Chap010
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The document discusses the Capital Asset Pricing Model (CAPM) and its relationship between risk and expected return. It defines key terms like expected return, variance, standard deviation, covariance, correlation, diversification, systematic and unsystematic risk. It explains that a security's risk is measured by its beta, which represents its non-diversifiable risk related to market movements. The CAPM holds that the expected return of a security or portfolio equals the risk-free rate plus a risk premium that is proportional to the security's systematic risk relative to the market.
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- Portfolio risk depends on the correlation and covariance of returns between assets. Diversification reduces unsystematic risk but not systematic market risk.
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Financial Management: Capital Asset Pricing Model (CAPM)
Capital Asset Pricing Model (CAPM) was introduced in 1964 as an extension of the Modern Portfolio Theory which seeks to explore the diverse ways by which investors can construct investment portfolios through means that can possibly minimize risk levels and at the same time ensure maximization of returns.
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Discuss the concepts of portfolio risk and return.
Determine the relationship between risk and return of portfolios.
Highlight the difference between systematic and unsystematic risks.
Examine the logic of portfolio theory .
Show the use of capital asset pricing model (CAPM) in the valuation of securities.
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PROBLEMS IN SELECTION OF SECURITY PORTFOLIOS THE PERFORMAN
PROBLEMS IN SELECTION OF SECURITY PORTFOLIOS
THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964
MICHAEL C. JENSEN*
I. INTRODUCTION
A CENTRAL PROBLEM IN FINANCE (and especially portfolio management) has
been that of evaluating the "performance" of portfolios of risky investments.
The concept of portfolio "performance" has at least two distinct dimensions:
1) The ability of the portfolio manager or security analyst to increase re-
turns on the portfolio through successful prediction of future security
prices, and
2) The ability of the portfolio manager to minimize (through "efficient"
diversification) the amount of "insurable risk" born by the holders of
the portfolio.
The major difficulty encountered in attempting to evaluate the performance
of a portfolio in these two dimensions has been the lack of a thorough under-
standing of the nature and measurement of "risk." Evidence seems to indicate
a predominance of risk aversion in the capital markets, and as long as in-
vestors correctly perceive the "riskiness" of various assets this implies that
"risky" assets must on average yield higher returns than less "risky" assets.'
Hence in evaluating the "performance" of portfolios the effects of differential
degrees of risk on the returns of those portfolios must be taken into account.
Recent developments in the theory of the pricing of capital assets by
Sharpe [20], Lintner [15] and Treynor [25] allow us to formulate explicit
measures of a portfolio's performance in each of the dimensions outlined
above. These measures are derived and discussed in detail in Jensen [11].
However, we shall confine our attention here only to the problem of evaluating
a portfolio manager's predictive ability-that is his ability to earn returns
through successful prediction of security prices which are higher than those
which we could expect given the level of riskiness of his portfolio. The founda-
tions of the model and the properties of the performance measure suggested
here (which is somewhat different than that proposed in [11]) are discussed
in Section II. The model is illustrated in Section III by an application of it
to the evaluation of the performance of 115 open end mutual funds in the
period 1945-1964.
A number of people in the past have attempted to evaluate the performance
of portfolios2 (primarily mutual funds), but almost all of these authors have
* University of Rochester College of Business. This paper has benefited from comments and
criticisms by G. Benston, E. Fama, J. Keilson, H. Weingartner, and especially M. Scholes.
1. Assuming, of course, that investors' expectations are on average correct.
2. See for example [2, 3, 7, 8, 9, 10, 21, 24].
389
390 The Journal of Finance
relied heavily on relative measures of performance when what we really need
is an absolute measure of performance. That is, they have relied mainly on
procedures for ranking portfolios. For example, if there are two por ...
L2 flash cards portfolio management - SS 18
Mean-variance analysis is used to identify optimal portfolios based on expected returns, variances, and covariances of asset returns. The minimum-variance frontier shows the efficient combinations of expected return and risk. The efficient frontier begins with the global minimum-variance portfolio and provides the maximum expected return for a given level of variance. The capital market line describes combinations of the risk-free asset and market portfolio. The capital asset pricing model expresses expected returns as a linear function of systematic risk measured by beta.
