'Risky asset' diaporamas de présentation

Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Eighth Edition by Frank K. Rei

Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Eighth Edition by Frank K. Reilly & Keith C. Brown. Chapter 8. Chapter 8 - An Introduction to Asset Pricing Models. Questions to be answered: What are the assumptions of the capital asset pricing model?

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Introduction

Introduction. The relationship between risk and return is fundamental to finance theory You can invest very safely in a bank or in Treasury bills. Why would you invest in assets? If you want the chance of earning higher returns, it requires that you take on higher risk investments

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Capital Market Theory

Capital Market Theory. Investors want to target points on the efficient frontier. Borrow or lend at RFR Homogeneous expectations Same one-period time horizon Investments are infinitely divisible No taxes or transaction costs or inflation Capital markets are in equilibrium.

2.17k views • 57 slides

FINC4101 Investment Analysis

FINC4101 Investment Analysis. Instructor: Dr. Leng Ling Topic: Portfolio Theory II. Learning objectives. Explain the benefit of diversification and identify the source of this benefit. Understand the concepts of covariance and correlation.

1.72k views • 54 slides

CHAPTER 7

CHAPTER 7. Capital Asset Pricing Model and Arbitrage Pricing Theory. The Goals of Chapter 7. Introduce the Capital Asset Pricing Model (CAPM) and the Security Market Line (SML) Discuss the relationship between the single-index model and the CAPM

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Return, Risk, and the Security Market Line

Chapter Thirteen. Return, Risk, and the Security Market Line. Chapter Outline. Expected Returns and Variances Portfolios Announcements, Surprises, and Expected Returns Risk: Systematic and Unsystematic Diversification and Portfolio Risk Systematic Risk and Beta The Security Market Line

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Credit Derivatives Pricing and Applications

Credit Derivatives Pricing and Applications. Credit Default Swaps. Global OTC Derivatives Market. FX Derivatives. Interest Rate Derivatives. CDS Notional and Gross Market value. Notional V Gross Market Value.

625 views • 42 slides

Risk, Returns, and Risk Aversion

Risk, Returns, and Risk Aversion. Return and Risk Measures Real versus Nominal Rates EAR versus APR Holding Period Returns Excess Return and Risk Premium Variance Sharpe Ratio Risk Aversion and Capital Allocations Risk Aversion and Utility Function Capital allocation line

657 views • 41 slides

CHAPTER 6

CHAPTER 6. Risk Aversion and Capital Allocation to Risky Assets. Allocation to Risky Assets. Investors will avoid risk unless there is a reward. i.e. Risk Premium should be positive Agents preference (taste) gives the optimal allocation between a risky portfolio and a risk-free asset.

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CHAPTER 5 Risk and Rates of Return

CHAPTER 5 Risk and Rates of Return. 5.1 Rates of Return. Holding Period Return: Rates of Return over a given period

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Dr Nalan Gulpinar

Asset Pricing Models. Dr Nalan Gulpinar. 381 Computational Finance 20-21 February 2006. Imperial College London. Problem Types in Investment Science. Determining correct, arbitrage free price of an asset: price of a bond, a stock the best action in an investment situation:

645 views • 34 slides

Risk Aversion and Capital Allocation to Risky Asset

Risk Aversion and Capital Allocation to Risky Asset. Chapter 6. Risk and Risk Aversion. Risk, Speculation, and Gambling Risk Aversion and Utility Values Estimating Risk Aversion . Risk and Risk Aversion. Risk, Speculation, and Gambling

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Lecture 9: Consumption, Saving, and Investments

Lecture 9: Consumption, Saving, and Investments. The following topics will be covered: Consumption and Saving under Certainty Uncertainty and Precautionary Saving Risky savings and Precautionary Demand Dynamic Investment and Portfolio Management Materials are from chapters 6 & 7, EGS.

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Solving Infinite Horizon Stochastic Optimization Problems

Solving Infinite Horizon Stochastic Optimization Problems. John R. Birge Northwestern University (joint work with Chris Donohue, Xiaodong Xu, and Gongyun Zhao). Motivating Problem. (Very) long-term investor (example: university endowment)

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The Politics of Information Markets, and Information Markets in Politics

The Politics of Information Markets, and Information Markets in Politics. Adam Meirowitz Joshua Tucker Princeton University. Politics of Information Markets. The Legacy of PAM Political Reaction Media Reaction Result for Program Lessons from PAM for future political information markets.

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Efficient Diversification II

Efficient Diversification II. Efficient Frontier with Risk-Free Asset Optimal Capital Allocation Line Single Factor Model. Eff. Frontier with Risk-Free Asset. With risky assets only No portfolio with zero variance GMVP has the lowest variance With a risk-free asset

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Efficient Diversification II

Efficient Diversification II. Efficient Frontier with Risk-Free Asset Optimal Capital Allocation Line Single Factor Model. Eff. Frontier with Risk-Free Asset. With risky assets only No portfolio with zero variance GMVP has the lowest variance With a risk-free asset

355 views • 16 slides

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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Introduction to Behavioral Finance Xavier Gabaix April22,2004

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Appendix 9A Empirical Evidence for the Risk-Return Relationship ( Question 9 )

Appendix 9A Empirical Evidence for the Risk-Return Relationship ( Question 9 ). By Cheng Few Lee Joseph Finnerty John Lee Alice C Lee Donald Wort. (9A.1). The CAPM is a simple linear model expressed in terms of expected returns and expected risk. In its ex-ante form:

168 views • 6 slides