Fins 2624

Fins 2624
Cheryl Mew
FINS2624 – Portfolio Management
Semester 1, 2011
LECTURE 1 – BOND PRICING
WHAT IS A BOND?
A bond is a claim on some fixed future cash flows. A commonwealth government bond (CGB) is a
bond which pays semi–annual coupons, in which the maturity date/ coupon payment date is on the
15th of every month. A zero coupon bond is a bond with no coupons. The important information of a
bond: 1. 2. 3. 4. 5. 6. 1. 2. Transaction date: T Settlement date:T+2 Coupon payment dates Maturity
date YTM Coupon rate Cum–interest or Ex–interest? If ex–interest If> 7 days to the next coupon
payment–––––> cum–interest
YIELD TO MATURITY
The Yield to Maturity (YTM) of a bond is:   Interest rate that makes the present value of the
bond's ... Show more content on Helpwriting.net ...
Hence, the market price = Padj
Padj = �� – ��. 1 − ��
3
Cheryl Mew
FINS2624 – Portfolio Management
Semester 1, 2011
LECTURE 2 – TERM STRUCTURE OF INTEREST RATES
YTM AND HPR
Yield to maturity (YTM) reflects the return required and set by the market on the assumption that
the bond is held to maturity. In equilibrium, it is also the return that investors can expect to earn over
the life of the bond. Holding Period Return (HPR) is the expected return over a future period, and is

not based on the assumption that the bond is held to maturity. SIMILARITIES    Both
expressed as annualised returns (not effective rates) Use the settlement price as cost base Total
returns accounting for both the coupon interest component and the capital gain/loss component
DIFFERENCES    YTM is observed and set by the market, HRP is not YTM assumes that
coupon interests are all invested at the same rate as quoted YTM, HPR allows for different
reinvestment interest rates received at different times YTM assumes that bond is held to maturity,
HPR assumes that bond is to be sold before maturity
CALCULATING HPR HRP is used for comparing the expected return among alternate investments
over the same predetermined holding period. However, to accomplish this task, future interest rates
for different lengths are required.
P0(1 +
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Modern Portfolio Theory
MBA
Corporate Finance II
Final Paper
Table of Contents
1. Title Page pg. 1
2. Table of Contents pg. 2
3. Introduction/ Executive Summary pg. 3
4. Modern Portfolio Theory pg. 3
5. Portfolio Management pg. 4
6. Controlling the Risk pg. 5
7. Diversification pg. 6
8. CAPM pg. 7
9. Beta: Advantages and Disadvantages pg. 8
10. Options pg. 10
11. Hedging pg. 11
12. Net Present Value (NPV) pg. 12
13. Technical Indicators: pg. 14

14. Efficiency Frontier pg. 15
14. Conclusion pg. 16
15. Bibliography pg. 18
16. Bonus Assignment– Investing Websites ... Show more content on Helpwriting.net ...
So in different types of situation we will get different types of return depending on which type of
investment it is and what the economic situation is at the time (www.xpresstrade.com).
Portfolio Management:
By selecting securities that have little relationship with each other, an investor is able to reduce
relevant risk. Ideally, one would combine their securities in a way that will reduce relevant risk,
such as diversification, to optimally manage their portfolio. The decision to invest excess cash in
marketable securities involves not only the amount to invest but also the type of securities to invest.
To some extent, the two decisions are interdependent. Both should be based on an evaluation of
expected net cash flows and the uncertainty associated with these cash flows. In future cash flow
patterns are known with reasonable certainty and the yield curve is upward sloping in the sense of
long–term securities yielding more than shorter–term ones, a company may wish to arrange its
portfolio so that securities will mature approximately when the funds will be needed. Such a cash–
flow pattern gives the firm a great deal of flexibility in maximizing the average return on the entire
portfolio, for it is unlikely that significant amounts of securities will have to be sold unexpectedly.
Controlling the risk
The simple and timeless definition of risk is the chance of suffering a loss. Portfolio management is
largely about managing risk. All

Portfolio Integrative Essay : Portfolio
Portfolio Integrative Essay & Summative Evaluation.
Kendra Andersson
Simpson University
CP6410– Seminar and Capstone
Patsy Shealy, PhD, LMFT
July 24, 2015
Portfolio Integrative Essay & Summative Evaluation. In this final essay for the Portfolio Capstone
Project, I will demonstrate my ability to integrate the knowledge and skills I have acquired during
this program. This writing will include a brief written demonstration of each competencies using
preselected prompts. The following are the areas of competency that will be addressed: Theory,
Human Development, Assessment, Clinical Skills, Ethics, Research, Clinical Application and
Integration. Theory will be discussed by reviewing Structural Family therapy and Cognitive
Behavioral Couple Therapy and comparing and contrasting them. Human Development
competencies will be displayed in a summary of Japanese culture and a comparison to the
stereotypes of elders in the U.S. Assessment will demonstrated by reviewing the Minnesota
Multiphasic Personality Inventory and Clinical Skills will be demonstrated discussing the concept of
"self of the therapist". Ethics will be demonstrated through reviewing major philosophies and
integrated with the CAMFT (2011) code of ethics. Research competencies will be demonstrated
through discussing the process of applying research clinically. Lastly an application of all areas will
be applied to an assigned case vignette to demonstrate clinical skills of scholarly application.
Theory

Theory Of Harry Markowitz And The Portfolio Selection Process
Harry Markowitz is highly esteemed as a pioneer in theoretical justification of investor's behavior
and development of optimization model for portfolio selection process. In 1990, Markowitz received
a Nobel Prize for his contributions to financial economics and corporate finance, the first time
presented in his "Portfolio Selection" (1952) and more extensively in his monography "Portfolio
Selection: Efficient Diversification" (1959). His seminal works form the foundation of the Modern
Portfolio Theory (MPT). Markowitz' ideas ware later substantially expanded by his Nobel Prize co–
winner, William Sharpe, who is generally recognized for his Capital Asset Pricing Model (CAPM)
concerning with financial asset price formation.
In the paper "Portfolio selection theory" Markowitz characterizes the Mean–Variance model as both
normative theory, which offers a standard or norm of behavior that investors should pursue in
constructing a portfolio, and positive hypothesis, ... Show more content on Helpwriting.net ...
In general, risk measure should assess the probability, essence, and intensity of a deviation from the
expected value of return. Nevertheless, Markowitz portfolio selection theory states that the risk of
each asset in isolation is not crucial, but the contribution of each asset to the risk of the portfolio is
decisive. In context of a portfolio, the total risk of a security can be divided into two basic
components: systematic risk (also known as market risk or common risk) and unsystematic risk
(also known as diversifiable risk). Although, since the returns on different assets are correlated to at
least some degree, unsystematic risk can never be completely eliminated regardless of how many
types of assets are aggregated in a portfolio, it can be significantly diminished by the diversification
of securities within a

Portfolio Management
ABSTRACT
The project is based on analyzing the 40 scrip's and preparing a portfolio of 20 scrip's and evaluates
the performance of portfolio for the next one year. The sample size is 40 companies stocks. The
company stocks are chosen based on their nature 1) Aggressive in nature (β>1).2) Conservative
in nature (β<1) and 3).Balanced in nature (β=1).The portfolio performance is compared with
various mutual funds and with market to pullout or adds some companies according to their
performances. The virtual money investing in the portfolio is 100 Crores.
CERTIFICATE
ACKNOWLEDGEMT
I express my sincere thanks to my college, AURORA'S BUSINESS SCHOOL for giving me this
opportunity to work in one of the leading organizations in ... Show more content on Helpwriting.net
...
By 1830 's business on corporate stocks and shares in Bank and Cotton presses took place in
Bombay. Though the trading list was broader in 1839, there were only half a dozen brokers
recognized by banks and merchants during 1840 and 1850. The 1850 's witnessed a rapid
development of commercial enterprise and brokerage business attracted many men into the field and
by 1860 the number of brokers increased into 60.
In 1860–61 the American Civil War broke out and cotton supply from United States of Europe was
stopped; thus, the 'Share Mania ' in India begun. The number of brokers increased to about 200 to
250.
However, at the end of the American Civil War, in 1865, a disastrous slump began (for example,
Bank of Bombay Share which had touched Rs 2850 could only be sold at Rs. 87). At the end of the
American Civil War, the brokers who thrived out of Civil War in 1874, found a place in a street
(now appropriately called as Dalal Street) where they would conveniently assemble and transact
business. In 1887, they formally established in Bombay, the "Native Share and Stock Brokers '
Association" (which is alternatively known as "The Stock Exchange "). In 1895, the Stock Exchange
acquired a premise in the same street and it was inaugurated in 1899. Thus, the Stock Exchange at
Bombay was consolidated.
Growth pattern of Indian stock market:

Company

The Importance Of A Professional Portfolio Managers
Emotional Knowledge is Key to Investment Success
Understanding emotions and how we process information to make decisions is vital to investment
success. This is true whether you manage your own portfolio or whether you have hired a
professional portfolio manager to handle the task. The sad reality is that most professional money
managers don't understand that their emotional judgements are likely harmful to portfolio
performance. Professional money managers are at the mercy of the investor's behavioral biases
without even realizing it. For example, if a professional money manager believes in investing for the
long–term knowing that he will suffer from underperformance from time to time, he may not realize
it but when he begins to ... Show more content on Helpwriting.net ...
These are automatic and we generally have no control over them. System 1 is what gets us in trouble
when we are making investment decision based on probability. System 1 can also be learned skills
such as mathematics. When I ask you what 2 + 2 equals you likely did not hesitate one instant. It
was automatic and effortless. System 2 requires attention and effort. When I ask you what 23 x 56
equals you first hesitate then begin to work through the problem. It requires you to draw on skills
you do not use every day. System 1 is generally good at making decisions based on initial reactions
however it is biased and has little understanding of logic or statistics. Both systems fight for our
attention and we generally allow system 1 to overpower system 2 since we know system 2 is lazy.
Here is an example of the laziness of system 2 from the book, "Thinking Fast and Slow", by Daniel
Kahneman.
A bat and ball cost $1.10
The bat costs one dollar more than the ball.
How much does the ball cost?
The first number that comes to your mind is from system 1. I am guessing that most people have
guessed $0.10, which is wrong. Now that I have told you that it is wrong you system 2 will kick in
to try and figure out the true answer. The true answer is $0.05. If the bat costs one dollar more than
the ball it will cost $1.05 and the ball will

Markowitz Portfolio Optimization
Report Introduction Markowitz (1952, 1956) pioneered the 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 as a four–step
exercise like Bodie, Kane and Marcus (2005). It consists of choosing the asset classes under
consideration, moving forward to establishing capital market ... Show more content on
Helpwriting.net ...
Would you please explain (using the set of results for 3.5% risk free rate)? This entails an analysis of
the economic conditions for different periods. The most important insight we get is that in a
diversified portfolio, the contribution to portfolio risk of a particular security will depend on the
covariance of that security's return with those of other securities. If you see the correlation matrix
for the 2 sub periods, we can see that the economic–wide risk factors have imparted positive
correlations among the stock returns for Sub Period 2 (03 – 10). This was the time of economic
crisis (08–10) and since most of the risk was economic, the optimal portfolio incorporates less risky
assets. While the sub period 1 (95 – 03) went through a healthy growth period, had mostly firm
specific risk and lesser economic risk. c) The CIO wants to propose investment limits on certain
asset classes to the IPC for consideration, but the CIO may not be aware of the likely impact on the
performance of the Fund. Since you have run some analysis above based on the proposed limits,
present your analysis and make a recommendation regarding investment limits for the historical
arithmetic average (target) return and the 6% p.a. target return. The fundamental concept behind
MPT is that the assets in an investment portfolio should not be selected individually, each on their
own merits. Rather, it is important to consider how each asset changes

Performance and Risk Indicators of Two Mutual Fund Managers
This study aims to conduct a comprehensive analysis on the performance and risk indicators of two
mutual fund managers. After transforming the returns of the mutual funds into the same data–scale
with the other variables, we employ a statistically rigorous factor analysis procedure to identify the
risk–adjusted performance of each mutual fund. Then, we apply Chow(1960) tests to investigate
possible investment strategy similarities and potential structural breakpoints.
2. Modelling and Analysis The first model used to evaluate risk–adjusted fund performance was
based on the work by Sharpe–Lintner–Treynor– Mossin on the Capital Asset Pricing Model.
Using OLS we estimate: Based on these results we could argue that the mutual funds do not follow
the market closely, but both Managers over–perform the index. Furthermore, in order to test whether
or not we have viable explanatory coefficients, a t–testing procedure was followed(Table 2). Using a
5% significance level, all coefficients except the market beta of Mutual Fund 1 are statistically
significant. The low R2 in both mutual funds implies that their returns are less well explained by the
Benchmark's movements. However, Titman and Tiu(2011) suggest that low R–squares likely
indicate more active management; either departing from a Benchmark or focusing on stocks with
larger fractions of variance attributed to firm–specific information. In order to compare both
Managers' performance, Kothari and Warner(1998)

Strategic Asset Allocation: Determining the Optimal...
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Niels Bekkers Mars The Netherlands
Ronald Q. Doeswijk* Robeco The Netherlands
Trevin W. Lam Rabobank The Netherlands
October 2009
Abstract
This study explores which asset classes add value to a traditional portfolio of stocks, bonds and
cash. Next, we determine the optimal weights of all asset classes in the optimal portfolio. This study
adds to the literature by distinguishing ten different investment categories simultaneously in a
mean–variance analysis as well as a market portfolio approach. We also demonstrate how to
combine these two methods. Our results suggest that real estate, commodities and high yield add
most value to the ... Show more content on Helpwriting.net ...
In the remainder of this study we conduct an empirical and literature analysis to establish long–run
capital market expectations for each asset class, which we subsequently use in a mean–variance
analysis. Then, we provide an assessment of the global market portfolio. Finally, we show how the
mean–variance and market portfolio approaches can be combined to determine optimal portfolios.
1
Electronic copy available at: http://ssrn.com/abstract=1368689
2 Methodology and data
Methodology Markowitz (1952, 1956) pioneered the 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. This two–stage model is generally applied by institutional investors,
resulting in a top–down allocation strategy.

In the first part of our analysis, we view the process of asset allocation as a four–step exercise like
Bodie, Kane and Marcus (2005). It consists of choosing the asset classes under consideration,
moving forward to establishing capital market expectations, followed by deriving

The Pros And Cons Of Portfolio Theory
During the interviews, it was understood that Portfolio Theory is difficult to apply to loaning
administration. A bank is required to have a flexible credit evaluating process to capture the
individuality of each loan. These differences depend on the size of the loan and the different clients'
risks. This makes it difficult to apply loan portfolio diversification compared to a portfolio of bonds
or stocks. Nevertheless, more than the fixed principles banks seem to follow the intuition behind it
not to expose themselves more than a limit.
The banks seem to assume that a well–diversified loan portfolio will happen on its own as long as it
covers the strategically important regions. The banks have not focused in on a certain industry or
geographical area historically, all the banks seem to rely on their size when it comes to having a
well–diversified loan portfolio. They also maintain the individual ... Show more content on
Helpwriting.net ...
The respondents for this exercise have immense amount of knowledge in the lending context, with
their experience ranging from departments of Credit Risk assessment to loan resolution processing
unit. The designed qualitative method of research in this project probes the respondents as much as
possible. This is done through the design of questions containing only the theoretical framework. It
accurately reflects the complication prevalent in the lending industry and there is possibility that the
respondent will give answer that will try to be succinct and to the point. In the current study, attempt
was made to eliminate as much bias from the pre–interview background theory portion by sending
the respondents the set of questions in advance. Furthermore, both positive and negative arguments
concerning loan portfolio diversification were put across to make sure the respondents are
supportive as well as critical of the firm policies and