Chapter 08
This document discusses risk and rates of return, including different types of risk, portfolio risk, and the Capital Asset Pricing Model (CAPM). It defines key risk concepts like standard deviation, beta, and diversification. Standard deviation measures total risk while beta specifically measures non-diversifiable or systematic risk. Diversification reduces unsystematic risk. The CAPM suggests investors should be compensated only for systematic risk and that the market portfolio provides maximum risk reduction through diversification.
Chapter 12.Risk and Return
This document defines key concepts related to risk and return in finance. It discusses how return is calculated based on income and price changes. It also defines risk as the variability of actual returns compared to expected returns. The document introduces the capital asset pricing model (CAPM), which relates a security's expected return to its systematic risk (beta). It describes how beta measures the sensitivity of a stock's returns to market returns. The CAPM holds that a security's expected return is determined by the risk-free rate and a risk premium based on the security's beta. The document provides examples of how to calculate portfolio expected returns and standard deviations, as well as how to determine the required rate of return and intrinsic value of individual stocks using CAP
Portfolio Management
1. Portfolio management is a process of optimizing investment funds through activities like security analysis, portfolio construction, selection, revision and evaluation.
2. It involves choosing securities to create portfolios that balance risk and expected return. The optimal portfolio lies on the efficient frontier which shows maximum return for each risk level.
3. Risk is measured by variability of returns. The CAPM model relates expected return and systematic risk measured by beta for efficient portfolios on the SML and all securities.
Portfolio selection final
1. The document discusses portfolio selection using the Markowitz model.
2. The Markowitz model aims to find the optimal portfolio, which provides the highest return and lowest risk. It does this by analyzing different combinations of securities to identify efficient portfolios.
3. The document provides details on the tools and steps used in the Markowitz model for portfolio selection, including analyzing expected returns, variance, standard deviation, and coefficients of correlation between securities.
Risk and Return Basic
The document discusses key concepts in risk management and portfolio theory, including:
1) It defines risk as the variability of returns from expected returns, and return as the income and capital gains from an investment.
2) It explains how to calculate the expected return of a portfolio by weighting the expected returns of individual assets by their weights in the portfolio.
3) It discusses how diversification and the correlation between assets can help reduce overall risk. The total risk of a portfolio is made up of systematic risk, which affects all assets, and diversifiable or unsystematic risk.
4) It introduces the Capital Asset Pricing Model and the security market line, which describe the relationship between risk and expected
GSB-711-Lecture-Note-05-Risk-Return-and-CAPM
This is the fifth presentation for the University of New England Graduate School of Business course GSB711 Managerial Finance, offered by Dr Subba Reddy Yarram. This presentation examines risk, return and the Capital Asset Pricing Model (CAPM).
3.Risk & Rates of Return.pdf
The document discusses various concepts related to risk and rates of return in investments. It defines key terms like stand-alone risk, portfolio risk, diversifiable risk, market risk, beta coefficient, and capital asset pricing model (CAPM). It provides formulas to calculate expected returns, standard deviation, correlation, and portfolio risk. The CAPM suggests that a stock's expected return is determined by the risk-free rate and the stock's beta. The security market line shows the relationship between risk and return based on the CAPM. The capital market line represents optimal portfolios combining risk and return. The document also includes mathematical problems related to these concepts.
risk return.ppt
This document discusses risk and rates of return in investments. It defines key concepts like stand-alone risk, portfolio risk, standard deviation as a measure of risk, beta as a measure of market risk, and the capital asset pricing model. Standard deviation measures the total risk of an investment, while beta specifically measures non-diversifiable or systematic risk. Diversification reduces unsystematic risk by combining unrelated investments. The capital asset pricing model suggests investors should be compensated only for bearing systematic risk with the market.
risk return hand out note chapter three.
