mid2-review - 5 CAPM 6 Capital market line and security...

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FIN 432 – Investment Analysis and Management Review Notes for Midterm Exam # 2 Chapter 5 1. Risk and return 2. Holding period return 3. Mean and standard deviation (ex ante vs. ex post) 4. Asset allocation 1. Portfolio construction with two risky assets 2. Diversification Why portfolios can reduce total risk 3. Modern portfolio theory: concepts and applications With n risky assets (no risk-free asset) Efficient portfolios; Efficient frontier and MVP Indifference curves; Choosing the optimal portfolio If a risk-free asset exists Efficient portfolios; Efficient frontier and MVP Indifference curves; Choosing the optimal portfolio 4. Beta coefficient
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Unformatted text preview: 5. CAPM 6. Capital market line and security market line 7. Single index model Chapter 8 1. EMH: forms, concepts, and implications 2. Evidence of market efficiency: concepts 3. Evidence of market anomalies: concepts 4. The role of portfolio manager in efficient market Sample Problems 1. Risk-return relationship, beta, and CAPM, see the examples discussed in class and homework problems 2. Single index model, see the example discussed in class 3. Efficient market hypothesis, concept checks 4. Problems 5-6, 5-7, and 5-8 5. Problems 6-1, 6-2, and 6-6 to 6-10 6. Problems 7-16, 7-17, and 7-18 7. Problems 7-29, 7-32 to 7-43 1...
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