Finance

1. 1
‫القاهرة‬ ‫جامعة‬
‫السياسية‬ ‫والعلوم‬ ‫االقتصاد‬ ‫كلية‬
‫االقتصاد‬ ‫قسم‬

2. 2
Markowitz

3. 3
Objectives
Constraints
1-
2-

4. 4
3-
4-
5-
6-
Security Analysis
1-
Fundamental Analysis
Technical Analysis
Top – Down Approach
Bottom – Up Approach
2-
(Systematic Risk)

5. 5
(Unsystematic Risk)
1-Country Risk
2-Sector Risk
3-Company Risk
Country Risk
‌‫أ‬-
‌‫ب‬-

6. 6
‌‫ج‬-
‌‫د‬-
‌‫ه‬-
‌‫و‬-
Sector Risk
Company Risk
Simple or Naïve Diversification
Not Putting All Eggs in one Basket
Spread The Risk

7. 7
1-
2-
3-
4-
(Income Stocks )

8. 8
(Growth Stocks )
(Value Stocks)
Venture
Capital
Portfolio Analysis
Optimal Portfolio
Dominance
Principle
1-
2-

9. 9
Portfolio Selection
Utility function
1-
2-
Rational
Asset Allocation
The Optimum Mix of Asset Classes
1-
2-
3-
4-
(Aggressive)
(Conservative)

10. 11
‌



11. 11

Performance Evaluation
:
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:
.
.
.

12. 12
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.
:
1
.
2
.
.
.
- 3:
..
.

13. 13
Efficiency
Harry Markwitz
Dominance Principle
1-
2-
Portfolios
Portfolio
Nodominated Assets

14. 14

15. 15
Efficient PortfoliosInvestment Assets
Same Risk Class
Efficient PortfoliosEfficient Set
Efficient Frontier
Opportunity of Feasible Set
Efficient Set Theorem (EST)
1-
2-
Efficient SetEfficient Frontier
(EST)Efficient Set

16. 16
Efficient Set Theorem
Efficient SetEfficient portfolios
Optimal Risky PortfolioRisk Averse

17. 17
Risky Assets

18. 18
Covariance

Same Investment Horizon
Risky Investment
Price Risk
Interest Rate Risk
Reinvestment RateRisk
XX



19. 19
X
Efficient Set

20. 21
‫الرأسمالية‬ ‫األصول‬ ‫تسعير‬ ‫نموذج‬
Efficient Set
Capital Asset Pricing
Model
W.Sharpe
H.MarkwitzeEfficient FrontierEfficient Set
1-
Skewed
CAPM
Central Limit
TheoremSkewed
2-One-period
3-
4-Risk Averse
5-
6-
7-
8-Homogeneous Expectations
9-

21. 21
Perfect
Market Portfolio
Capital Market Line (CML)

22. 22
Risk Averse
Separation Theorem





23. 23




Security Market Line (SML)

24. 24
SML
SML

SML

25. 25
SML
Expected Dividend YieldExpected Capital Gains
Yield

26. 26
Undervalued
Overvalued
Security Market Line (SML)

27. 27



28. 28
‫االستثمار‬ ‫صناديق‬ ‫مفهوم‬





‫االستثمار‬ ‫صناديق‬ ‫وتطور‬ ‫نشأة‬:
Closed-end
The Trust
Open-end
Liyods FirstFonds
Unit
Investment Trust
Mutual FundsOpen Investment
SicavFCP
SicavSicav
SicavFCP
Quantitative

29. 29
‫صن‬ ‫أنواع‬‫االستثمار‬ ‫اديق‬:
Open-End Funds
Closed - End Funds
(OTC)
Income Funds
Blue Chip
Growth Funds

30. 31
Partially Income, Partially Growth
Income Growth
Growth Income
Dual - Purpose Funds or Dual Funds
Income Stocks
Growth StocksCapital Gains
Common Stock Funds

31. 31




Bond Funds




Convertible Bonds
Balanced Funds
Diversified Funds

32. 32
Money Market Funds
OvernightTreasury Notes
Certificates Deposits
Liquidity Risks
Net Asset Value
Guarantee Risks
Indexed Funds
Standard & Poors Index 500FTSE Shares Index 100

33. 33
Insured Funds
Option Theory
Portfolio Insurance
Composite Funds
Funds of Funds
Super Funds
Speculation Funds
Speculation Funds in Future Markets
Hedging Funds
Venture Capital Funds
Islamic Funds

34. 34











35. 35





Management Fees
Performance FeesBenchmark

36. 36

37. 37











1-
2-
3-
4-
5-
6-

38. 38











39. 39
B
RF
= RF
F rf
F
F
R - R
S =

SF
RF
R rf
 F
i(X - X ) 2
n - 1

XiI
X
F rf
F
F
R - R
T =
B
BF
F FM
F
M
*R
B =


F
F
Rrf

40. 41