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Unformatted text preview: Matrix basics o Matrix of returns, weights, and covariance matrix o Rules of matrix operation Concepts of minimum-variance portfolios and efficient portfolios Identification of the optimal portfolio when there is no risk-free lending and borrowing Identification of optimal capital allocation line when an investor can borrow and lend at the risk-free rate Identification of the optimal complete portfolio on the optimal capital allocation line Index Model (Chapter 8) Advantages of index model, number of inputs The model and its direct application Beta estimation using regression Variance decomposition using index model Covariance under index model...
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- Spring '11