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Pmr ONE Porlfollb Anal41
Eﬂialmt Porlf010 1
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altemative analysis arbitrage pricing theory asset pricing models assume assumptions average B-coefﬁcient beta bond calculated capital market CAPM Chapter component covariance currency debt derivative discussed diversiﬁcation efﬁcient frontier empirical equal equation equilibrium equity estimate example exchange Exhibit expected return expected utility expected value factors Figure ﬁnancial ﬁnd ﬁrm ﬁrst futures contracts futures price gamble index fund index futures indifference curves individual inﬂation intemational intercept interest rate investment investor journal of Finance margin market index market portfolio matrix maturity measure mutual funds negative obtained opportunity set optimal portfolio percent performance period portfolio expected Portfolio Management portfolio return portfolio theory portfolio variance position problem proﬁt put option reﬂect retum risk and return risk aversion risk premium risk-free asset risk-free interest rate risk-free rate risky assets securities short selling single-index model speciﬁc standard deviation stock index strategy swap term trading utility function weight of asset yield