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