Tutorial 8
Yuting Yang
November 8, 2016
Concept Review
1. Capital Market Line
r = rf +
rM rf
M
2. CAPM
ri rf = i (
rM rf )
3. Risk Decomposition
Systematic risk vs Non-Systematic risk
4. CAPM as a pricing Formula
i
h
1
cov(Q,rM )(rM rf )
Q
P = 1+r
var(r

SEEM3590/ESTR3509 Investment Science
Tutorial 10
Joshua Hiew
23 November 2016
1
Concept Review
Interest Rate in the Market
Term Structure of Interest Rates
Discount Factor and Short Rate
Forward Rate
2
Exercise
Exercise 1 Show that the continuously co

SEEM3590/ESTR3509 Investment Science
Tutorial 3
HUANG Xin, Nicky
Oct. 05, 2016
1. Concepts Review
Risk, total return and the rate of return for one single period
Markowitz model without a risk-free asset
Two-fund theorem
Markowitz model including a risk-f

SEEM 3590 Investment Science
Xuedong He, Fall 2016
Homework Set 4
Due Nov. 16
Reading
[L] Ch7: Sections 17. Ch12: Sections 12
Assignment
1. [L] Chapter 7: Exercise 1
(Capital market line) Assume that the expected rate of return on the market
portfolio is

Department of Systems Engineering & Engineering Management
The Chinese University of Hong Kong
2016/2017
The 1st Term
Course Code & Title: SEEM3590 INVESTMENT SCIENCE
Instructors
Name
Prof. Xuedong He
Office
Room 505, William M. W. Mong Engineering Buildi

SEEM 3590: Investment Science
Lecture Notes 2: Mean-variance Analysis
Xuedong He
Fall 2016
1 / 42
Uncertainty
I
Cash flow analysis can be applied to investment decision
problems in which the cash flow steams are deterministic
I
However, in reality, initia

SEEM 3590 Investment Science
Xuedong He, Fall 2016
Some Notes on Matrices and Vectors
1
Matrices and Vectors
An n-by-m matrix A consists of nm entries aligned in n rows and m columns, i.e.,
a
a1,2
1,1
a
a2,2
2,1
.
.
.
A=
.
.
an1,1 an1,2
an,1
an,2
a1,

SEEM 3590: Investment Science
Lecture Notes 01: Cash Flow Analysis
Xuedong He
Fall, 2016
1 / 59
Interest Theory
I
Interest is the result of time value of money
I
If you deposit $100 in a bank that pays 2% interest per year,
then at the end of 1 year you w