This document discusses risk and rates of return in investments. It defines key concepts like stand-alone risk, portfolio risk, standard deviation as a measure of risk, beta as a measure of market risk, and the Capital Asset Pricing Model. Standard deviation and beta are calculated for sample investments like Treasury bills, a stock called HT, and a stock called Coll. Diversification benefits of portfolios are shown through lower standard deviation when combining unrelated stocks. The document also illustrates the security market line from the CAPM model and how beta relates a stock's risk to the overall market rate of return.
Portfolio management UNIT FIVE BBS 4th year by Dilli Baral
Unit 4 discusses return and risk, while Unit 5 covers modern portfolio theory. Portfolio theory holds that investing in multiple assets lowers overall risk if profits from one asset can offset losses in others. An optimal portfolio minimizes risk for a given return or maximizes return for a given risk. It is selected from the efficient frontier of portfolios with the highest return per level of risk. The security market line models the relationship between risk and expected return for individual assets based on the capital asset pricing model.
Rohit File For Accounting And Finance
The document discusses various concepts related to risk and rates of return on investments. It defines different types of risk like stand-alone risk and portfolio risk. It also introduces the Capital Asset Pricing Model (CAPM) which relates a security's expected return to its risk compared to the overall market. The CAPM graphs expected returns against risks using the Security Market Line and shows how diversification reduces risk for a portfolio.
Financial Management: Risk and Rates of Return
This document discusses risk and rates of return in investments. It defines different types of risk like stand-alone risk and portfolio risk. It shows how to calculate expected returns, standard deviation as a measure of risk, and the coefficient of variation to compare risk-adjusted returns. It introduces the Capital Asset Pricing Model (CAPM) and how it uses beta to measure non-diversifiable market risk and determine required rates of return based on the security market line. It provides examples of calculating betas, expected returns, and portfolio risk measures like standard deviation and required returns.
Similar to Chap010 (20)
Financial Management: Capital Asset Pricing Model (CAPM)
Financial Management: Capital Asset Pricing Model (CAPM)
Risk and Return: Portfolio Theory and Assets Pricing Models
Risk and Return: Portfolio Theory and Assets Pricing Models
PROBLEMS IN SELECTION OF SECURITY PORTFOLIOS THE PERFORMAN
PROBLEMS IN SELECTION OF SECURITY PORTFOLIOS THE PERFORMAN
Portfolio management UNIT FIVE BBS 4th year by Dilli Baral
Portfolio management UNIT FIVE BBS 4th year by Dilli Baral
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Chap004
The document discusses discounted cash flow valuation and various formulas used to calculate future value, present value, and net present value over single and multiple periods. It also covers perpetuities, growing perpetuities, and annuities. Key concepts include using interest rates to discount future cash flows to present value and formulas to calculate the future or present value of cash flows that are constant, growing, or occurring over a fixed number of periods.
Chap005
This document discusses how to value bonds and stocks. It defines bonds, how bond values are determined from present values of coupon payments and par value, and how bond prices are inversely related to market interest rates. It also discusses how to value common stocks based on present values of expected future dividends and capital gains, using dividend discount models for stocks with zero, constant, or differential growth. Growth opportunities can increase stock value if positive NPV projects are undertaken. The price-earnings ratio is also discussed.
Chap007
The document discusses several methods for evaluating capital investment decisions, including incremental cash flows, inflation adjustments, and investments with unequal lives. It provides an example of evaluating a bowling ball machine investment over 5 years using cash flows, depreciation, and net income. For investments with unequal lives, it recommends using the equivalent annual cost method to convert costs to equal annual amounts to facilitate comparison.
Chap009
Over the period of 1926-2004, large company stocks provided an average annual return of 12.3% with a standard deviation of 20.2%, while small company stocks returned 17.4% annually with greater volatility. Long-term corporate and government bonds offered lower but steadier returns than stocks, with corporate bonds returning 6.2% on average and government bonds at 5.8%. Treasury bills returned 3.8% annually with the lowest risk compared to other major asset classes.
Chap006
The document discusses several methods for evaluating capital investment projects, including net present value (NPV), internal rate of return (IRR), payback period, and profitability index. It explains the basic calculations and advantages/disadvantages of each method. NPV is presented as the preferred method since it considers all cash flows and their timing. IRR can also be useful but has limitations when projects have multiple rates of return or differing scales.
