PPT-Chapter 11 Optimal Portfolio Choice and the Capital Asset Pricing Model

Chapter Outline 111 The Expected Return of a Portfolio 112 The Volatility of a TwoStock Portfolio 113 The Volatility of a Large Portfolio 114 Risk Versus Return Choosing an Efficient Portfolio. P.V. . Viswanath. For a First Course in . INvestments. Learning Goals. 2. How do we characterize individuals’ preferences for taking risk?. How do we use utility functions over asset returns?. How do we evaluate investors’ risk preferences?. Implications of . Existence . and . Equivalence Theorems. Main Points. The . existence of a discount factor means that . is . innocuous. , and . all content flows from the discount factor model.. The . P.V. . Viswanath. For a First Course in . INvestments. Learning Goals. 2. How does diversification help in constructing optimal risky portfolios?. How do we construct the opportunity set when there are two risky assets available?. Capital Structures and Risk Management. 2. Agenda. What is Capital?. Typed of Capital and Capital Structure. Capital Asset Pricing Model (CAPM). Modigliani – Miller (M&M). Without Corporate Income Taxes. Assets. Emilian . Belev. , CFA and Richard Gold. QWAFAFEW. September 15, . 2015. Why this is important . It has been a de-facto rule that the real estate investment process has been . siloed. away from most widely accepted quant practices. Presenter: . Sarbajit. . Chakraborty. Discussants: Gabrielle Santos. Ken Schultz. Outline. Background. Theory and Applications. Problems. Possible Critique. Conclusion . Diversification is key to risk management. Asset allocation most important single decision. Using Markowitz Principles. Step 1: Identify optimal risk-return combinations using the Markowitz analysis . Ron Wilkins, FCAS, MAAA. Vice President and Corporate Actuarial Manager. March 20, 2012. The following presentation is for general information, education and discussion purposes only, in connection with the Casualty Actuarial Society. By. Cheng Few Lee. Joseph . Finnerty. John Lee. Alice C Lee. Donald . Wort. Chapter Outline. 9.1 A GRAPHICAL APPROACH TO THE DERIVATION OF THE CAPM. 9.1.1 The Lending, Borrowing, and Market Portfolios. Bodie, Kane and Marcus. Essentials of Investments . 9. th. Global Edition. . 7. 7.1 The Capital Asset Pricing Model.  . 7.1 The Capital Asset Pricing Model. Assumptions. Markets are competitive, equally profitable. Capital Asset Pricing and Arbitrage Pricing Theory Bodie, Kane and Marcus Essentials of Investments 9 th Global Edition 7 7.1 The Capital Asset Pricing Model   7.1 The Capital Asset Pricing Model in a never firm the cost devise a -Ifadmissible functions are allowed to have piecewise continuous derivativesFor simple cases one can hope to do something through simple trial anderror although the p P.V. . Viswanath. For a First Course in . INvestments. Learning Goals. 2. What are the assumptions of the CAPM?. What are the implications of the CAPM?. What happens if we relax the assumptions of the CAPM?. Module 5.4. Equilibrium risk pricing. Modules 2 and 3 largely followed the work of Markowitz.. Module 4 follows the work of Sharpe. . Sharpe was going after a “holy grail” of finance. He was trying to figure out how to identify over-priced and .