'Sharpe ratio' diaporamas de présentation

Optimal Risky Portfolios- Asset Allocations

Optimal Risky Portfolios- Asset Allocations. BKM Ch 7. Asset Allocation. Idea from bank account to diversified portfolio principles are the same for any number of stocks Discussion A. bonds and stocks B. bills, bonds and stocks C. any number of risky assets.

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Empirical Financial Economics

Empirical Financial Economics. 5. Current Approaches to Performance Measurement. Stephen Brown NYU Stern School of Business UNSW PhD Seminar, June 19-21 2006. Overview of lecture. Standard approaches Theoretical foundation Practical implementation Relation to style analysis

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Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic

Prerequisite of the standard norm distribution of Markowitz at hedge fund not realistic. Volker GRONAU. CPPI - Investment. MACD - Investment. Value - Investment. Growth - Investment. Markowitz Maximum Sharpe Ratio. Markowitz Minimum Varianz. DAX. DAX. Real Estate Investment.

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Week three MFRE FUTURES TRADING GAME

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Performance Evaluation and Active Portfolio Management Or figuring out if you or your manager is good or just lucky!

Bm410: Investments. Performance Evaluation and Active Portfolio Management Or figuring out if you or your manager is good or just lucky!. Objectives. A. Understand active portfolio management and performance evaluation B. Understand how to calculate risk adjusted rates of return

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Asset Allocation

Asset Allocation. Week 4. Asset Allocation: The Fundamental Question. How do you allocate your assets amongst different assets? Traditionally, we divide the discussion here into two parts: A. The allocation between riskfree and a portfolio of risky assets.

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Information acquisition and portfolio performance

Information acquisition and portfolio performance. Luigi Guiso (European University Institute , Ente Einaudi & CEPR) Tullio Jappelli (University of Salerno, CSEF & CEPR). Fact 1: Heterogeneity in investment in financial information. 0. Equivalent working days in a year. 1.5. 4.5. 8.4.

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Portfolio Theory and the Capital Asset Pricing Model

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Microfoundations of Financial Economics 2004-2005 2 Choices under uncertainty - Equilibrium

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Techniques to Create Efficiencies in the Secondary Market for Life Insurance

Techniques to Create Efficiencies in the Secondary Market for Life Insurance. By Hui Shan, ASA, MAAA, Ph.D Candidate University of Connecticut. Table of Contents. Background Current Inefficiencies Challenges Solutions for Investors Solutions for Insurance Companies

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Risk Metrics in an Integrated Financial Discipline

Risk Metrics in an Integrated Financial Discipline . David L. Ruhm The Hartford Insurance Group 2004 Bowles ERM Symposium Session CS 3B: Risk Metrics. Risk Metrics. Risk measurement math is evolving. Quick pace of recent theoretical advances.

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Return and Risk

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Bayesian Adaptive Trading with Daily Cycle

Bayesian Adaptive Trading with Daily Cycle. Mr Chee Tji Hun Ms Loh Chuan Xiang Mr Tie JianWang Algernon. Abstract. The Bayesian Adaptive Trading with Daily Cycle (BATDC) paper presents the idea of an optimal trading schedule to minimise the total expected cost of trading .

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FIN 408 International Investment

FIN 408 International Investment. Factors affecting Risk and Return Size and Number of International Open-end Funds Global market Correlations Correlation over time - constant vs. non-constant Implications on portfolio diversification Gains from International Diversification.

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5. Fund Performance Measurement

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Summary to Date

Summary to Date. Investing is about measuring and understanding the risk/return relationship Risk Measured through the use of standard deviation Controlled through diversification The Capital Allocation Line The Sharpe Ratio (reward to volatility) The mean-variance criterion

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Homework 1

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