1: “Foundations of Portfolio Theory” by. H.M. Markowitz (1991) Foundations of Portfolio Theory by H.M. Markowitz is based on a two part lesson of microeconomics of capital markets. Part one being that taught by Markowitz‚ which is solely geared toward portfolio theory and how an optimizing investor would behave‚ whereas part two focuses on the Capital Asset Pricing Model (CAPM) which is the work done by Sharpe and Lintner. In this article Markowitz speaks strictly on portfolio theory. He states
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Dr Charalampos Stasinakis The purpose of this paper is to examine the relevance from the modern portfolio theory to the global investment market. Some of the questions that related to the use of techniques about the portfolio theory and it’s relation to risk and return will be discussed in terms of solving the complexity of the portfolio problems faced by investor and how to make a decision based on the investment analysis. By choosing 5 random company’s stocks for
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FINA 411 Portfolio Management Winter 2015 Section D Instructor Dr. Yuan Wang Office MB 12-317 Phone (514) 848-2424 ext. 2913 E-mail yuan.wang@concordia.ca Office Hours Tuesday 14:30-16:30 (or by appointment) Class Time: Tuesday 08:45-11:30 OBJECTIVE: This course focuses on modern investment theory and its application to the management of entire portfolios. It will consist of lectures‚ discussions of cases and articles‚ and video presentations. Topics include: a) construction of optimal
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CAPM 6 CAPM’s application 6 Steps in practice 6 Part B - Actively managed investment Problem defined 10 Solution: Black – Litterman Model 11 Application for Dow Jones Plus Fund 12 Review on the Portfolio 13 Conclusion 14 Part C – Portfolio performance and Style analysis Portfolio performance Sharpe’s Measure 16 Treynor’s Measure 16 Jensen’s Measure 17 M2 Measurement 17 Style analysis Style analysis 18 Benchmark indices 18 Fund’s return 19 Conclusion 19 Reference
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Notes: Active Portfolio Management By Zhipeng Yan Active Portfolio Management By Richard C. Grinold and Ronald N. Kahn Part I Foundations......................................................................................................... 2 Chapter 1 Introduction..................................................................................................... 2 Chapter 2 Consensus Expected Returns: The CAPM ..................................................... 3 Chapter 3 Risk .
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Portfolio construction models The project that we have done based on the Markowitz and Sharp methodologies that allow investors to build an efficient portfolio. An efficient portfolio is defined as the portfolio that maximizes the expected return for a given amount of risk (standard deviation)‚ or the portfolio that minimizes the risk subject to a given expected return. Markowitz method determines the asset allocation that produces the highest expected return for each unit of risk. The calculation
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Assignment No 6 Diversification in Stock Portfolios Introduction Diversification is one of the key components of a successful investment portfolio. Almost all experts advise the avoidance of concentrating all of your investments in one type. However‚ many investors forget about diversification once they see a financially attractive stock and concentrate all of their assets in it. Other investors make a similar mistake and being influenced by their
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development of a quantitative method that takes the diversification benefits of portfolio allocation into account. Modern portfolio theory is the result of his work on portfolio optimization. Ideally‚ in a mean-variance optimization model‚ the complete investment opportunity set‚ i.e. all assets‚ should be considered simultaneously. However‚ in practice‚ most investors distinguish between different asset classes within their portfolio-allocation frameworks. In our analysis‚ we view the process of asset allocation
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Portfolio Performance evaluation & Analysis Portfolio Management(F-407) Submitted to: Pallabi Siddiqua Assistant Professor Department of Finance Faculty of Business Studies University of Dhaka Submitted by: Gazi Afsana Roll: 15-252 4th year 2nd Semester Department of Finance Faculty of Business Studies University of Dhaka Date of submission: January 13‚ 2013. Letter of transmittal Date Mrs. Pollobi siddiqua Lecturer‚ Department Of Finance‚ University
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A PROJECT REPORT ON EQUITIES AND PORTFOLIO MANAGEMENT Submitted in the partial fulfillment for the award of the degree of MASTER OF BUSINESS ADMINISTRATION BY A.INDU ROLL NO: 0640-60-121 Under the guidance of Mr.Mahender [pic] BHAVAN’S VIVEKANANDA COLLEGE Sainikpuri‚ Secunderabad (AFFILAITED TO OSMANIA UNIVERSITY) 2006-2008 DECLARATION I hereby declare that this Project Report titled EQUITIES AND PORTFOLIO MANAGEMENT submitted by me to the Department of Business
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