tailieunhanh - Capital Markets and Portfolio Theory

The CAPM rattled investment professionals in the 1960s and its commanding importance still reverberates today." --Dow Jones Asset Management. Nearly 30 years ago, PORTFOLIO THEORY AND CAPITAL MARKETS laid the groundwork for such investment standards as modern portfolio theory, derivatives pricing and investment, and equity index funds, among others. | Capital Markets and Portfolio Theory Roland Portait From the class notes taken by Peng Cheng Novembre 2000 2 Table of Contents Table of Contents PART I Standard One Period Portfolio 1 Portfolio Framework and notations. 2 No Risk-free Asset. 2 With Risk-free Asset. 4 Efficient portfolio in absence of a risk-free asset. 6 Efficiency criteria. 6 Efficient portfolio and risk averse investors. 8 Efficient set. 9 Two funds separation Black . 10 Efficient portfolio with a risk-free asset. 11 1. D HARA preferences and Cass-Stiglitz 2 fund HARA Hyperbolic Absolute Risk Aversion .14 1. Cass and Stiglitz separation. 15 2 Capital Market 2. A CAPM. 17 2. The Model . 17 Geometry . 19 CAPM as a Pricing and Equilibrium Testing the CAPM . 21 2. B Factor Models and APT. 21 K-factor models. 21 APT. 22 Arbitrage and Equilibrium . 24 2. References. 25 PART II Multiperiod Capital Market Theory the Probabilistic 3 3. A Probability Space and Information. 27 Asset Prices. 28 3. Definitions and Notations. 28 Portfolio Strategies. 29 Notation . 29 Discrete Time . 29 Continuous Time . 30