American Stock Exchange Diversification Essay
"In investing what is comfortable is rarely profitable," Robert Arnott, famous entrepreneur. Robert
Arnott meant that you have to step out of your comfort zone and diversify our portfolio to succeed
in the stock market, in other words diversification. Diversification is one of the most important
strategies to use in the stock exchange, and since diversification is one of the key concepts you need
to understand and utilize in today's stock exchange, you will need to learn why you use it, how I
used it, and the disadvantages and the advantages of diversification. Diversification is severely
meaningful in the American Stock Exchange, and you need to know what it is, why you use it, and
how you use it. Diversification is a management technique that you use to give your stock portfolio
variety. This technique involves investing in different companies that don't go along in the same
category. By investing in different assets you are reducing your overall risk of damaging your
portfolio. By investing in a variety of industries the risk of financial loss decreases. Instead of
investing in multiple companies within the same industry such as the medical industries, you would
choose several different industries to spread out the risk.You use diversification by choosing
different stocks to buy that don't fall into the same category. This strategy will help you when you ...
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The ways I used diversification in my portfolio will most likely help you in yours! Diversification
has barely any disadvantages, that will be completely unnoticeable when you start making your
money. Since diversification has so many advantages why don't you start using it to get started on
your stock market career. Without a doubt, diversification will help you achieve your goals in the
stock market along with the millions of other people that use it as

Comparing The Individual Holdings Of My 10 Stocks With The...
1. Comparing the individual holdings of my 10 stocks with the portfolio as a whole, either strategy
would yield me positive returns. However, diversification is shown to be not as successful, as there
are more unwanted factors. Three of my individual holdings (FIX, UNH, and HUBG) were shown
to have large standard deviations, in both monthly and annually, which means that all three stocks
have high historical volatilities, and are much riskier when bought individually compared to
diversified portfolio. However, average monthly and annual returns of all individual stocks, with the
exception of Ethan Allen Interiors Inc. (ETH), are shown to be higher than the average returns for
the portfolio as a whole, meaning if I were to invest individually in the stocks, I would most likely
yield a much greater return. Also, looking at the coefficient of Variance (CV), the portfolio appeared
to have a much higher CV than each individual stock, suggesting higher risk per return. Due to these
factors mentioned, I feel that the portfolio is better to be hold individually as 9 out of 10 stocks show
high numbers of returns.
Note: Due to the negative return for Ethan Allen Interiors Inc. (ETH) stock, CV for this holding is
negative, thus should be ruled out as this could be a misleading indicator.
2. Tracking error (active return) is the difference between portfolio and the benchmark (in our case,
S&P500). It is calculated by subtracting the average return on benchmark (S&P500) to the

Portfolio Theory Essay example
"The Benefits of diversification are clear. Portfolio theory has played a crucial role in explaining the
relationship between risk and return where more than one investment is held. It also enables us to
identify optimal and efficient portfolios." With Reference to this statement, describe, discuss and
illustrate the principles of portfolio theory. Your essay should include coverage of the Markowitz
Efficient Frontier and the Capital Market Line. Declaration: I confirm that this submission is my
own work. Vinita Java Introduction: An investor would invest in a security for the return. However
that return comes with a premium, the Risk. The higher the risk an investor is willing to take the
higher the returns would ... Show more content on Helpwriting.net ...
He suggested that investors should choose portfolios and not individual shares.
(http://www.riskglossary.com/link/portfolio_theory.htm). Portfolio Theory: Markowitz contribution
showed that the benefits of diversification depend not just on risking individual assets but also on
how the asset returns interact with each other, or the correlation between returns. E.g. A combination
of investments in Umbrellas and Ice Creams will eliminate the risk of one another, i.e., the low
returns from ice creams in rainy season will be compensated by the umbrella sales. High returns in
one industry, in this case, always offset low returns in the other to give a positive return with
certainty because returns on the two assets are inversely correlated. Risk of a portfolio (combination
of shares) depends on the correlation between the expected return of every pair of shares in a
portfolio. Correlation varies between +1 and –1. Thus a perfectly positively correlated portfolio
would mean a +1 and a negatively correlated portfolio would mean –1. In a positively correlated
portfolio the expected return would move in the same direction in the same proportion at all times,
however in a negatively correlated portfolio the returns would move in the opposite direction (J
Ogilvie & B Koch 2002). A change in any of the variables (proportions of the

Self Starter, A Successful Track Record Of Project Managing
Self–starter, with a successful track record of project managing, product launches and creating
product collateral from conception to completion
Client centered– possess excellent interpersonal skills and able to establish and maintain effective,
cooperative working relationships with many departments and organizational levels
Experience working with investment advisors, portfolio managers and institutional investors
Proficient in widely–used financial software including the CPMS suite of products, PALTrak,
Advisor Workstation, Portfolio Builder, Hypothetical Illustrator, Bloomberg, and Morningstar Direct
Creative in the ability to create compelling new sales ideas and to suggest improvement ideas
Excel in the ability to communicate clearly and effectively complex and nuanced investment
subjects; distill large amounts of information into persuasive, easy –to –understand formats
Detail oriented with strong critical and analytical skills. Proven ability to drive to set targets, ant to
exceed standards and expectations
2013– Present Product Manager, Sentry Investments
Assist 2 leading portfolio managers and handle a suite of 13 products, including 8 retail mutual
funds, 3 SMA man–dates and 2 sub–advised funds under the Sun Life brand that total about $12
billion of Sentry's total AUM.
Responsible for institutional reporting on our SMA mandate and several of Sun Life funds under the
portfolio man–agers' umbrella
Develop and maintain an in–depth