Chap008
The document discusses several capital budgeting techniques: sensitivity analysis, which examines how changes in assumptions impact NPV; scenario analysis, which considers multiple forecasts simultaneously; and break-even analysis, which determines the sales needed to cover costs. It also discusses real options, noting that NPV underestimates a project's value since managers can adjust in response to changes. Decision trees are presented as a tool to analyze projects with uncertain outcomes.
Chap003
This document discusses financial statement analysis and long-term planning. It covers calculating common-size financial statements to facilitate comparison, different types of ratio analysis including liquidity, leverage, asset management and profitability ratios, and using the Du Pont identity to examine a company's return on equity. Ratios need context and should be compared over time or to peer companies to be meaningful.
Chap001
This document provides an introduction to key concepts in corporate finance. It discusses the role of the financial manager, the goal of financial management which is to maximize shareholder wealth, the agency problem between owners and managers, and various types of financial markets. The chapter outline covers topics including what is corporate finance, the corporate firm, the goal of financial management, the agency problem, and financial markets.
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一比一原版(UCSB毕业证)圣芭芭拉分校毕业证如何办理
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一比一原版美国新罕布什尔大学(unh)毕业证学历认证真实可查
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Detailed power point presentation on compound interest and how it is calculated
Detailed information about compund interest
5 Tips for Creating Standard Financial Reports
Well-crafted financial reports serve as vital tools for decision-making and transparency within an organization. By following the undermentioned tips, you can create standardized financial reports that effectively communicate your company's financial health and performance to stakeholders.
Does teamwork really matter? Looking beyond the job posting to understand lab...
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Vicinity Jobs’ data includes more than three million 2023 OJPs and thousands of skills. Most skills appear in less than 0.02% of job postings, so most postings rely on a small subset of commonly used terms, like teamwork.
Laura Adkins-Hackett, Economist, LMIC, and Sukriti Trehan, Data Scientist, LMIC, presented their research exploring trends in the skills listed in OJPs to develop a deeper understanding of in-demand skills. This research project uses pointwise mutual information and other methods to extract more information about common skills from the relationships between skills, occupations and regions.Earn a passive income with prosocial investing
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"Does Foreign Direct Investment Negatively Affect Preservation of Culture in the Global South? Case Studies in Thailand and Cambodia."
Do elements of globalization, such as Foreign Direct Investment (FDI), negatively affect the ability of countries in the Global South to preserve their culture? This research aims to answer this question by employing a cross-sectional comparative case study analysis utilizing methods of difference. Thailand and Cambodia are compared as they are in the same region and have a similar culture. The metric of difference between Thailand and Cambodia is their ability to preserve their culture. This ability is operationalized by their respective attitudes towards FDI; Thailand imposes stringent regulations and limitations on FDI while Cambodia does not hesitate to accept most FDI and imposes fewer limitations. The evidence from this study suggests that FDI from globally influential countries with high gross domestic products (GDPs) (e.g. China, U.S.) challenges the ability of countries with lower GDPs (e.g. Cambodia) to protect their culture. Furthermore, the ability, or lack thereof, of the receiving countries to protect their culture is amplified by the existence and implementation of restrictive FDI policies imposed by their governments.
My study abroad in Bali, Indonesia, inspired this research topic as I noticed how globalization is changing the culture of its people. I learned their language and way of life which helped me understand the beauty and importance of cultural preservation. I believe we could all benefit from learning new perspectives as they could help us ideate solutions to contemporary issues and empathize with others.Eco-Innovations and Firm Heterogeneity. Evidence from Italian Family and Nonf...
