FIN 6310 Case Studies Purchase Case Studies (4) • Ivey Case Studies (2) o You will need to create an account at http://cases.ivey.uwo.ca o Then search for and put the following two cases in your cart. Download the spreadsheets. o Burgundy Asset Management: The Wescast Investment Decision o Burgundy Asset Management: …. Spreadsheet o Valuing Wal-mart 2010 o Valuing Wal-mart 2010 – Spreadsheet for students o Checkout
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sample-based mean-variance model‚ and its extensions designed to reduce estimation error‚ relative to the naive 1/N portfolio. Of the 14 models we evaluate across seven empirical datasets‚ none is consistently better than the 1/N rule in terms of Sharpe ratio‚ certainty-equivalent return‚ or turnover‚ which indicates that‚ out of sample‚ the gain from optimal diversification is more than offset by estimation error. Based on parameters calibrated to the US equity market‚ our analytical results and
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calculate the following to replace this data: (a) The mean excess return‚ standard deviation‚ and portfolio weights for the minimum variance portfolio. (b) The mean excess return‚ standard deviation‚ and portfolio weights for the optimum (maximum Sharpe ratio) portfolio. (c) The mean excess return‚ standard deviation‚ and portfolio weights for the portfolio with an expected excess return of 0.073. Note: Your results will differ slightly from those in the book because their expected excess returns
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Journal of Money‚ Credit and Banking‚ 9(1)‚ 70-85. Retrieved May 28‚ 2010 from EBSCOHost database Chen‚ Sh. & Dodd‚ J. (2002). Market efficiency‚ CAPM‚ and value-relevance of earnings and EVA: A reply to the comment by professor Paulo 507-512. Retrieved May 28‚ 2010 from EBSCOhost database Chew‚ D Fama‚ E. & French‚ K. (1996). The CAPM is wanted‚ dead or alive. The Journal of Finance‚ 51(5)‚ P Hatfield‚ G. (2002). R&D in an EVA world. Research Technology Management‚ 45(1)‚ 41-47.
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Instructor: Le Phuong Lan‚ MSc Each member’s work and assessment: | Work | 1. Nguyen Thu Ha | Chapter II.4. Evaluation of portfolio management of fund | 2. Nguyen Thu Huong | Chapter I.2 Evaluation methods of portfolio management | 3. Hoang My Linh | Chapter II. Portfolio selectionCollect and edit the assignment | 4. Nguyen Thu Thuy | Chapter I.1. Overview of portfolio management of fundChapter II.1. Overview of HLVFChapter III. Conclusion and Recommendation | 5. Bui Cam Tu (leader)
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BAYER AG A Financial Analysis Executive Summary This paper tries to analyse the financial strength of Bayer AG and the other aspects associated with its capital structure and dividend policy. The organisation has been trying to change its financial structure to a management-driven one. This is evident from the reduction in the share capital of the organisation and the rise of debt capital‚ which it has been using efficiently to reduce its tax burden and control the overall
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returns and risk on stocks. Most of these examine different betas which are defined as risks relative to other variables. For example‚ the capital asset pricing model (CAPM) examines the risk relative to the market portfolio‚ (Treynor (1962)‚ Sharpe (1964)‚ Lintner (1965) and Mossin (1966)). An important alternative‚ the consumption-based CAPM (CCAPM) proposed by Breeden (1979) examined the covariance between returns and consumption. Later‚ Fama-French Three Factor Model (Fama and French (1992)) added two
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transaction cost. Accepting the ideas of efficient market hypothesis and based on the collective effort of Sharpe‚ Treynor‚ Lintner‚ and Mossin (see Perold‚ 2004)‚ Capital Asset Pricing Model (CAPM) was developed in 1960s as a modified form of Sharpe Ratio in evaluating financial assets returns and prices versus risks in the form of: E (ri) = rf + ¦Âi [ E(rm) ¨Crf ] . From the CAPM model‚ Jensen (1968) derive his risk-adjusted measure of portfolio performance (now known as "Jensen ’s Alpha")
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1. What is Zeus’s investment philosophy? Zeus’s investment philosophy is based on the belief that superior investment results can be achieved over many years by following a conservative‚ risk-averse‚ quality-oriented approach to investment management. In other words‚ the firm uses active approach to investment management‚ which means the primary job of portfolio managers is to deliver the best possible performance relative to the benchmark’s performance working within the risk and other constraints
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regression of CAPM‚ 3-factor‚ 4-factor and 5- factor models are: Variable Names Description MF1_RF Returns of the mutual fund 1 MF2_RF Returns of the mutual fund 2 RM Market Index RF Risk free rate RM_RF CRSP index 1-month T-Bill SMB Small (market capitalization) minus big factor HML High (book-to-market ratio) minus low factor MOM Momentum factor TRADEDLIQ Traded liquidity factor Car hart‚ Mark M. employed two models of performance measurement: CAPM and 4-factor
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