Portfolio Theory and Capital MarketsMcGraw-Hill, 1970 - Počet stran: 316 Part I covers procedures for selecting investments: a set of rules for the intelligent selection of investments under conditions of risk. Part II deals with models of capital markets based on the assumption that investors act in accordance with the principles describ in Part I and Part III. |
Obsah
Portfolio analysis using responsiveness as a measure of risk | 131 |
The effectiveness of diversification | 146 |
Mutualfund performance | 160 |
Autorská práva | |
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amount assumed assumption border line borrowing or lending capital market line capital market theory characteristic line combination of risky component securities computed Consider constant constraints corner portfolios correlation coefficient covariance deviation of return differential return diversification dollar E₁ efficient border efficient portfolios equations equilibrium example expected return expected value FIGURE given hold implies indicates indifference curves investor linear market portfolio mutual funds obtained optimal combination outcome P₁ P₂ partial derivative percent performance plot portfolio analysis portfolio theory predictions preferences probability distribution procedure proportions invested provides pure interest rate pure securities rate of return relationship return on security reward-to-variability ratio risk aversion riskless security risky securities security market line security or portfolio security's rate selected share of security shown by point shown in Fig simple slope solution standard deviation systematic risk uncertainty variance volatility W₁ W₂ wealth X₁ X₂ year's consumption