Case Study : John & Marsha on Portfolio Selection
บทสรุปผู้บริหาร
จากกรณีศึกษา John ต้องทำการตัดสินใจว่า ในพอร์ตการลงทุนที่เขาบริหารจัดการอยู่นั้น ควรซื้อหุ้น
PioneerGypsumหรือGlobal Miningในสัดส่วนเท่าไหร่ จึงจะสามารถได้ผลตอบแทนที่สูงบนพื้นฐาน
ความเสี่ยงที่เหมาะสม ซึ่งแต่เดิม John ไม่ได้ทำการกระจายการลงทุน (Diversified) โดยทำการ
วิเคราะห์จากการคำนวณหา Expected Return, Risk Premium และคำนวณ Standard Deviationเพื่อนำ
ไปคำนวณหา Sharpe Ratio ที่มีอัตราส่วนที่สูงที่สุด ซึ่งอธิบายถึงผลตอบแทนที่ถูกปรับด้วยความเสี่ยง
ที่ดีที่สุด
เมื่อได้ทำการวิเคราะห์และคำนวณ Sharpe Ratio แล้ว พบว่า หุ้นที่เหมาะสมที่จะทำการลงทุนเพิ่ม
ได้แก่ Pioneer Gypsum โดยลงทุนในสัดส่วน 4% จึงทำให้การลงทุนในตลาดเป็น 96% เนื่องจากเป็น
สัดส่วนที่ทำให้Sharpe Ratio มีค่าสูงที่สุด คือ 0.4702 ... Show more content on Helpwriting.net ...
lobal Mining แทนที่ Pioneer ตามที่ Marsha แนะนำ John จะต้องลงทุนอย่างไร เพื่อให้ได้ผลตอบแทน
ที่ปรับกับความเสี่ยงสูงที่สุด หรือ Sharpe ratio สูงที่สุดนั่นเอง โดย Global accounts for .75% index
และ market standard deviation เท่ากับ 16% และ Return ของตลาดเท่ากับ 12.5 โดยมี Risk–free Rate
เท่ากับ 0.05
Solutions
ในการตัดสินใจเลือกหุ้นตัวใดเข้าพอร์ตการลงทุนนั้น เราต้องพิจารณาอัตราส่วนทางการเงินที่สำคัญๆ
เช่น ดัชนีวัดผลการดำเนินงาน การวัดผลตอบแทนจากการลงทุน และค่าความเสี่ยง เป็นต้น ซึ่งตัววัด
เหล่านี้ชี้ให้เห็นถึงตัวเลขที่เป็นประโยชน์ต่อการตัดสินใจเลือกลงทุนในหุ้นรวมถึงสามารถพิจารณา
สัดส่วนการลงทุนที่เหมาะสมให้เกิดผลตอบแทนสูงสุด
ในการคำนวณเพื่อหาสัดส่วนที่เหมาะสมที่สุดและทำให้เกิดผลตอบแทนมากที่สุดในการจัดพอร์ตการ
ลงทุน เราสามารถดูจากการคำนวณ Sharpe Ratio ซึ่งเป็นอัตราส่วนที่ใช้วัดผลตอบแทนที่ปรับด้วยค่า
ความเสี่ยงเปรียบเทียบกับผลตอบแทนจากการลงทุนที่ปราศจากความเสี่ยง หรืออาจอธิบายโดยง่ายก็
คือพอร์ตการลงทุนที่ดี จะมี Sharpe Ratio สูง โดยสามารถศึกษาจากกรณีตัวอย่างดังต่อไปนี้
กรณีที่ 1 ลงทุนในตลาดและหุ้น Pioneer Gypsum
จากกราฟข้างต้น เป็นกราฟที่แสดงเปรียบเทียบระหว่างค่า Expected Return ของพอร์ตการลงทุนแต่ละ
แบบ ที่ลงทุนในหุ้นของ Pioneer ที่ระดับ Standard Deviation ต่างๆ กัน โดยจากกราฟจะแสดงพอร์ตที่
แตกต่างกัน 7 แบบ โดยเส้นตรงที่แสดงคือ เส้นที่เกิดจากการนำข้อมูลจาก Sharpe Ratio และนำมา
ประยุกต์ใช้กับทฤษฎี Capital Asset Pricing Model (CAPM) ที่ใช้ในการคำนวณหาผลตอบแทนที่คาด
หวังของพอร์ตการลงทุน ซึ่งจะเห็นว่าจุดที่มี Return สูงกว่า Expected Return ตาม CAPM ก็คือจุดที่ 3,
4 และ 5

Portfolio Theory
PORTFOLIO THEORY
Let us begin our discussion on Portfolio Theory with an example of two investments (assets or
securities) – Ace and Bravo. Their return expectations are given in the table below. You will notice
that both Ace and Bravo are risky investments because they do not offer a certain return. You can
begin by comparing the expected return and risk of Ace and Bravo:
State of Probability Return
Economy of occurrence Ace Bravo
Boom 0.2 +20 –15
Growth 0.6 +5 +5
Recession 0.2 –10 +25
1. What kind of a correlation do you observe between the two securities? 2. Calculate the expected
return and standard deviation of both Ace and Bravo. Interpret the results.
Expected Return = E(R) = ∑ ri.pi ... Show more content on Helpwriting.net ...
Portfolio expected returns are a weighted average of the expected returns of the constituent
investments. If the two investments are A and B, with a being invested in A and (1–a) in B, then
[pic]
Portfolio standard deviation is less than the weighted average of the standard deviation of the
constituent investments (expect for perfectly +vely correlated investments where it is the weighted
average). The risk of a portfolio is measured by its standard deviation and calculated as:
[pic]
Covariance means the extent to which the returns on two investments move together. It is related to
correlation coefficient, but can take on any –ve or +ve value.
Let us learn the above concepts with the help of a solved example:
Let there be two shares A and B, with the following returns for alternative economic states:

|State of Economy |Probability |Returns on A |Returns on B |
|Boom |0.3 |20% |3% |
|Growth |0.4 |10% |35% |
|Recessions |0.3 |0% |–5%

Portfolio Analysis
chapter two
PORTFOLIO ANALYSIS
INTRODUCTION Organizations market a mix of products or services or both. These constitute the
offering that is made through the strategic window. Central to the success or failure of a business is
the health of its product (or service) mix. A starting point is the product life cycle concept. This is a
useful conceptual framework within which to study how firms can vary their marketing strategies–
though of course as we shall see in later chapters they do have to take other factors into account.
There seems to be little doubt, however, that at different stages in the product life cycle certain
marketing strategies seem to be more appropriate than others. The life cycle concept also points to
the different ... Show more content on Helpwriting.net ...
One problem that has been found in trying to make use of the product life cycle concept as a
management tool is that many products do not appear to perform in the market place as it suggests.
They seem to bypass some stages while getting stuck at other stages. Moreover, they may even
come into vogue again after a period of going out of fashion. These observations have brought about
criticisms of the product life cycle as a useful planning tool.
EXHIBIT 2.1 SWANSEA ENGINEERING–DIFFICULTIES IN USING THE PRODUCT LIFE
CYCLE CONCEPT Swansea Engineering makes wire for industrial uses. Applications range from
wire for cables to carry high voltage electricity to wire for winding on small electric motors for
incorporation in both industrial and domestic products. The firm has tried to use the life cycle
concept to explain generic sales in the market and sales of its own products. Difficulties encountered
include the defining of product markets and the separation from natural growth and decline in the
market and the effects of recession. Indeed in recent years it has proved extremely difficult to assess
exactly where many products and markets are in relationship to their anticipated life cycles. Ironing
out the fluctuations caused by economic recessions and mini–booms causes one of the major
problems. In

Portfolio Selection
American Finance Association Portfolio Selection Author(s): Harry Markowitz Source: The Journal
of Finance, Vol. 7, No. 1 (Mar., 1952), pp. 77–91 Published by: Blackwell Publishing for the
American Finance Association Stable URL: http://www.jstor.org/stable/2975974 . Accessed:
23/06/2011 20:52 Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and
Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's
Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you
may not download an entire issue of a journal or multiple copies of articles, and you may use
content in the JSTOR archive only for your personal, non–commercial use. Please ... Show more
content on Helpwriting.net ...
The flow of returns from the portfolio as a whole is 3. The results depend on the assumptionthat the
anticipatedreturnsand discount of investor'sportfolio. rates are independent the particular 4. If short
sales were allowed, an infinite amount of money would be placed in the securitywith highest r.
Portfolio Selection 79 R = 2X,Xr.As in the dynamic case if the investor wished to maximize
"anticipated"return from the portfoliohe would place all his funds in that security with
maximumanticipated returns. There is a rule which implies both that the investor should diversify
and that he should maximizeexpected return.The rule states that the investor does (or should)
diversify his funds among all those securities which give maximum expected return. The law of
large numberswill insure that the actual yield of the portfolio will be almost the same as the
expectedyield.5This rule is a special case of the expected returnsvariance of returnsrule (to be
presentedbelow). It assumes that there is a portfoliowhich gives both maximumexpectedreturnand
minimum variance, and it commendsthis portfolio to the investor. This presumption,that the law of
large numbersapplies to a portfolio of securities,cannot be accepted. The returns from securities are
Diversificationcannot eliminate all variance. too intercorrelated. The portfolio with maximum
expected return is not necessarily the one with minimumvariance. There is a rate at which

