tailieunhanh - Bài giảng Chapter 5: Risk and return - Portfolio theory and asset pricing models

Bài giảng Chapter 5: Risk and return - Portfolio theory and asset pricing models presents of portfolio theory, capital asset pricing model (CAPM) (efficient frontier, capital market line (CML), security market line (SML), beta calculation, beta calculation), arbitrage pricing theory, fama french 3 factor model. | CHAPTER 5 Risk and Return: Portfolio Theory and Asset Pricing Models Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model Portfolio Theory Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. If the correlation between A and B is , what are the expected return and standard deviation for a portfolio comprised of 30 percent Asset A and 70 percent Asset B? Portfolio Expected Return Portfolio Standard Deviation Attainable Portfolios: rAB = Attainable Portfolios: rAB = +1 Attainable Portfolios: rAB = -1 Attainable Portfolios with Risk-Free Asset (Expected risk-free return = 5%) Expected Portfolio Return, rp Risk, p Efficient Set Feasible Set Feasible and Efficient Portfolios The feasible set of portfolios represents all portfolios that can be constructed from a given set of stocks. An efficient portfolio is one that offers: the most return for a given amount of risk, or the least risk for a give amount of return. The collection of efficient portfolios is called the efficient set or efficient frontier. IB2 IB1 IA2 IA1 Optimal Portfolio Investor A Optimal Portfolio Investor B Risk p Expected Return, rp Optimal Portfolios Indifference curves reflect an investor’s attitude toward risk as reflected in his or her risk/return tradeoff function. They differ among investors because of differences in risk aversion. An investor’s optimal portfolio is defined by the tangency point between the efficient set and the investor’s indifference curve. What is the CAPM? The CAPM is an equilibrium model that specifies the relationship between risk and required rate of return for assets held in well-diversified portfolios. It is based on the premise that only one factor affects risk. What is that factor? Investors all . | CHAPTER 5 Risk and Return: Portfolio Theory and Asset Pricing Models Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model Portfolio Theory Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. If the correlation between A and B is , what are the expected return and standard deviation for a portfolio comprised of 30 percent Asset A and 70 percent Asset B? Portfolio Expected Return Portfolio Standard Deviation Attainable Portfolios: rAB = Attainable Portfolios: rAB = +1 Attainable Portfolios: rAB = -1 Attainable Portfolios with Risk-Free Asset (Expected risk-free return = 5%) Expected Portfolio Return, rp Risk, p Efficient Set Feasible Set Feasible and Efficient Portfolios The feasible set of portfolios represents all .