'Capital market line' presentation slideshows

FINC4101 Investment Analysis

FINC4101 Investment Analysis. Instructor: Dr. Leng Ling Topic: Portfolio Theory II. Learning objectives. Explain the benefit of diversification and identify the source of this benefit. Understand the concepts of covariance and correlation.

1.73k views • 54 slides

Capital Asset Pricing and Arbitrage Pricing Theory

Capital Asset Pricing and Arbitrage Pricing Theory. 7. Bodie, Kane, and Marcus Essentials of Investments, 9 th Edition. 7.1 The Capital Asset Pricing Model. 7.1 The Capital Asset Pricing Model. Assumptions Markets are competitive, equally profitable

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BM410: Investments

BM410: Investments. Capital Asset Pricing Theory and APT or How do you value stocks?. Objectives. A. Review and solve problems using the CAL, MPT, and the Single Index model B. Understand the implications of capital asset pricing theory and the CAPM to compute security risk premiums

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CHAPTER 6

CHAPTER 6. Risk Aversion and Capital Allocation to Risky Assets. Allocation to Risky Assets. Investors will avoid risk unless there is a reward. i.e. Risk Premium should be positive Agents preference (taste) gives the optimal allocation between a risky portfolio and a risk-free asset.

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Portfolio Analysis

Portfolio Analysis. Topic 12 I. Efficient Market Theory (EMT). Efficient Market Theory. Where did EMT come from? What is the Efficient Market Theory? What does it Imply? How can it be tested? What conclusions can we draw about market efficiency?

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Risk and Return: Past and Prologue

Risk and Return: Past and Prologue. 5. Bodie, Kane and Marcus Essentials of Investments 9 th Global Edition. 5.1 Rates of Return. Holding-Period Return (HPR) Rate of return over given investment period HPR= [PS ? PB + CF] / PB PS = Sale price PB = Buy price

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Chapter 9

Chapter 9. Capital Market Theory. Learning Objectives. Explain capital market theory and the Capital Asset Pricing Model (CAPM). Discuss the importance and composition of the market portfolio.

654 views • 34 slides

Capital Market Line

Capital Market Line. Line from RF to L is capital market line (CML) x = risk premium = E(R M ) - RF y = risk = ? M Slope = x/y = [E(R M ) - RF]/ ? M y-intercept = RF. L. M. E(R M ). x. RF. y. ? M. Risk. Capital Market Line.

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Professor John Zietlow MBA 621

Chapter 6. Risk And Return: CAPM And Beyond. Professor John Zietlow MBA 621. Chapter 6: Overview. 6.1 Introduction to Asset-Pricing Models 6.2 Efficient Risky Portfolios The Efficient Frontier with two assets The Efficient Frontier with many assets 6.3 Riskless Borrowing and Lending

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Chapter 6 Risk and Value in the Hospitality Firm

Chapter 6 Risk and Value in the Hospitality Firm. Objectives. Incorporating Risk into the Valuation of a Hospitality Asset Measuring the Characteristics of Return and Cash Flow Distributions Attitudes Toward Risk and Return

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Financial Analysis, Planning and Forecasting Theory and Application

Financial Analysis, Planning and Forecasting Theory and Application. Chapter 8 . Risk and Return Trade-off Analysis. By Alice C. Lee San Francisco State University John C. Lee J.P. Morgan Chase Cheng F. Lee Rutgers University. Outline. 8.1 Introduction

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Capital Asset Pricing Model

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Chapter 9

Chapter 9. The Capital Asset Pricing Model. Capital Asset Pricing Model (CAPM). Equilibrium model that underlies all modern financial theory Derived using principles of diversification with simplified assumptions

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CHAPTER NINE

CHAPTER NINE. THE CAPITAL ASSET PRICING MODEL. THE CAPM ASSUMPTIONS. NORMATIVE ASSUMPTIONS expected returns and standard deviation cover a one-period investor horizon nonsatiation risk averse investors assets are infinitely divisible risk free asset exists no taxes nor transaction costs.

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CHAPTER TEN

CHAPTER TEN. THE CAPITAL ASSET PRICING MODEL. THE CAPM ASSUMPTIONS. NORMATIVE ASSUMPTIONS expected returns and standard deviation cover a one-period investor horizon nonsatiation risk averse investors assets are infinitely divisible risk free asset exists no taxes nor transaction costs.

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Week 8: Portfolio Theory

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Capital Asset Pricing Model Part 2: The Empirics

Capital Asset Pricing Model Part 2: The Empirics. RECAP: Preference. Ingredients 5 Axioms for Expected Utility Theorem Prefer more to less (Greedy) Risk aversion Assets jointly normally distributed. Expected Return E(R p ). Increasing Utility. Standard Deviation ? (R p ).

481 views • 18 slides

Chapter 7

Chapter 7. Portfolio Theory and Other Asset Pricing Models. Topics in Chapter. Portfolio Theory Capital Asset Pricing Model (CAPM) Capital Market Line (CML) Security Market Line (SML). Efficient Set. Expected Portfolio Return, r p. Feasible Set. Risk, ? p.

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