Portfolio Management Concepts Essay
Portfolio Management Concepts The concept of portfolio management is a lucrative sword as not
only it offers not only returns but the investor also have to face risk associated with it. If the Investor
is willing to earn higher return he has to associate higher return with higher risk. For an investor to
diversify away the risk he can follow diversification rule. Under diversification, investor can include
the assets which are not correlated to each other and thus by including these asset classes he can
diversify away the risk. However, in terms of the risk there are two kinds of risk i.e Unsystematic
Risk and Systematic Risk and an investor can diversify only unsystematic risk by following
diversification rule including the asset classes ... Show more content on Helpwriting.net ...
However, in comparison to benchmark return, we can conluded that portfolio has still not achieved
maximum diversification and it need to follow portfolios on efficient frontier that offers him
maximum return with benchmark standard deviation of 0.72% on daily basis. Answer 3) Behavior
Analysis relates to the concept of Behavior Finance which is a branch of investment world that
explain the stock prices anomalies because of psycholigical behavior of investors. In other words,
behavior analysis reveals the pattern of how the market outcomes and an investors investment
decisions are influenced by the prevailing market information structure and characteristc of market
participants. It considers the psychological bases for percieved investor behavior that creates some
degree of systematic mispricing of securities and may explain anomalies that tend to refute the
efficient market hypothesis. Following are some bias related to behavior finance: Overconfidence
Bias: With respect to growing companies, researchers have presented evidence that KMK
Investments overconfidence in their earnings forecasts and their high estimated growth rate of
earnings lead them to overemphasize the impact of good news and to underestimate the negative
value implications of bad news. This may be the reason that the portfolio was

Advantages Of Portfolio Optimization
Robust Optimization Approach to Multi–Period Portfolio Selection Progress Report
Introduction
Investors always seek for a way that they can get back greatest return while enjoying minimized
risk. Instead of investing in a single asset, holding a portfolio is obviously less risky. However, how
to select the best portfolio among tens of thousands of assets in today's financial market? The
stringent need of investors promote the raising of modern portfolio theory. In 1952, Harry
Markowitz [1] established the fundamental model of modern portfolio theory: the Markowitz model,
also called the mean–variance model. This model aimed to achieve a tradeoff between the expected
return and the risk of return. As shown in Figure 1, among all efficient portfolios, the efficient
frontier consisted of all those with highest return at each given risk level. C_1,C_2,and C_3 were the
investors indifference curves which showed that traders prefer portfolios with high return or low
risk. The tangent point R of the highest indifference curve and the efficient frontier gave the
optimized portfolio. Figure 1: Efficient Portfolio and Trader's Indifference Curve in ... Show more
One direction among them is the robust portfolio optimization. It was carried out to compensate the
instability and sensitivity of the classical optimal model due to the uncertainty of the coefficients of
variables. This paper aims to use the robust optimization techniques to take input uncertainties into
consideration. Moreover, the model achieved should be applicable to multi–period portfolio
selection problems. In the next section, previous studies on this topic were reviewed. The following
section introduced the method used to get the final result. Section 4 discussed the achievement until
now and the problems that have arisen. The final section summarized the current research progress
and possible direction in

The Value At Risk Management
Most people who have invested or are considering investing in any financial asset, ask at some point
in time the following question: What is the most I can loose on my investment? The Value at Risk,
commonly known as VaR, tries to answer this question within a reasonable bound. VaR is used in
financial mathematics and financial risk management as a risk management tool to measure the risk
of loss of an individual asset or a whole portfolio. Although it provides a good sense of risk one is
undertaking, it shouldn't be an alternative method to risk adjusted value and or other probabilistic
approaches. In the following lines, we first give a general description of the VaR and the story
behind its development and its applications. We then ... Show more content on Helpwriting.net ...
Financial institutions, mostly commercials and investments banks, use the VAR to gauge the amount
of cash they should hold in their reserve in order to be able to cover the potential loss. Although the
term "Value at risk" has not been used till the1990s, the origins of its measure lie further back in
time. The arithmetic behind the VaR were developed by Harry Markowitz (1952) in his studies of
effects of asset risk, return, correlation, and diversification on probable investment portfolio returns
which contributed to the modern portfolio theory. In fact, the trigger of the use of VaR came from
the crisis that tormented the financial market and the regulatory responses to these crises. After the
great depression of 1929, the Securities Exchange Act established in 1934 the Security Exchange
Commission (SEC), a federal government agency in charge of regulating stocks and options
exchanges. Since the SEC initially required banks to keep their borrowing below 2000% of their
equity capital, Banks developed risk measures and control devices to ensure that they meet the
capital requirements. In the 1970, the introduction of financial derivatives markets and floating rate
exchanges have significantly increased the volatility, which is the risk, in the financial markets. The
latter was confirmed by the failure in 1995 of Barings, the British investment bank, by the
unauthorized trading in Nikkei (Japan's stock

Managing Investment Growth Of A Diversified Portfolio
Managing Investment Growth In order to maximize a portfolio's return, it is important to analyze
risk and diversify securities, while adhering to the goals of an investor. Through analyzing the
different classes of risk, one can match investments to an investor's risk tolerance and return
requirements. Even though some investments may present greater risk they are countered by a
higher rate of return and vice versa, less risk corresponds to a lower return. Moreover, investment
risk can be substantially reduced through diversification, which spreads a portfolio across different
industries, businesses and investment options. The makeup of a diversified portfolio continually
changes based on an investor's time horizon and investment goals. In accordance with the Modern
Portfolio Theory (MPT), one can maximize return while reducing risk, through assessing
investments standard deviation and beta. When applied to the capital asset pricing model (CAPM)
an investor can determine what the expected rate of return should be and if the risk is worth it.
Therefore, by analyzing risk and diversifying investments one can maximize an investment growth,
increasing a portfolios return.
Investment Risk Investment risk assesses the overall level of uncertainty or volatility associated
with an investments potential returns. As a result, investment risk helps determine the likelihood of
receiving an increased or decreased amount of the expected return on an investment. While risk is

Portfolio
w
rP os t
S
908N20
ALEX SHARPE'S PORTFOLIO
op yo Professor Colette Southam wrote this case solely to provide material for class discussion. The
author does not intend to illustrate either effective or ineffective handling of a managerial situation.
The author may have disguised certain names and other identifying information to protect
confidentiality.
Ivey Management Services prohibits any form of reproduction, storage or transmittal without its
written permission. Reproduction of this material is not covered under authorization by any
reproduction rights organization. To order copies or request permission to reproduce materials,
contact Ivey Publishing, Ivey Management Services, c/o Richard Ivey School of ... Show more
RISK AND RETURN
op yo R.J. Reynolds Tobacco Company (RJR) was the second–largest tobacco firm in the world,
with a share of approximately 30 per cent of the U.S. cigarette market. R.J. Reynolds was a wholly
owned subsidiary of
Reynolds American Inc. (NYSE: RAI). The company faced some unique challenges; for example,
most consumer–product companies did not have to spend millions of dollars annually on advertising
aimed at discouraging use of their product for consumers under the age of 18. R.J. Reynolds had
been subject to significant litigation for many decades, but the company had a strong track record in
defending tobaccorelated cases in court and assured its shareholders that it would continue to take
appropriate steps to maintain a successful litigation record.
Do
No

tC
The last five years' worth of monthly returns for the Vanguard 500 Index Fund, Hasbro and R.J.
Reynolds are provided in Exhibit 1. In addition to comparing the returns on the individual
components of her portfolio, Sharpe also wanted to fully compare the risk profiles of the two
companies to that of the
Vanguard Fund. She wanted to ensure that the expected return of her new portfolio would provide
adequate compensation for taking on any new risky assets.
This document is authorized for use only by Khurram Mehtab until

