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MODERN PORTFOLIO THEORY
The Markowitz Model
The CAPIWS Deﬁnition of Risk
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academics adaptations alpha Arbitrage Pricing Theory Arnott Asset Pricing Model assumptions average basic behavior beta estimates calculated Capital Asset Pricing capital market line changes Chapter coefficient Common Stocks correlation covariance diversified dividend yield efficient frontier Empirical error evaluate ex post expected returns factors Fama Financial Analysts Journal Financial and Quantitative Financial Economics firm’s firms folio groups historical betas industry inﬂation intercept investment investors Jensen Joumal Journal of Finance liquidity market model market portfolio market return measure of risk modern portfolio theory Multi-Index percent period Portfolio Management practitioners predict problems proxy Public Utilities Quantitative Analysis rate of return reﬂect regression relationship retum risk and return risk measure risk premium risk-free asset risk-free rate Scholes security market line shown in Exhibit simple CAPM skewness Source standard deviation Stock Price stock returns systematic risk taxes theoretical Treasury bill rate variability variance volatility