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Capital Asset Pricing and Arbitrage Pricing Theory

Capital Asset Pricing and Arbitrage Pricing Theory

Department of Banking and Finance. SPRING 200 7 -0 8. Capital Asset Pricing and Arbitrage Pricing Theory. by Asst. Prof. Sami Fethi. Capital Asset Pricing Model (CAPM).

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889 views • 53 slides
Chapter 24

Chapter 24

Chapter 24. Portfolio Theory, Asset Pricing Models, and Behavioral Finance. Topics in Chapter. Portfolio Theory 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.

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464 views • 46 slides
Chapter 10 -

Chapter 10 -

Chapter 10 -. Risk and Return: Part II. Topics in Chapter. Portfolio Theory 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. Portfolio Theory.

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695 views • 42 slides
CHAPTER 3 Risk and Return: Part II

CHAPTER 3 Risk and Return: Part II

CHAPTER 3 Risk and Return: Part II. Harry Markowitz (1990) as a father of modern porfolio theory) Capital Asset Pricing Model (CAPM) developed by and Willian Sharpe (1964) John Lintner (1965), Jan Moissin (1969). CAPM. Efficient frontier Capital Market Line (CML) Security Market Line (SML)

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410 views • 38 slides
CHAPTER 7 Risk and Return: Portfolio Theory and Asset Pricing Models

CHAPTER 7 Risk and Return: Portfolio Theory and Asset Pricing Models

CHAPTER 7 Risk and Return: Portfolio Theory and Asset Pricing Models. 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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399 views • 37 slides
Chapter 13: The Capital Asset Pricing Model

Chapter 13: The Capital Asset Pricing Model

Chapter 13: The Capital Asset Pricing Model. Objective The Theory of the CAPM Use of CAPM in benchmarking Using CAPM to determine correct rate for discounting. Chapter 13 Contents. The Capital Asset Pricing Model in Brief Determining the Risk Premium on the Market Portfolio

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771 views • 36 slides
Money, Banking & Finance Lecture 5

Money, Banking & Finance Lecture 5

Money, Banking & Finance Lecture 5. The Capital Asset Pricing Model CAPM. Aims. Analyse the determinants of the equilibrium expected return on an individual security. To show how the risk premium on an asset is determined. Explain the capital asset pricing model.

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426 views • 26 slides
Asset Pricing Models

Asset Pricing Models

Asset Pricing Models. A. What are Asset Pricing Models?. Explaining asset returns, r i In a well-functioning capital market, investors should be rewarded for bearing risks associated with investing in an asset What kind of risks (also known as risk factors, factors)? How do we quantify them?.

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450 views • 24 slides
An Overview and critique of the capital asset pricing model

An Overview and critique of the capital asset pricing model

An Overview and critique of the capital asset pricing model. Presenter: Sarbajit Chakraborty Discussants: Gabrielle Santos Ken Schultz. Outline. Background Theory and Applications Problems Possible Critique Conclusion . background.

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347 views • 17 slides
EXAMPLE: PORTFOLIO RISK & RETURN

EXAMPLE: PORTFOLIO RISK & RETURN

EXAMPLE: PORTFOLIO RISK & RETURN. PORTFOLIO RISK. PORTFOLIO RISK: EXAMPLE. Return and Risk for Portfolios. SUPPOSE EXPECTED RETURNS ARE AS FOLLOWS:. EXAMPLE:INTERNATIONAL PORTFOLIO SELECTION. CORRELATIONS BETWEEN RETURNS ON DIFFERENT MARKETS. EFFICIENT PORTFOLIOS.

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275 views • 15 slides
Video 15 (Topic 3.5): Capital Asset Pricing Model (CAPM)

Video 15 (Topic 3.5): Capital Asset Pricing Model (CAPM)

Video 15 (Topic 3.5): Capital Asset Pricing Model (CAPM). FIN 614: Financial Management Larry Schrenk, Instructor. Topics. Capital Market Line (CML) Security Market Line (SML) Capital Asset Pricing Model (CAPM ). Capital Market Line (CML). Market Portfolio. Efficient Frontier. Return.

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330 views • 13 slides
THE CAPITAL ASSET PRICING MODEL (CAPM)

THE CAPITAL ASSET PRICING MODEL (CAPM)

THE CAPITAL ASSET PRICING MODEL (CAPM).

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228 views • 9 slides
CAPM

CAPM

CAPM. The Capital Market Line CML. Drawing the Capital Market Line. Step 1. Plot each portfolio onto the Risk/Return Chart. Return. Rp. Risk. Drawing the Capital Market Line. Step 2. Freehand draw the efficiency frontier by joining the outermost points to form a smooth curve. Return. Rp.

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295 views • 5 slides

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