The Concept Of The Modern Portfolio Theory
In 1952 the basic concept of the modern portfolio theory was written by Harry Markowitz, in which
he explained that assets in an investment portfolio are not only to be selected on the basis of its
merit but also by how it's price changes relative to every other asset in the portfolio. Investment can
be stated as a trade–off between expected return and risk, the riskier the investment the higher the
return and vice versa. It allows us to make a decision to choose between the portfolio with either the
highest rate of return or the lowest amount of risk. The risk of different stocks can be reduced if a
portfolio consists of stocks with different risks and returns for example; if stock A has high risk and
stock B has low risk, the overall portfolio risk is less, as it is the weighted average of both risks.
Owning different shares with different risks in a portfolio is known as diversification. Markowitz
hence developed the efficient frontier of portfolio, the efficient set in which investors choose the
most suitable portfolio for them. This concept gave birth to the Capital asset pricing model by
William Sharpe in 1964 and linter 1965; they state that there are two types of risk, systematic risk
and unsystematic risk. The former is the market risk that cannot be diversified while the latter is the
risk associated with individual stocks which can be reduced through diversification as stated by the
MPT (Investopedia, 2003) Investors basically invest by delaying consumption now

Portfolio Performance and Attribution Analysis
Portfolio Performance Evaluation and Attribution Analysis
Date of Submission
22nd June, 2011
Portfolio Performance Evaluation and Attribution Analysis
Submitted to:
Mahmood Osman Imam, Ph.D.
Professor
Department of Finance
University of Dhaka
Submitted by:
Sakib Ahmed Chowdhury
B.B.A. 13th Batch
Section: A, ID: 13–161
Group # 9
University of Dhaka
22nd June, 2011
Dr. Mahmood Osman Imam
Professor
Faculty of Business Studies
University of Dhaka
Sir,
With due respect, I, a student of B.B.A. Program (13th Batch) under Department of Finance,
University of Dhaka, submit the report entitled "Portfolio Performance Evaluation and Attribution
Analysis" that you have ... Show more content on Helpwriting.net ...
* It reflects all the price sensitive information available in the stock market.
The final market return is the simple average of monthly returns calculated on index. The month

returns on index is calculated with the following formula:
RmFeb 2005=DSE Gen IndexFeb 2005–DSE Gen IndexJan 2005DSE Gen IndexJan 2005
Benchmark Returns for Individual Sectors
The DSE general index will not serve the purpose to identify the benchmark returns for individual
sectors. Therefore, separate indices for every sector are required to be calculated the benchmark
returns for them. First thing to consider is that DSE general index is calculated by the contribution
of the sectors based on their market capitalization. If the market capitalization of a particular sector
is multiplied to the index value, the approximate index for that month and for that sector can be
identified. For example:
Bank IndexFeb 2005=DSE Gen IndexFeb 2005×% M.Cap of BankFeb 2005
By repeating this process, the separate index for each of the sectors can be obtained by applying
their contribution in terms of market capitalization. From the separate indices separate benchmark
returns of different sectors can be calculated by applying the same formula used to find the market
return.
Weights and Optimization
The objective for the optimization of the weights is to maximize the portfolio excess return per unit
of risk taken under the situation where no short selling is allowed. The

Prioritizing It Project Management Portfolio
Prioritizing IT Project Management Portfolio Prioritizing IT Project Management Portfolio The
realities of shrinking IT budgets and increasing dependence on IT in organizations in recent years
has resulted in a situation in which there is an intense competition for resources needed to execute
and complete IT projects. According to Ross (2007), the shrinking IT budget in the face of
increasing demand has brought new pressures to the IT function. To gain approval and funding for
projects, IT departments must demonstrate that such new project will either result in cost saving,
increased sales, or result in greater enterprise–wide efficiency (Ross, 2007). The intense competition
for resources makes it imperative that IT managers need to ... Show more content on Helpwriting.net
...
Points were assigned to each project on a scale of 1 –10. The higher a project scores on this point
system the better the chances of its being a priority for execution. For example the project with the
highest number of points will have the highest priority and the project with the next highest points
will be next in priority. * Will the project drive or create new revenue? Project | | Criterion | Points |
ERP | | Drive and create revenue | 7 | Email Exchanger | | | 8 | Database | | | 6 | Network Upgrade | | |
2 | CRM | | | 8 | | | | | * The projects in the portfolio were evaluated to determine if they will drive and
create new revenue for the organization. The E–mail system and CRM are tied at 8 points, while the
ERP and Database projects came in the second and third place respectively leaving Network
upgrade at the 5th position. The rationale here lies in the fact that CRMs are known to help drive
revenues, and e–mails are effective for communication and advertising. These will drive revenues
more than the other three projects. * Will the project cut operating costs? Project | | Criterion | Points
| ERP | | Drive and create revenue | 9 | Email Exchanger | | | 8 | Database | | | 6 | Network Upgrade | | |
3 | CRM | | | 8 | * * Measured against the ability to cot operating costs, ERP topped the priority chart
in this category, followed by the Email exchanger project.

Functions Of An Efficient Portfolio
A. Portfolio; feasible set; efficient portfolio; efficient frontier
A portfolio is a group of financial assets, differing in possible risk and return, and is managed by an
investor or a group of professionals. Generally, a higher return expected by a portfolio owner
generates a higher risk as well, and vice versa. The mix of financial assets can range, and these can
include stocks, bonds, mutual funds, and cash equivalents. Stocks are considered the most volatile of
these options and thus generate the highest return/highest risk, with bonds being one of the safer
options, which only generate a low return/low risk.
A feasible set of portfolios refers to the possible combinations of financial assets that an investor can
have, according to ... Show more content on Helpwriting.net ...
In contrast to portfolios with less diversification, which tend to be sub–optimal and below the curve,
the efficient frontier curve outlines diversified portfolios that are optimal. This is depicted by the
graph attached.
{See Graph 1}
As outlined in the example diagram provided by YoungResearch, the efficient frontier adequately
demonstrates the impact of diversification, showing how it is a factor in determining the curve 's
optimal portfolios, determined by the amounts of risk (measured by standard deviation of annual
returns) and return (average of annual returns). For example, a portfolio with only 100% stocks
would generate a large return of 12.5%, though also a large risk of 17%. This is the opposite to a
portfolio of 100% bonds, where the return would be smaller at 9%, though with significantly less
risk at approximately 9%. Consider the bundle with 10% risk and 10.75% return, which is the one
composed of 50% stocks and 50% bonds. This may be viewed as a more favorable option for the
investor, as return is higher than a portfolio with only bonds, though with less risk, compared to a
portfolio with only stocks.
{See Graph 2}
B. Indifference curve; optimal portfolio
Indifference curves represent the utility the consumer would obtain as a function of certain
variables. In portfolio theory, this would mean utility as a function of both expected returns and
standard

Portfolio Activity Paper
Portfolio Activity
Building on the themes discussed in the paper from this week, discuss the following issue from your
own personal perspective. Draw on your own experience and knowledge. Put yourself in the shoes
of both an employer and employee.
Portfolio assignments should be about 500 – 750 words (1 – 1.5 pages) in length.
Effective management is how to manage the organization and achieve its objective while
maintaining the future plans and respecting the rights of all personnel members.
Elements of effective management
1. Achieving the general objectives of the organization according to the requirements of the
management by applying a clear plan.
2. Setting an accurate and clear structural hierarchy to all individuals, explaining their ... Show more
Effective management is characterized by effective communication with its employees,
transparency, setting of goals and targets, encouraging constructive views and ideas from all parties,
good and productive control of the team and finally leading by example.
Effective management leads by example, which motivates and promotes employees to follow these
leaders, creating a positive working environment
It provides a specific program and platform for leaders and managers in order to provide employees
with a clear guidance. This method is suitable for all working environments even if they are lacking
guidance. It helps to build team work by reinforcing their spirit and morale, leading to a common
benefit from working together and thus improving both the internal and external environmental
factors that affect the organization.
It creates a sense of belonging, leading to harmony among employees, as well as between the
employees and management. This supportive environment, as a result, will promote the relationship
between the organization and its customers.
It promotes a long–term professional improvement for its

