Security market line

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Based on Sharpe paper

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Security market line

  1. 1. Presented By PARTHA SEN<br />
  2. 2. Markwitz 1952<br />Tobin 1958<br />Hicks 1962<br />Hirshliefer 1963<br />Sharpe 1964<br />Treynor -<br />Tanθ= Δreturn/ Δrisk<br />P=ert<br />E(return)<br />
  3. 3. Individual Views<br />Investment is probabilistic<br />R ~ N (μ, σ2)<br />U = f(Ew, σw)<br />dU/dEw>0<br />dU/dσw<0<br />IOC<br />
  4. 4. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 2<br />
  5. 5. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 3<br />
  6. 6. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 4<br />
  7. 7. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 5<br />
  8. 8. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 6<br />
  9. 9. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 7<br />
  10. 10. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 8<br />
  11. 11. Figure 2<br />Figure 3<br />Figure 4<br />Figure 5<br />Figure 6<br />Figure 7<br />Figure 8<br />Figure 9<br />Figure 9<br />

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