'Minimum variance portfolio' presentation slideshows

Optimal Risky Portfolios- Asset Allocations

Optimal Risky Portfolios- Asset Allocations. BKM Ch 7. Asset Allocation. Idea from bank account to diversified portfolio principles are the same for any number of stocks Discussion A. bonds and stocks B. bills, bonds and stocks C. any number of risky assets.

957 views • 79 slides

CHAPTER 7&8

CHAPTER 7&8. Optimal portfolios and index model. Diversification and Portfolio Risk. Suppose your portfolio has only 1 stock, how many sources of risk can affect your portfolio? Uncertainty at the market level Uncertainty at the firm level Market risk Systematic or Nondiversifiable

670 views • 54 slides

Chapter 11

Chapter 11. Diversification and Risky Asset Allocation. Learning Objectives. 1. How to calculate expected returns and variances for a security. 2. How to calculate expected returns and variances for a portfolio. 3. The importance of portfolio diversification.

755 views • 47 slides

Fi8000 Capital Allocation and Efficient Portfolios

Fi8000 Capital Allocation and Efficient Portfolios. Milind Shrikhande. Today. Portfolio Theory The Mean-Variance Criterion The Normal Distribution Capital Allocation The Mathematics of Portfolio Theory. The Mean-Variance Criterion (M-V or ? - ? criterion).

595 views • 38 slides

Chapter 6

Chapter 6. Portfolio Selection. Chapter Summary. Objective:To present the basics of modern portfolio selection process Capital allocation decision Two-security portfolios and extensions The Markowitz portfolio selection model. Allocating Capital Between Risky & Risk Free Assets.

517 views • 38 slides

Asset Allocation

Asset Allocation. Week 4. Asset Allocation: The Fundamental Question. How do you allocate your assets amongst different assets? Traditionally, we divide the discussion here into two parts: A. The allocation between riskfree and a portfolio of risky assets.

813 views • 36 slides

CHAPTER 7

CHAPTER 7. Optimal Risky Portfolios. The Investment Decision. Top-down process with 3 steps: Capital allocation between the risky portfolio and risk-free asset Asset allocation across broad asset classes Security selection of individual assets within each asset class.

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Chapter 6 The Mathematics of Diversification

Chapter 6 The Mathematics of Diversification. O! This learning, what a thing it is! - William Shakespeare. Outline. Introduction Linear combinations Single-index model Multi-index model. Introduction. The reason for portfolio theory mathematics:

548 views • 32 slides

Austrian Working Group on Banking and Finance (AWG) 23. Workshop (12. - 13. 12. 2008)

Austrian Working Group on Banking and Finance (AWG) 23. Workshop (12. - 13. 12. 2008) Vienna University of Technology. Mean-Variance Asset Pricing after Variable Taxes. Christian Fahrbach christian.fahrbach@web.de Vienna University of Technology. Contents. 1 Initial question

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Investment Analysis and Portfolio Management

Investment Analysis and Portfolio Management. Lecture 4 Gareth Myles. Efficiency. An efficient investor will choose the portfolio with the maximum return for a given level of risk Or the minimum risk for a given return Any other choice is inefficient

863 views • 26 slides

Optimal risky portfolio

Optimal risky portfolio. Chapter 6. Optimal Risky Portfolio. The capital allocation decision revisited: portfolio of two risky assets Extension to the N-asset case Applications and practical issues. Idea of Diversification. Notations. P: risky portfolio F: risk-free asset

766 views • 25 slides

Chapter 5

Chapter 5. Finding the Efficient Set. Efficient set. Attainable Portfolios. In the last chapter we identified the risk return relationships between different portfolios. This chapter is designed to determine which portfolio is best Attainable portfolios (all possible combinations)

439 views • 25 slides

Marina Tkalec Institute of Economics, Zagreb

The determinants of deposit euroization in European post-transition countries: evidence from threshold VAR. Marina Tkalec Institute of Economics, Zagreb. Content. Financial euroization Contribution Data and methodology Results Policy recommendations. Financial euroization. Contribution.

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Class Business

Class Business. Debate #2 Upcoming Groupwork Spreadsheet. Covariance: From Probability model. Cov[r 1 ,r 2 ] =E[(r 1 -E[r 1 ]) (r 2 -E[r 2 ])] Steps: Find expected return for each asset Find deviations from mean for each asset in each state. Take product of deviations

362 views • 21 slides

Optimal Risky Portfolios

Optimal Risky Portfolios. Objective. Objective - finding the optimal risky portfolio Start with two risky assets find portfolios with lowest possible risk, given a set of assets find the tangency portfolio based on the set of risky assets and the risk-free asset

371 views • 17 slides

Chapter 3 Delineating Efficient Portfolios

Chapter 3 Delineating Efficient Portfolios. Jordan Eimer Danielle Ko Raegen Richard Jon Greenwald. Goal. Examine attributes of combinations of two risky assets Analysis of two or more is very similar This will allow us to delineate the preferred portfolio THE EFFICIENT FRONTIER!!!!.

628 views • 16 slides

Portfolio Management

Portfolio Management. Grenoble Ecole de Management MSc Finance Fall 2009. Risk is not a vague concept. The convention is to define risk as the variance of returns. with. Risk is not a vague concept.

266 views • 15 slides

Chapter 6

Chapter 6. Efficient Diversification. In previous chapters, we have calculated returns on various investments. In chapter 5, we used the standard deviation of returns as a measure of total risk. Now, we look at what happens to returns and risk when assets are combined into portfolios .

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Chapter 8 The Gain From Portfolio Diversification

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Summary to Date

Summary to Date. Investing is about measuring and understanding the risk/return relationship Risk Measured through the use of standard deviation Controlled through diversification The Capital Allocation Line The Sharpe Ratio (reward to volatility) The mean-variance criterion

95 views • 4 slides