Theories Of Harry Markowitz Portfolio Allocation Theory
HAW Hamburg Faculty of Business and Social Science Department of Business Term paper
Markowitz portfolio allocation theory First name, family name Date and place of birth Matriculation
number Maria Titova 10.08.1992, Moscow 2227909 Telephone, e–mail Date of submission: +49
152 0218 1097 5rd December 2014 maria.titova@haw–hamburg.de Lecturer: Prof. Dr. Decker
Course: Corporate Finance Name of degree program: International Business (M.Sc.) – II – I
Abstract The idea of diversification is rather old. The axiom "don't put all your eggs in one basket"
definitely precedes economic theory. However, the theory, pointed to the power of diversification
was first developed by Markowitz in 1952 and now is known as Markowitz portfolio allocation
theory. ... Show more content on Helpwriting.net ...
Error! Bookmark not defined. V List of abbreviations CAPM Capital Asset Pricing Model – 1 – 1
Introduction 1.1 Research problem Harry Markowitz is one of the founders of the theory of finance,
the fastest growing economic sciences. This lays the foundation for the applied financial
management in a company, using the tools and methods of investigation with a help of which any
company can analyze its financial position, to assess the value of its capital and its structure, to
select the best investment project and to manage it or to decide how and how many shares or bonds
to issue. Markowitz's approach to the problem of portfolio selection suggests that the investor tries
to solve two problems: to maximize the expected return at a given level of risk or minimize
uncertainty (risk) at a given level of expected return. Therefore, the aim of this course work – review
the Markowitz portfolio allocation theory as a way of creating the optimal and efficient investment
portfolio and highlight its importance in modern world. This paper tries to answer two fundamental
questions: first, what is the main idea behind Markowitz allocation theory, and the second, how
valid is Markowitz theory

Risk Based Portfolio Construction Methods
Risk Based Portfolios
In this section, Lee Wai (2001) briefly explained characteristics of the four well–known risk based
portfolio construction methods – Equally Weighted Portfolio, Global Mean–Variance Portfolio,
Most Diversified Portfolio, and Risk Contribution Portfolio.
First, the equally weighted portfolio is the simplest portfolio construction approach that gives all
assets same weights (Lee, 2011). Lee described the portfolio as the most heuristic portfolio because
it completely ignores the return and risk relationship of investments. Lee also argued that equal
weighting of assets does not guarantee diversification since this strategy does not have any
consideration of correlation among assets. This is the complete and undeniable truth. As we have
learned from the investment and financial theory courses, some of assets have close relationship that
can be estimated by covariance between assets.
Second, the global minimum variance portfolio (GMV) is a unique portfolio on a portfolio frontier
since it has the lowest volatility (Lee, 2011). Lee explained that although the marginal contribution
to risk of all assets in the GMV is identical, this does not mean risk contributions of each asset is
equal because of the different weights and volatilities of assets in the portfolio. Moreover, the GMV
tends to have high weights on low volatility assets in order to lower the total volatility of the
portfolio. As a result, the GMV portfolio can be more sensitive to the

Modern Portfolio Theory Is An Essential Part Of Higher Return
Modern portfolio theory is an investment theory based on that investors can construct portfolio to
maximize return which based on a given level of market risk, emphasizing that risk is an essential
part of higher return. Modern portfolio theory is one of the most significant economic theory dealing
with finance and investment, which was published by Harry Markowitz in his paper "Portfolio
Selection" in 1952 by Journal of Finance (Shipway, 2009).
According to Shipway (2009), the problem of direct real estate investment is the lack of liquidity
which compared with other investment media. The reason is real estate special features, such as the
large size, high transaction costs, infrequency transaction of real estate ... Show more content on
Helpwriting.net ...
Due to the characteristics of real estate market, most of institutions adapt modern portfolio theory as
a standard tool for understanding how the real estate market behave, whether independently or as
part of the overall investment holdings. The modern portfolio theory would help investors to create a
portfolio of investments that produces predictable return. Risk in this system is defined as unstable
return. The application of modern portfolio theory to real estate would allows real estate managers
to understand both what to expect from real estate investments as a whole, and how those real estate
holdings fit into the overall portfolios. However, there are some disagreements of applying modern
portfolio theory to real estate. In 1993, Young and Grieg reported that it has been proved
mathematically that real estate is unsuitable for modern portfolio theory analysis, because real estate
is heterogeneous and the real estate market is illiquid and different to the stock market. Young and
Grieg have indicated that due to the investment returns depend on different circumstances of
investment properties, the modern portfolio theory is an inaccurate guide for real estate asset
allocation (ibid). However, they compared two different properties' performance and the returns of
the two properties are definitely different. They reported that diversification by real estate type and

Why Is It So Important To Develop A Professional Portfolio
Why is it so important to have a professional portfolio? An effective professional portfolio can make
us stand out among others, whether in a professional or academic setting. The professional portfolio
is a multi –faceted method to bring our accomplishments, goals, ambitions, and personal points of
view together. It displays our characteristics to potential employers and organizations. It provides
distinguishing evidence of our skills and abilities and validates to the employer that we are qualified
for that specific job. Here, I would like to share some tips with someone who wants to develop a
professional portfolio. 1. Begin working on our professional portfolio as early as possible. We do
not have to create our portfolio until an instructor requests that we do so. Again, the ... Show more
Stick to simplicity. Don't overload our portfolio with page after page of long text or repetitive
photos. In short, show the best, mention the important, and highlight the relevant. 3. Keep it
manageable and make it clear. Three–ring binders are the preferred choice for portfolios. Use sheets
protector inside to keep our pages clean and neat. 4. Plan well and systematically collect the
contents. Our portfolio should showcase our accomplishments. It can include teaching philosophy,
cover letter, resume, college transcripts, copies of teaching credentials, recommendation letters and
lesson plans other course materials we've developed. 5. Keep it legible. Use a computer to type and
print out easy to read information sheets or a table of contents. 6. Be sure to provide ease of use. The
content should be really easy to access. Organize our pages by index tabs or dividers. When
interviewing, we could quickly find the part we need. 7. Have both hard copy and electronic one
available. Professional Portfolio can be prepared in hard copy format by placing the material in a
binder or prepared electronically to meet individual needs of our future

The Performance Of Portfolio Theory
Introduction
This report is established to illustrate the performance of portfolio by using modern portfolio theory
to make one portfolio allocation decisions per year (round) over nine years (rounds) in an
investment game and find out a reasonable strategy to meet a particular investment objective.
Specifically, it tries to figure out following questions:
1. How the investment decisions can be made？
2. The research that is undertook
3. The critical factors that influenced the decision
4. How are the results different from our expectations？
The first question is more important since it plays a vital role in the investment process.
Some research papers have concluded several key points via using modern portfolio theory and we
used them in ... Show more content on Helpwriting.net ...
That is to say, the manager can only get risk–free asset if he is willing to be in a relatively low risk
level and he must give up monitoring how the return goes on as they only emphasis on risk and vice
versa.
The second conclusion refers that some risky portfolios, to some extent, indicate a poor performance
on a yearly basis. More specifically, there are still exist a phenomenon that it is inevitable that the
return on a common stock will be negative although it performed better than bond in the long term
according to the historical data. He also mention in the paper that the influence of asset on the
portfolio could play an essential role in the making decisions on whether buying an asset or
continuing to hold an asset. This result is embodied in the investment simulation system which is
expressed by the yearly news.
In the third conclusion, Gruber argues that the characteristics of the investor determines the
composition of the investor's portfolio which also means that the investor must construct an
appropriate portfolio in order to meet the client's investment objectives. In addition, he also
demonstrates that investment performance is supposed to be judged over a long period of time like
more than one year so that the result to be received is going to be more accuracy and convinced. In
other words, the long term performance data will give a brand new viewpoint in the case of
constructing

