CHAPTER FIVE
Mean-Variance Portfolio Theory
Chapter Overview
Introduction
Measuring Risk and Return for a Single Asset
Measuring Portfolio Risk and Return
The Efficient Set with Two Risky Assets
The Efficient Set with One Risky and One Risk-Free
Asset
Op
CHAPTER ONE
Capital Markets, Consumption, and Investment
Chapter Overview
Introduction
Consumption and Investment without Capital Markets
Consumption and Investment with Capital Markets
Transaction Costs and the Breakdown of Separation
1
INTRODUCTION
Chap
Course Outline
Topic #1: Utility Theory
Topic #2: State Preference Theory
Topic #3: Mean-Variance Portfolio Theory
Topic #4: Capital Asset Pricing Model and
Arbitrage Pricing Theory
Topic #5: Theory of Option Pricing
Topic #6: Interest Rates, Forward an
CHAPTER EIGHT
The Term Structure of Interest Rates, Forward Contracts,
and Futures
Chapter Overview
Introduction
Models of the Term Structure
Forward and Futures Contracts
The Theory of Futures Markets and Futures Contract
Pricing
Empirical Evidence
Syn
CHAPTER SIX
Market Equilibrium: CAPM and APT
Chapter Overview
Introduction
The Efficiency of the Market Portfolio
Derivation of the CAPM
Properties of the CAPM
Corporate Applications
1
CHAPTER SIX
Market Equilibrium: CAPM and APT
Chapter Overview Continue
CHAPTER FOUR
STATE PREFERENCE THEORY
Chapter Overview
Introduction
Uncertainty and Alternative Future States
Pure Securities
Complete Capital Markets
Derivation of Pure Security Prices
No-Arbitrage Profit Condition
1
CHAPTER FOUR
STATE PREFERENCE THEORY
C
APPENDIX A
Discounting
Chapter Overview
Introduction
The Time Value of Money: Discrete Compounding
The Time Value of Money: Continuous Compounding
1
INTRODUCTION
Appendix Objectives
In any economy, we find positive rates of interest due to
1) the prod
CHAPTER THREE
The Theory of Choice: Utility Theory Under
Uncertainty
Chapter Overview
Introduction
Five Axioms of Choice under Uncertainty
Developing Utility Functions
Establishing a Definition of Risk Aversion
Stochastic Dominance
Using Mean and Variance
CHAPTER TWO
Investment Decisions and the Certainty Case
Chapter Overview
Introduction
More on the Fisher Separation
The Problem of Agency
Time Value of Money and Discounting Appendix A
Shareholder Wealth Maximization
Capital Budgeting Techniques
Cash Flow
CHAPTER ONE
Capital Markets, Consumption, and Investment
Chapter Overview
Introduction
Consumption and Investment without Capital Markets
Consumption and Investment with Capital Markets
Transaction Costs and the Breakdown of Separation
1
INTRODUCTION
Chap