identify optimal combinations • Step 2: Consider riskless borrowing and lending possibilities • Step 3: Choose the final portfolio based on your preferences for return relative to risk Portfolio Theory • Optimal diversification takes into account all available information • Assumptions in portfolio theory – A single investment period (one year) – Liquid position (no transaction costs) – Preferences based only on a portfolio’s expected return and risk An Efficient Portfolio • Smallest portfolio
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Introduction to Corporate Finance (Pearson Education Australia‚ Frenchs Forest‚ NSW.). * Jensen‚ Michal C.‚ (1968)‚ The Performance of Mutual Funds in the Period 1945-1964‚ Journal of Finance‚ 23(2)‚ 389-416 * Jensen‚ Michael C‚ (1972)‚ Capital Markets‚ Theory and Evidence‚ Bell Journal of Economics and Management Science‚ 3‚ 357-398 * Kaufhold‚ Kevin C.‚ (2008)‚ Time-Referenced Investment Policies‚ Journal of Financial Planning‚ April‚ 54-61. * Koski‚ Jennifer L.‚ and Roni Michaely‚ (2000)‚ Prices‚ Liquidity
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plotting a point representing the riskfree return on the y-axis and drawing a tangent to the efficiency frontier we obtain a line called the capital market line (CML) which represents the most efficient portfolio allocation. [pic] Extending this theory to the HMC case‚ it appears that TIPS has been considered as a risk free security by HMC and added to the efficiency frontier (which was obtained as a result of the various portfolio simulations using mean variance analysis). This completed the Capital
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California‚ Los Angeles by the name of William F. Sharpe needed a dissertation topic. After reading a 1952 paper on portfolio theory by Harry Markowitz entitled Portfolio Selection‚ Sharpe had found his idea. Markowitz ’s paper presented the notion of an "efficient frontier" of optimal investment that advocated a diversified portfolio to reduce risk. However‚ his theory did not develop a practical means to assess how various holdings operate together‚ or correlate. Sharpe took Markowitz ’s theoretical
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References: 1. C. Hall wood‚ R. Mc Donald; International Money and Finance; Blackwell Pub‚ 2000 2. Eugene Brigham‚ Michael Ehrhardt; Financial Management‚ Theory and Practice‚ Thomson South-Western‚ 2005 3. Samuel Weaver‚ John Weston; Finance and Accounting for non-financial Managers; Mc Graw-Hill‚ 2001 4. www.pcquote.com/stocks/
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| 2013 | | Javis Mutual Fund | [Dow-Jones Plus fund] | | ------------------------------------------------- Word Count: 3750 Word Count: 3750 Table Of Content Objective 2 Part A - Passively managed investment Optimal passive fund from historical data estimates Methodology overview 3 Steps in Practice 4 Optimal passive fund from CAPM model Applying CAPM 6 CAPM’s application 6 Steps in practice 6 Part B - Actively managed investment Problem defined 10 Solution:
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A PROJECT REPORT ON EQUITIES AND PORTFOLIO MANAGEMENT Submitted in the partial fulfillment for the award of the degree of MASTER OF BUSINESS ADMINISTRATION BY A.INDU ROLL NO: 0640-60-121 Under the guidance of Mr.Mahender [pic] BHAVAN’S VIVEKANANDA COLLEGE Sainikpuri‚ Secunderabad (AFFILAITED TO OSMANIA UNIVERSITY) 2006-2008 DECLARATION I hereby declare that this Project Report titled EQUITIES AND PORTFOLIO MANAGEMENT submitted by me to the Department of Business
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lineAustralian School of Business School of Banking and Finance FINS 2624 Portfolio Management Course Outline Semester 2‚ 2012 Part A: Course-Specific Information Part B: Key Policies‚ Student Responsibilities and Support Table of Contents 0 PART A: COURSE-SPECIFIC INFORMATION 1 2 2.1 2.2 2.3 2.4 2.5 3 STAFF CONTACT DETAILS COURSE DETAILS Teaching Times and Locations Units of Credit Summary of Course Course Aims and Relationship to Other Courses Student Learning Outcomes LEARNING AND
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Finance Theory I – Case 2 Tracy Hsiao‚ Baltic Ocean Evaluation of AQR Momentum Funds Date: Dec. 5th‚ 201r Past performance of momentum strategies – CAPM & Fama‐French MOM 4 factors model In Table 1‚ we could evaluate the past performance of momentum strategy‚ Short Decile 1 and Long Decile 10‚ a.k.a. L/S (10‐1). Capital Asset Pricing Model (CAPM) E(R) = α + Rf + β (RM - Rf) + By applying to CAPM‚ we got a β that is almost zero (-0.08) showing the strategy could effectively diversify and reduce
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Meaning of Risk and Uncertainty Risk: In Common Parlance‚ risk means a low probability of an expected outcome. From business decision-making point of view‚ risk refers to a situation in which a business decision is expected to yield more than one outcome and the probability of each outcome is known to the decision makers or can be reliably estimated. For example‚ if a company doubles its advertisement expenditure‚ there are three probable outcomes: i) Its sales may more than double ii)
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