TITLE PAGE…………………………………………………………………………….1 CONTENTS………………………………………………………………………………2 1. INTRODUCTION………………………………………………………………………..3 2. STOCKHOLDING………………………………………………………………………4 3. HOUSEHOLDS’ FINANCIAL MARKETS OVERVIEW………………………………6 4. MARKOWITZ PORTFOLIO THEORY…………………………………………………7 5. FACTORS THAT DETERMINE STOCKHOLDING DECISION OF HOUSEHOLDS .8 5.1 AGE 5.2 FINANCIAL STATUS 5.3 MARITAL STATUS 5.4 EDUCATION 5.5 GENDER 5.6 CULTURAL VALUES 6. REASONS WHY HOUSEHOLDS PARTICIPATE IN STOCKHOLDING………
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to form the portfolio combined two stocks TLS and ANN. By justifying five years (2005-2010) monthly data in using mean variance method to calculate the expected return (ANN 0.007488‚ TLS -0.004441)‚ standard deviation (ANN 0.076531‚ TLS 0.053729)‚ as well as beta (ANN 0.64‚ TLS 0.31). And then one year (2009) daily data to determine portfolio expected return in using CAPM method. With MV method‚ based on the justification and limitation‚ this report have not choose a optimize portfolio but only choose
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Resume` 3. Statement of Purpose 4. Organization of Portfolio 4. a Learning Observation 4. b The significant Students 4.c “Putting system makes one’s life easy.” 5. Personal Reflection 6. Comments of the Faculty 7. Rubric for the Portfolio 8. Students Self Relating Competency 9. Teachers
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Pikulina Overview From Portfolio Theory to the CAPM Investment Theory The Capital Asset Pricing Model CAPM: Assumptions and Implications The CAPM Equation SML and CML Elena Pikulina Sauder School of Business University of British Columbia Beta and Alpha 1 / 29 General Overview Investment Theory Elena Pikulina Overview From Portfolio Theory to the CAPM CAPM: Assumptions and Implications The CAPM Equation SML and CML Beta and Alpha • In the previous lecture (Portfolio Theory) we studied how
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HEC Paris Financial Markets Spring 2012 Final Exam “Cheat Sheet” 0. Basic Statistics (a) Consider an n-outcome probability space with probabilities p1 ‚ p2 ‚ . . . ‚ pn . Consider two discrete random variables X and Y with outcomes (X1 ‚ X2 ‚ . . . ‚ Xn ) and (Y1 ‚ Y2 ‚ . . . ‚ Yn ). 2 The we have the following formulas for means (µX ‚ µY )‚ variance (σX )‚ standard deviation (σX )‚ covariance (σX‚Y )‚ and correlation (ρX‚Y ) µX = EX = E(X) = p1 X1 + p2 X2 + · · · + pn Xn µY = EY = E(Y ) =
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Prioritizing the IT Project Portfolio Paper Vicky Dugan CMGT/573 09/22/2014 Dion Rettberg Running head: Prioritizing the IT Project Portfolio Paper 1 3 Lila ’s Web design is a fairly new business. Lila has about 45 employees‚ and is in the middle of interviewing for an IT project manager. The Information Technology (IT) project will play an important role in Lila ’s business. The new IT project manager will be looking into getting the Project Portfolio Management (PPM) tools. This tool
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Asset Pricing and Portfolio Analysis 33:390:410:01 Fall 2013 Lectures: M/W 1:40-3:00 BRR 5101 Office Hours: Wednesday s 3:15-4:15 & by appointment Professor Office: BRR 5139 Phone: Email: Please read the syllabus carefully since it presents the philosophy of the course‚ provides a broad outline of the issues‚ and discusses course requirements. Note that you are responsible for reading and understanding all course requirements. Course Description: This course
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to figure out the weights of assets A and B in the market portfolio: E[RA ] − RF E[RB ] − RF = σAM σBM E[RA ] − RF E[RB ] − RF ⇒ = 2 2 wA σA + (1 − wA )σAB wA σAB + (1 − wA )σB 0.021 − 0.02 0.05 − 0.02 ⇒ = . wA × 0.004389 + (1 − wA ) × (−0.00099) wA × (−0.00099) + (1 − wA )0.00594 1 This can be solved to obtain wA = 0.2118 and thus wB = 1 − wA = 0.7882. Expected return and standard deviation of the market portfolio are: E[RM ] = 0.2118 × 0.021 + 0.7882 × 0.05 = 0.04386 =
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Active &Passive Portfolio – Call/Put Options and Futures This report will document the active traded portfolio held from Friday (July 18th‚ 2014) until Monday (August 11th‚ 2014). In this portfolio‚ the two portfolio managers traded call options and put option for the stocks on the S&P 500‚ as well as futures contracts in many different asset classes (commodities‚ currencies‚ indexes and so on). Trades were made at the end of each week and Monday (August 11‚ 2014)‚ resulting in four trading days
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of return (return on government securities) from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. {draw:line} {draw:frame} {draw:frame} Sharpe Ratio = Where rp = Expected portfolio rate of return rf = Risk free rate of return σp = Portfolio standard deviation Since standard deviation is a measure of the associated risk (systematic + unsystematic) of a portfolio‚ it helps to evaluate whether the portfolio’s returns are due to smart investment
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