Report Done by: Lang‚ Qin 1988-12-05 Low Lihui Valerie 1989-09-24 Q1 Before we evaluate the actual investment performance of the five constructed portfolios for period 1992.02-2008.07‚ we firstly calculate the mean‚ variance and standard deviation of each of the portfolio using Excel. The results are generated as below: Portfolios | Z1 | Z2 | Z3 | Z4 | Z5 | Zm | Mean | 0.008490 | 0.003843 | 0.009980 | 0.000141 | 0.004840 | 0.0066 | Variance | 0.005335 | 0.007238 | 0.004951 | 0.008652
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Financial Management: FIN 534 Diversification in Stock Portfolio Diversification in Stock Portfolio Background As a risk averse investor‚ I am considering investing in one of two economies. The expected return with volatility of all stocks in both economies is the same. In the first economy‚ all stocks move together‚ in good times all prices rise together and in bad times they all fall together. In the second economy‚ stock returns are independent; one stock increasing in price has no effect
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Background & Literature 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
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Interpersonal Communication: Skills for Real Life D r. Kory Floyd wrote his introductory interpersonal communication textbook because he wanted to show students that effective interpersonal communication can improve their lives. The result: Interpersonal Communication‚ a widely praised‚ comprehensive text that helps students learn principles they can put into action effectively‚ every day. This second edition of Interpersonal Communication does more than prepare students for class. Reflecting
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Portfolio Performance Evaluation and Attribution Analysis Date of Submission 22nd June‚ 2011 Portfolio Performance Evaluation and Attribution Analysis Submitted to: Mahmood Osman Imam‚ Ph.D. Professor Department of Finance University of Dhaka Submitted by: Sakib Ahmed Chowdhury B.B.A. 13th Batch Section: A‚ ID: 13-161 Group # 9 Department of Finance University of Dhaka 22nd June‚ 2011 Dr. Mahmood Osman Imam Professor Department of Finance Faculty of Business Studies
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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 Performance: Naïve vs. Optimized Using historical return data from January 1994 to August 2009‚ we calculated the performance of a portfolio of securities employing two models: naïve diversification‚ and optimized diversification. The portfolio consisted of 11 carefully selected and diverse domestic and international securities (see exhibit 1)‚ and we assumed no change in the allocations throughout the entire period measured for both the naïve and optimized models. Each model generated
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Prioritizing IT Project Management Portfolio Prioritizing IT Project Management Portfolio The realities of shrinking IT budgets and increasing dependence on IT in organizations in recent years has resulted in a situation in which there is an intense competition for resources needed to execute and complete IT projects. According to Ross (2007)‚ the shrinking IT budget in the face of increasing demand has brought new pressures to the IT function. To gain approval and funding for projects‚ IT departments
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The Islamic banking and finance system is recent in origin. Its special features preclude the application of modern finance theories. The system is briefly described in this paper as part of an initial attempt to develop a simple model for the portfolio management of an Islamic bank. The model is built on the assumption of certainty for one period. A numerical example based on actual data of Faisal Islamic Bank of Sudan is given to illustrate the model and reveal its relevance. 1. Introduction
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Answers to Previous Semesters Exam Questions Question 4 (Semester 2‚ 2005) 96633337 Juan (a) Expected Portfolio Return and Risk Expected Return Risk Covariance = (0.002)(0.06)(0.09)=0.0000108 (b) Minimum Variance (Pendix Ltd) The minimum variance for this portfolio is 0.693‚ indicating that risk is minimized when 69.3 percent of the portfolio is invested in Pendix’s shares. A rational investor would not allow Pendix’s shares to account for more
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