Portfolio Theory : Risk, Return, Preferences And...
Introduction A portfolio is the collection of securities an investor holds. Portfolio theory is about
risk, return, preferences and opportunities. E.g. if there are three assets, A, B, and C and the
expected rate of return and volatility of each of the assets. Comparing asset B to asset A investors
would prefer asset B over asset A because even if asset A and B have the same volatility the
expected return of asset B is much higher than A. Similarly when comparing asset A to Asset C
investors would prefer C, over A because, A and C have the same expected rate of return but C has
much lower volatility. So portfolio theory is essentially about maximizing a portfolios return and
minimizing its risk. Whichever the case, the primary objective of ... Show more content on
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The systematic risk of a portfolio is the weighted sum of the systematic risk of each component. One
can only obtain low systematic risk by choosing securities with low systematic risk for your
portfolio. Unsystematic risk is the variation in the stock's return that cannot be explained by the
variation in the market index. For very large portfolios unsystematic risk can be almost eliminated.
In this situation the risk each security contributes to the portfolio is approximately equal to its
systematic risk or Beta. Therefore, the relevant risk for an individual security held within a well–
diversified portfolio is its Beta. Portfolio is the relevant risk is the standard deviation. For example
an investor invested all his money in a company's stock. Then the relevant risk is the standard
deviation because the portfolio consists of a single security. On the other hand, the investors holding
of the company is a small fraction of a large diversified portfolio. Then the relevant risk is the Beta
(Pierre, Gabriel and Albert, 1987). Risk averse investors require compensation, in the form of extra
return, for assuming financial risk. The risk–free asset has zero risk. Risk averse investor will hold a
risky portfolio only if its expected return is greater than the risk–free rate. Investors are only
compensated for taking systematic risk. Investors are not compensated for bearing

Portfolio Theory And Its Application
FINC 6009
Portfolio Theory & Its Application
Group Assignment
Dr Hamish Malloch
Cross Streams
Zhe Yan 430462009
Table of Contents
Executive Summary
Justification of Data
Section One: Portfolio Constructions
Section Two: Empirical Results and Discussion
Section Three: Fama–French Model
Section Four: Regression Analysis
Section Five: Re–consideration of Smart Beta Strategy and Conclusion
Executive Summary
Recent years have seen the rapid development of indexing investment. As an increasing number of
investors have been aware of the superior returns of the alternative strategies, many new smart betas
are created. This paper uses the 30 stocks from Dow Jones Industrial Average Index to build seven
portfolios. One of the portfolios is based on traditional market capitalization which is regarded as
the benchmark, the other six portfolios are all based on alternative strategies.
The objective of this paper is to compare the performance of cap–weighted portfolio with non–cap–

weighted portfolio and an in–depth analysis will be presented in the light of identifying the source of
the performance of each portfolio using the Fama–French model.
Justification of Data
Sources of Data
All the portfolios are constructed by 30 stocks which are from the Dow Jones Industrial Average
Index. These are all large and world famous companies listed in the United Stated. The adjusted
closing price is used in this paper as it takes dividends and stock

Nursing Professional Portfolios
Portfolios have been used to showcase the work of artists, fashion designers, models, photographers
and architects, spanning several decades (M.Williams., K.Jordan., 2007) These career portfolios
have been adopted in to the nursing profession where they serve as an augmentation but not a
replacement of their curriculum vitae (Lettus, 2001). They have not only transcended beyond the
traditional listing of basic information such as relevant past work experiences and positions held,
educational institutions attended and achievements but provide additional information that resumes
would have presented (M.J. Jone., 2007). A professional portfolio is a thoughtfully prepared and
organised compilation of different types of professional information and evidence that illustrate an
individual's record of continuing professional development activities, skills, experiences,
knowledge, competencies, professional achievements and goals as well as their level of expertise
that one has attained as a result of their experiences.' (Andre & Heartfield, 2011)The basic
components of a professional portfolio include personal details, resume and documents such as
certificates graduate transcripts, licensure, (Davis, 2015) professional organisation memberships,
professional awards, annual performance appraisals, dates of promotions, recommendations from
current or previous supervisors or employers, peers and others (Timmins & Duffy, 2011). ... Show
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This is what makes them unique to each individual and more personalised (Jasper, 2011) It is usually
structured chronologically, can be constructed and complied over a period of time, therefore, it is
vital for it to be accurate and up–to–date at any time with the progression of the author's profession
(M.J. Jone.,

Alex Sharpe's Portfolio Solution Essay
Alex Sharpe's Portfolio
1. Returns and Risk
Estimate and compare the returns and variability (i.e. annual standard deviation over the past five
years) of Reynolds and Hasbro with that of the S&P 500 Index. Which stock appears to be riskiest?
S&P 500 Annualized Expected Return: 6.8920% S&P 500 SD (Annualized): 12.477%
Reynolds Annualized Expected Return: 22.4980% Reynolds SD (Annualized): 32.446%
Hasbro Annualized Expected Return: 14.2060% Hasbro SD (Annualized): 28.114%
Reynolds appears to be the riskiest stock since it has the highest standard deviation. The fact that
Reynolds also has the highest annualized expected return supports this calculation since risk and
return should be directly correlated.
2. ... Show more content on Helpwriting.net ...
The regression that we performed in excel for both stocks yielded a beta of .73576 for Reynolds,
and a beta of 1.4198 for Hasbro. In question 2 we learned that although Reynolds stock was riskier
independently, adding it to the portfolio made it more diversified compared to adding Hasbro, due to
the fact that it was less correlated to the market portfolio. Beta is a measure of the volatility, or
systematic risk, of a security or a portfolio in comparison to the market as a whole. Therefore, since
the beta of Reynolds is lower than Hasbro, our beta calculations align with the fact that Reynolds
stock makes the overall portfolio less risky. This finding is also intuitive when considering the
nature of the companies; Reynolds is a Tobacco company meaning that is should be less sensitive to
changes in market conditions than a toy company like Hasbro.
4. Capital Asset Pricing Model (CAPM)
How might the expected return of each stock relate to its riskiness?
CAPM is a model that describes the relationship between risk and expected return, and the formula
itself measures the expected return of the portfolio. Mathematically, when beta is higher, meaning
the portfolio has more systematic risk (in comparison to the market portfolio), the formula yields a
higher expected return for the portfolio (since it is multiplied by the risk premium and is added to
the risk free interest rate). This makes sense because the portfolio needs to

Analysis Of Castlekeg's Low PE Strategy
Although CastleKeep's Low PE portfolio has outperformed the market in the past, recent
performance has not been satisfactory: a cumulative 20.57% gain over the S&P 500 from 8/27/2012
to 10/1/2015 has become 6.37% of underperformance as of 5/31/2017. Further, the portfolio
experiences significant fluctuations in its number of holdings. In the nine months from 8/29/2016 to
5/31/2017, the portfolio grew from 17 stocks to a high of 102 companies in April. To improve
performance and limit both the number of stocks in the portfolio and the size of fluctuations in
holdings, I tested five different changes to the Low PE strategy. Before considering the performance
of the new strategies, it is important to note two pieces of context. First, fees ... Show more content
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This change was intended to reduce the amount of Timeliness 2's bought, with the dual goal of
improving performance and lowering transaction costs by buying only the lowest PE Timeliness 2's.
As I have noted, however, because transaction costs don't make a significant impact to the portfolio,
the goal of limiting transaction costs should only be pursued with the hope that performance will
improve. This means that for the change to be effective, the new number of holdings should be low
enough that performance should improve by a significant amount because only the best stocks were
bought.
As it stands, however, the change reduced the size of the portfolio by an average of only 14 stocks,
or 15% of the portfolio (from 89 to 75 holdings). This did not impact performance much: from
1/3/2017 to 4/19/2017, the new portfolio underperformed the original by 1.02%. I personally think
this underperformance would not be consistent; in my opinion, the new portfolio could just have
well have outperformed, rather than underperformed, by 1%. Because the portfolio composition, and
therefore performance, was not meaningfully different from the original, this change does not appear
to be worthwhile.
The next change to the original Low

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