'Optimal portfolio' diaporamas de présentation

Portfolio Theory Capital Market Theory Capital Asset Pricing Model

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Investment Decisions

Investment Decisions Fin 434 September 25, 2006 By the end of this lecture, you should be able to: Be able to explain basic portfolio theory The value of diversification How to evaluate risk/return trade-off What do consumers actually do? Explain different classes of investments

1.41k views • 59 slides

Efficient Diversification

Efficient Diversification. 6. Bodie, Kane, and Marcus Essentials of Investments, 9 th Edition. 6.1 Diversification and Portfolio Risk. Market/Systematic/Nondiversifiable Risk Risk factors common to whole economy Unique/Firm-Specific/Nonsystematic/ Diversifiable Risk

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Fin305f: LeBaron, 2019 Campbell notes

Fin305f: LeBaron, 2019 Campbell notes. Chapter 2: Static Portfolio Choice. Small risks: Linear approximation. Section 2.1.2. Simple 2 period investment problem. Maximum problem. Simple portfolio decision (part 1). Add controlled mean to excess return:. Simple portfolio decision (part 2).

1.07k views • 51 slides

Chapter 8 Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model

By Cheng Few Lee Joseph Finnerty John Lee Alice C Lee Donald Wort. Chapter 8 Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model. Outline. 8.1 Utility Theory, Utility Functions, and Indifference Curves 8.1.1 Utility Theory 8.1.2 Utility Functions

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Efficient Diversification

Efficient Diversification. 6. Bodie, Kane, and Marcus Essentials of Investments, 9 th Edition. 6.1 Diversification and Portfolio Risk. Market/Systematic/Nondiversifiable Risk Risk factors common to whole economy Unique/Firm-Specific/Nonsystematic/ Diversifiable Risk

1.1k views • 40 slides

Portfolio Management 3-228-07 Albert Lee Chun

Portfolio Management 3-228-07 Albert Lee Chun. Construction of Portfolios: Markowitz and the Efficient Frontier. Session 4. 25 Sept 2008. Plan for Today. A Quick Review Optimal Portfolios of N risky securites - Markowitz`s Portfolio Optimization - Two Fund Theorem

880 views • 39 slides

Fi8000 Optimal Risky Portfolios

Fi8000 Optimal Risky Portfolios. Milind Shrikhande. Investment Strategies. Lending vs. Borrowing (risk-free asset) Lending: a positive proportion is invested in the risk-free asset (cash outflow in the present: CF 0 < 0, and cash inflow in the future: CF 1 > 0)

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Week 4

Week 4. Capital Asset Pricing and Arbitrage Pricing Theory. Capital Asset Pricing Model (CAPM). CAPM: A model that relates the required rate of return for a security to its risk measured by beta. CAPM predicts the relationship between the risk and equilibrium expected returns on risky assets.

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CHAPTER 6

CHAPTER 6. Risk Aversion and Capital Allocation to Risky Assets. Risk and Risk Aversion. Speculation Considerable risk Sufficient to affect the decision Commensurate gain Gamble Bet or wager on an uncertain outcome. Risk Aversion and Utility Values.

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FINANCE IN A CANADIAN SETTING Sixth Canadian Edition

FINANCE IN A CANADIAN SETTING Sixth Canadian Edition. Lusztig, Cleary, Schwab. CHAPTER EIGHT CAPITAL MARKET THEORY. Learning Objectives. 1. Explain the role of risk-free assets in an efficient portfolio. 2. Define the capital market line (CML), and explain what its slope indicates.

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George MAVROTAS Olena PECHAK

8 th Multi-criteria Meeting (HELORS) 8-10 December 2011, Eretria, Greece. Dealing with uncertainty in project portfolio selection: Combining MCDA, Mathematical Programming and Monte Carlo simulation: a trichotomic approach. George MAVROTAS Olena PECHAK. Contents.

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International Diversification and Labor Income Risk

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Modern Portfolio Theory and the Markowitz Model

Modern Portfolio Theory and the Markowitz Model. Alex Carr Nonlinear Programming. Louis Bachelier. Father of Financial Mathematics The Theory of Speculation , 1900 The first to model the stochastic process, Brownian Motion Stock options act as elementary particles. John Burr Williams.

4.36k views • 25 slides

Universal Portfolio Selection: Application of Information Theory in Finance - SC500 Project Presentation -

Universal Portfolio Selection: Application of Information Theory in Finance - SC500 Project Presentation -. Gudrun Olga Stefansdottir May 5 2007. Outline. Introduction Information Theory in Gambling Information Theory and the Stock Market Concepts and Terminology

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CHAPTER TWENTY-ONE Portfolio Management

Cleary / Jones Investments: Analysis and Management. CHAPTER TWENTY-ONE Portfolio Management. Learning Objectives. To discuss why portfolio management should be considered a process To describe the steps involved in the portfolio management process

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ADMN 3116: Financial Management 1 Lecture 7: P ortfolio selection

ADMN 3116: Financial Management 1 Lecture 7: P ortfolio selection. Anton Miglo Fall 2014. Topics Covered. Efficient Set of Portfolios Sharpe ratio and optimal portfolio Optimal portfolio with risk-free asset available Excel: Solver Additional readings: ch . 10-11 B. Diversification.

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Case 3:Templeton Growth Fund Presented By: Zhu Zhu

Case 3:Templeton Growth Fund Presented By: Zhu Zhu Mehmet Can. Assignment. Analyze Templeton Growth Fund in terms of international diversification, rates of return and determine its risk Construct an internationally diversified optimal portfolio

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The Capital Asset Pricing Model

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Bayesian evaluation and selection strategies in portfolio decision analysis

214 views • 12 slides