tailieunhanh - Lecture Quantitative investment analysis: Chapter 11 – CFA Institute

Chapter 11 – Portfolio concepts. This chapter define mean–variance analysis and list its assumptions; explain the concept of an efficient portfolio; define the minimum-variance frontier, the global minimum-variance portfolio, and the efficient frontier;. | Portfolio Concepts This is an exceedingly long and complicated chapter. The instructor should plan at least two sessions for it and, depending on how detailed the coverage will be, possibly three. 1 Mean–Variance Analysis Mean–variance analysis is the fundamental implementation of modern portfolio theory, and describes the optimal allocation of assets between risky and risk-free assets when the investor knows the expected return and standard deviation of those assets. Assumptions necessary for mean–variance efficiency analysis: All investors are risk averse; they prefer less risk to more for the same level of expected return. Expected returns for all assets are known. The variances and covariances of all asset returns are known. Investors need know only the expected returns, variances, and covariances of returns to determine optimal portfolios. They can ignore skewness, kurtosis, and other attributes of a distribution. There are no transaction costs or taxes. 2 LOS: Define . | Portfolio Concepts This is an exceedingly long and complicated chapter. The instructor should plan at least two sessions for it and, depending on how detailed the coverage will be, possibly three. 1 Mean–Variance Analysis Mean–variance analysis is the fundamental implementation of modern portfolio theory, and describes the optimal allocation of assets between risky and risk-free assets when the investor knows the expected return and standard deviation of those assets. Assumptions necessary for mean–variance efficiency analysis: All investors are risk averse; they prefer less risk to more for the same level of expected return. Expected returns for all assets are known. The variances and covariances of all asset returns are known. Investors need know only the expected returns, variances, and covariances of returns to determine optimal portfolios. They can ignore skewness, kurtosis, and other attributes of a distribution. There are no transaction costs or taxes. 2 LOS: Define mean–variance analysis and list its assumptions. Pages 429–430 At this point, there are often objections to many of the assumptions held. For many participants, the main findings of modern portfolio theory (MPT) hold. However, the conclusions are not exactly those predicted by MPT. An easy example is the transaction costs and taxes assumption. If we assume, instead, that there are taxes and transaction costs, but that everyone faces the same taxes and transaction costs, we can get very similar conclusions to MPT as formulated here. 2 Efficient portfolios Efficient portfolios (assets) offer the highest level of return for a given level of risk as measured by standard deviation in modern portfolio theory. Because investors are risk-averse, by assumption, they will choose to allocate their assets to portfolios that have the highest possible level of expected return for a given level of risk. These portfolios are known as efficient portfolios. We can use optimization techniques to determine the .

crossorigin="anonymous">
Đã phát hiện trình chặn quảng cáo AdBlock
Trang web này phụ thuộc vào doanh thu từ số lần hiển thị quảng cáo để tồn tại. Vui lòng tắt trình chặn quảng cáo của bạn hoặc tạm dừng tính năng chặn quảng cáo cho trang web này.