Risk and Return: Portfolio Theory and Asset Pricing Models Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model Portfolio Theory • Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. If the correlation between A and B is 0.6
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Portfolio management Portfolio management is the professional management of various securities (shares‚ bonds and other securities) and assets (e.g.‚ real estate) in order to meet specified investment goals for the benefit of the investors. Investors may be institutions (insurance companies‚ pension funds‚ corporations‚ charities‚ educational establishments etc.) or private investors (both directly via investment contracts and more commonly via collective investment schemes e.g. mutual funds or exchange-traded
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portfolio. The basic objective of the course is to acquaint the students in respect to the investment decisions related to financial assets‚ the risks and the returns involved‚ to make aware about the functioning of securities market alongside the theories and concepts involved in portfolio management. Essential Text: Reilly‚ Frank K. and Keith C. Brown‚ Investment Analysis and Portfolio Management‚ Eighth Edition‚ 2005‚ South-Western‚ U.S.A. (RB) Supplementary Material Bodie‚ Zvi‚ Alex Kane
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Review CAPM developed by Sharpe (1964)‚ Lintner (1965) and Mossini (1965) builds upon the “Portfolio Theory” introduced by Harry Markowitz (1959). CAPM presents the basis for determining the required rate of return on all risky assets. CAPM theory is built upon the assumptions of the Portfolio Theory plus some additional ones. The major factor that allowed Portfolio Theory to develop into CAPM Theory is the concept of the risk free asset. The inclusion of the risk free asset resulted in the derivation
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The Atomic Cafe The Atomic Cafe is a 1982 documentary film compiled of clips from government propaganda‚ training films‚ news stories‚ advertisements and other media from the 1940’s through the 1950’s. Many films were prepared by the U.S. government either for the military or for its citizens to view. The form of Atomic Cafe was unique for documentaries. It was produced entirely of different film sources edited together‚ without narration. The film made its points solely through the selection
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The Atomic Café After viewing The Atomic Café‚ I noticed many similarities to the film Radio Bikini that I viewed recently. Both films start off by showing the celebrations after Japan’s surrender and The Atomic Café had a song playing that stated the bomb on Hiroshima was the answer to a fighting boy’s prayers. The film‚ along with Radio Bikini‚ shows a clip of Vice Admiral W.H.R. Blandy who was the commander of the Bikini test‚ assuring to the American people that the test was safe. He stated
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The Atomic Mass of Metallo You may have noticed on the periodic table that the atomic mass of an element is usually not a whole number. That happens because of isotopes. An atom that is missing a neutron or has an extra neutron is called an isotope. They are still the same element; however‚ they are just a little different from every other atom of the same element. Most of the carbon atoms in the universe are Carbon-12‚ with 6 neutrons. A small percentage of carbon atoms are Carbon-13‚ with 7 neutrons
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Theoretical and Applied Economics Volume XVIII (2011)‚ No. 2(555)‚ pp. 75-88 Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis* Oana Mădălina PREDESCU Bucharest Academy of Economic Studies predescu_oana85@yahoo.com Stelian STANCU Bucharest Academy of Economic Studies stelian_stancu@yahoo.com Abstract. This paper examines both the benefits of choosing an internationally diversified portfolio and the evolution of the portfolio risk in the context
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Executive Summary Telstra Limited (TLS) is Australia’s leading telecommunications and information services company‚ with one of the best known brands in the country. It offers a full range of services and competes in all telecommunications markets throughout Australia. (Telstra Financial Report‚ 2009) Ansell Limited (ANN) is a global leader in barrier protective solutions. It designs‚ develops and manufactures a wide range of hand and arm protection solutions‚ clothing and condoms (Ansell Financial
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Atomic energy is energy produced by atoms. The term originated in 1903 when Ernest Rutherford began to speak of the possibility ofatomic energy.[1] The term was popularized by H. G. Wells in the phrase‚ "splitting the atom"‚ devised at a time prior to the discovery of the nucleus. Atomic energy also may refer to: * Nuclear binding energy‚ the energy required to split a nucleus of an atom * Nuclear potential energy‚ the potential energy of the particles inside an atomic nucleus * Nuclear
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