Upload
milano21785
View
227
Download
0
Embed Size (px)
Citation preview
8/10/2019 Session 1 for modern portfolio theory
1/38
8/10/2019 Session 1 for modern portfolio theory
2/38
Table 4-2 Return on Various Assets
8/10/2019 Session 1 for modern portfolio theory
3/38
Table 4-3 Returns on Various Investmentsa
8/10/2019 Session 1 for modern portfolio theory
4/38
Table 4-4 Dollars at Period 2 Given Alternative Investments
8/10/2019 Session 1 for modern portfolio theory
5/38
Table 4-5 Monthly Returns on IBM, Alcoa, and GM (in percen
8/10/2019 Session 1 for modern portfolio theory
6/38
FIGURE 4-1 Securities and predetermined portfolios.
8/10/2019 Session 1 for modern portfolio theory
7/38
Table 4-6 Calculating Covariances
8/10/2019 Session 1 for modern portfolio theory
8/38
Table 4-7 Covariance and Correlation Coefficients (in BracketBetween Assets
8/10/2019 Session 1 for modern portfolio theory
9/38
(Table continues on next slide)
Table 4-8 Effect of Diversification
8/10/2019 Session 1 for modern portfolio theory
10/38
Table 4-8 (continued)
8/10/2019 Session 1 for modern portfolio theory
11/38
Table 4-9 Percentage of the Risk on an Individual Security that Be Eliminated by Holding a Random Portfolio of Stocks with
Selected National Markets and among National Markets [13]
8/10/2019 Session 1 for modern portfolio theory
12/38
FIGURE 4-2 The effect of number of securities on risk of thportfolio in the United States[13].
8/10/2019 Session 1 for modern portfolio theory
13/38
FIGURE 4-3 The effect of securities on risk in the U. K.
8/10/2019 Session 1 for modern portfolio theory
14/38
Table 5-1 The expected Return and Standard Deviation of a
Portfolio of Colonel Motors and Separated Edison When r= +
8/10/2019 Session 1 for modern portfolio theory
15/38
FIGURE 5-1 Relationship between expected return and standadeviation when r= +1.
8/10/2019 Session 1 for modern portfolio theory
16/38
8/10/2019 Session 1 for modern portfolio theory
17/38
FIGURE 5-2 Relationship between expected return and standadeviation when r=1
8/10/2019 Session 1 for modern portfolio theory
18/38
FIGURE 5-3 Relationship between expected return and standadeviation for various correlation coefficients.
8/10/2019 Session 1 for modern portfolio theory
19/38
8/10/2019 Session 1 for modern portfolio theory
20/38
Figure 5-4 Relationship between expected return and standardeviation when r= 0.
8/10/2019 Session 1 for modern portfolio theory
21/38
Table 5-4 The expected Return and Standard Deviation of a Port
of Colonel Motors and Separated Edison When r= 0.5
8/10/2019 Session 1 for modern portfolio theory
22/38
FIGURE 5-5 Relationship between expected return and standadeviation of return for various correlation coefficients.
8/10/2019 Session 1 for modern portfolio theory
23/38
(Figure continues on next slide)
FIGURE 5-6 Various possible relationships for expected returnstandard deviation when the minimum variance portfolio and Co
Motors are combined.
8/10/2019 Session 1 for modern portfolio theory
24/38
FIGURE 5-6 (continued)
8/10/2019 Session 1 for modern portfolio theory
25/38
(Figure continues on next slide)
FIGURE 5-7 Various possible relationships between expected reand standard deviation of return when the minimum variance
portfolio is combined with portfolio S.
8/10/2019 Session 1 for modern portfolio theory
26/38
FIGURE 5-7 (continued)
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition Wiley & Sons, Inc.
8/10/2019 Session 1 for modern portfolio theory
27/38
FIGURE 5-8 Risk and return possibilities for various assets aportfolios.
8/10/2019 Session 1 for modern portfolio theory
28/38
FIGURE 5-9 The efficient frontier.
8/10/2019 Session 1 for modern portfolio theory
29/38
8/10/2019 Session 1 for modern portfolio theory
30/38
Table 5-5 The Expected Return and Standard Deviation When S
Sales Are Allowed
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition Wiley & Sons, Inc.
8/10/2019 Session 1 for modern portfolio theory
31/38
FIGURE 5-11 Expected return standard deviation combinationColonel Motors and Separated Edison when short sales are allow
8/10/2019 Session 1 for modern portfolio theory
32/38
FIGURE 5-12 The efficient set when short sales are allowed
8/10/2019 Session 1 for modern portfolio theory
33/38
FIGURE 5-13 Expected return and risk when the risk-free ratemixed with portfolio A.
8/10/2019 Session 1 for modern portfolio theory
34/38
FIGURE 5-14 Combinations of the riskless asset and various riportfolios.
8/10/2019 Session 1 for modern portfolio theory
35/38
FIGURE 5-15 The efficient frontier with lending but not borrowat the riskless rate.
8/10/2019 Session 1 for modern portfolio theory
36/38
8/10/2019 Session 1 for modern portfolio theory
37/38
FIGURE 6-1 Combinations of the riskless asset in a risky portfo
8/10/2019 Session 1 for modern portfolio theory
38/38
FIGURE 6-3 Tangency portfolios for different riskless rates