'Single factor model' diaporamas de présentation

Faculty drive folder Michel

Faculty drive folder Michel.

750 views • 69 slides

47 slides in Part 1.

Knowledge. The means to smarter investing. November 17, 2001 Investment Seminar Summary Slide Set for clients. 47 slides in Part 1. Disclaimer. This presentation is NOT ADVICE. Only that which is in writing is advice. Not time to cover all the risks.

452 views • 35 slides

Ch 6

Ch 6. Efficient Diversification. Diversification and Portfolio Risk. Total risk: Market risk Systematic or Nondiversifiable Firm-specific risk Diversifiable or nonsystematic or unique . Figure 6.1 Portfolio Risk as a Function of the Number of Stocks.

1.2k views • 35 slides

CHAPTER 13

CHAPTER 13. Empirical Evidence on Security Returns. Overview of Investigation. Tests of the single factor CAPM or APT Model Tests of the Multifactor APT Model Results are difficult to interpret Studies on volatility of returns over time. The Index Model and the Single-Factor APT.

611 views • 35 slides

CHAPTER 13

CHAPTER 13. Empirical Evidence on Security Returns. Overview of Investigation. Tests of the single factor CAPM or APT Model Tests of the Multifactor APT Model Results are difficult to interpret Studies on volatility of returns over time. The Index Model and the Single-Factor APT.

355 views • 35 slides

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:

643 views • 34 slides

CHAPTER 10

CHAPTER 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return. Single Factor Model. Returns on a security come from two sources: Common macro-economic factor Firm specific events Possible common macro-economic factors Gross Domestic Product Growth Interest Rates .

380 views • 22 slides

CHAPTER 10

CHAPTER 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return. Single Factor Model. Returns on a security come from two sources: Common macro-economic factor Firm specific events Possible common macro-economic factors Gross Domestic Product Growth Interest Rates.

397 views • 22 slides

CHAPTER 10

CHAPTER 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return. Single Factor Model. Returns on a security come from two sources Common macro-economic factor Firm specific events Possible common macro-economic factors Gross Domestic Product Growth Interest Rates.

462 views • 20 slides

CHAPTER 10

CHAPTER 10. Arbitrage Pricing Theory and Multifactor Models of Risk and Return. Single Factor Model. Returns on a security come from two sources Common macro-economic factor Firm specific events Possible common macro-economic factors Gross Domestic Product Growth Interest Rates.

274 views • 18 slides

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

171 views • 16 slides

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 Arbitrage Pricing Model

The Arbitrage Pricing Model. Lecture XXVI. A Single Factor Model. Abstracting away from the specific form of the CAPM model, we posit a single factor model written as

294 views • 14 slides

MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4b: CAPM

209 views • 5 slides