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一比一原版(GWU,GW毕业证)加利福尼亚大学|尔湾分校毕业证如何办理
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国外毕业证学位证成绩单如何办理：
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6快递给客户（国内顺丰国外DHLUPS等快读邮寄）。口水苦涩无比山娃一边游泳一边念念不忘那元门票尤令山娃气愤的是泳池老板居然硬让父亲买了一大一小二条巴掌般大的裤衩衩走出泳池山娃感觉透身粘粘乎乎散发着药水味有点痒山娃顿时留恋起家乡的小河潺潺活水清凉无比日子就这样孤寂而快乐地过着寂寞之余山娃最神往最开心就是晚上无论多晚多累父亲总要携山娃出去兜风逛夜市流光溢彩人潮涌动的都市夜生活总让山娃目不暇接惊叹不已父亲老问山娃想买什么想吃什么山娃知道父亲赚钱很辛苦在
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Chap010
- 1. Return and Risk The Capital Asset Pricing Model (CAPM)
- 5. 10.2 Expected Return, Variance, and Covariance
- 27. The Formula for Beta
- 39. 2 6 25
- 40. CML Var(R P ) = σ p 2 = a 2 σ m 2 σ p = a*σ m a = σ p / σ m ( 代入 E(R P ) 中 ) E(R P ) = (1-a) R f + a*E(R m ) , a>0 E(R P ) = R f + ( σ p / σ m )*[E(R m )-R f ] = R f + { [E(R m )-R f ] / σ m } * σ p riskless asset market portfolio
- 43. CML Var(R P ) = σ p 2 = a 2 σ m 2 σ p = a*σ m a = σ p / σ m ( 代入 E(R P ) 中 ) E(R P ) = (1-a) R f + a*E(R m ) , a>0 E(R P ) = R f + ( σ p / σ m )*[E(R m )-R f ] = R f + { [E(R m )-R f ] / σ m } * σ p riskless asset market portfolio
- 44. β p = = = = + = + = W 1 β 1 + W 2 β 2 σ pm σ m 2 E{ [W 1 R 1 +W 2 R 2 –W 1 E(R 1 )–W 2 E(R 2 )]*[R m –E(R m )]} σ m 2 E{ [W 1 (R 1 –E(R 1 ) +W 2 (R 2 –E(R 2 )]*[R m –E(R m )]} σ m 2 E [W 1 (R 1 –E(R 1 )]*[R m –E(R m )] σ m 2 E [W 2 (R 2 –E(R 2 )]*[R m –E(R m )] σ m 2 σ m 2 W 1 σ 1m σ m 2 W 2 σ 2m
- 45. E(R A ) = 15.0% E(R Z ) = 8.6% E(R P ) = 0.5 *15.0% + 0.5 *8.6% = 11.8% Beta of Portfolio: = 0.5 *1.5 + 0.5 *0.7 = 1.1 Under the CAPM, the E(R P ) is E(R P ) = 3% + 1.1 *8.0% = 11.8%
- 46. σ p 2 = E [R P –E(R P )] 2 = E [(W 1 R 1 +W 2 R 2 ) – (W 1 E(R 1 ) + W 2 E(R 2 ))] 2 = E [(W 1 (R 1 – E(R 1 )) + W 2 (R 2 – E(R 2 )] 2 = = W 1 2 σ 1 2 + W 2 2 σ 2 2 + 2W 1 W 2 E [(R 1 – E(R 1 ))*(R 2 – E(R 2 )] W 1 2 σ 1 2 + W 2 2 σ 2 2 + 2W 1 W 2 σ 1 2 = W 1 2 σ 1 2 W 2 2 σ 2 2 W 1 W 2 σ 1 2 W 2 W 1 σ 21 設 Portfolio 中只有兩種資產 Σ W i 2 σ i 2 + Σ Σ W i W j σ ij i=1 2 i=1 2 j=1 2 i≠j
- 47. σ p 2 = = + + = + = = (when N->∞) (10.10) Σ X i 2 σ i 2 + Σ Σ X i X j σ ij i=1 N i=1 N j=1 i≠j N N N 2 1 Var N(N – 1) N 2 1 COV N 1 Var N(N – 1) N 2 COV N 1 Var COV (N – 1) N COV
- 48. Portfolio Risk and Number of Stocks Nondiversifiable risk; Systematic Risk; Market Risk Diversifiable Risk; Nonsystematic Risk; Firm Specific Risk; Unique Risk n In a large portfolio the variance terms are effectively diversified away, but the covariance terms are not. Portfolio risk