correlation Matrix. Solution. The portfolio variance is: The first order conditions are:. Constrained Optimization. Foreign content restriction: X+Y< 30% The Lagrangian: FOC:. Solution. FOC:.

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