This document discusses portfolio theory and investment funds. It covers key concepts such as Markowitz portfolio theory, risk and return, diversification, the efficient frontier, capital asset pricing model (CAPM), and types of investment funds. The main points are: 1) Portfolio theory holds that risk-averse investors can construct portfolios to optimize return for a given level of risk through diversification and choosing assets with low correlations. 2) The efficient frontier shows the set of optimal portfolios that offer the highest expected return for their level of risk. 3) CAPM is a model that describes the relationship between risk and expected return and is used to price assets based on their sensitivity to non-divers

1. 1
‫القاهرة‬ ‫جامعة‬
‫السياسية‬ ‫والعلوم‬ ‫االقتصاد‬ ‫كلية‬
‫االقتصاد‬ ‫قسم‬

2. 2
Markowitz

3. 3
Objectives
Constraints
1-
2-

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

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

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

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

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

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

10. 11
‌



11. 11

Performance Evaluation
:
.
:
.
.
.

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

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

14. 14

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

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

17. 17
Risky Assets

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

19. 19
X
Efficient Set

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

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

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

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

24. 24
SML
SML

SML

25. 25
SML
Expected Dividend YieldExpected Capital Gains
Yield

26. 26
Undervalued
Overvalued
Security Market Line (SML)

27. 27



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

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

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

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

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

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

34. 34











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

36. 36

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

38. 38











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

40. 41