• Study Resource
  • Explore
    • Arts & Humanities
    • Business
    • Engineering & Technology
    • Foreign Language
    • History
    • Math
    • Science
    • Social Science

    Top subcategories

    • Advanced Math
    • Algebra
    • Basic Math
    • Calculus
    • Geometry
    • Linear Algebra
    • Pre-Algebra
    • Pre-Calculus
    • Statistics And Probability
    • Trigonometry
    • other →

    Top subcategories

    • Astronomy
    • Astrophysics
    • Biology
    • Chemistry
    • Earth Science
    • Environmental Science
    • Health Science
    • Physics
    • other →

    Top subcategories

    • Anthropology
    • Law
    • Political Science
    • Psychology
    • Sociology
    • other →

    Top subcategories

    • Accounting
    • Economics
    • Finance
    • Management
    • other →

    Top subcategories

    • Aerospace Engineering
    • Bioengineering
    • Chemical Engineering
    • Civil Engineering
    • Computer Science
    • Electrical Engineering
    • Industrial Engineering
    • Mechanical Engineering
    • Web Design
    • other →

    Top subcategories

    • Architecture
    • Communications
    • English
    • Gender Studies
    • Music
    • Performing Arts
    • Philosophy
    • Religious Studies
    • Writing
    • other →

    Top subcategories

    • Ancient History
    • European History
    • US History
    • World History
    • other →

    Top subcategories

    • Croatian
    • Czech
    • Finnish
    • Greek
    • Hindi
    • Japanese
    • Korean
    • Persian
    • Swedish
    • Turkish
    • other →
 
Profile Documents Logout
Upload
Lecture 08: Multi-period Model period Model
Lecture 08: Multi-period Model period Model

Ch02. Ppt
Ch02. Ppt

Bond Landdering - Wealthcare Securities Pvt. Ltd.
Bond Landdering - Wealthcare Securities Pvt. Ltd.

... BOND LADDERING However…  The face value of each bond might be same.  For example, a bond portfolio of Rs10 lakh may have 10 different bonds of Rs1 lakh each maturing after one year, two years, three years and so on.  In such a situation, your bond portfolio would actually look like a ladder in w ...
Sequencing riSk a key challenge to creating SuStainaBle
Sequencing riSk a key challenge to creating SuStainaBle

... as superannuation, is dominated by defined contribution (DC) plans. A recent study by Towers Watson (2011) reported that in 2010, around 80 per cent of all pension assets in Australia were held by DC plans (compared with 57 per cent in the United States of America (US), 40 per cent in the United Kin ...
Effects of Business Diversification on Asset Risk-Taking
Effects of Business Diversification on Asset Risk-Taking

... finds that diversified firms hold about half as much cash as focused firms because diversified companies enjoy the risk reductions by coinsurance which allows them to hold less cash than their counterparts. Tong (2011) studies the relation between diversification and the value of cash in diversifie ...
(Ab)Use of Omega?
(Ab)Use of Omega?

... has some severe drawbacks. In fact, it might conduct investors to misleading rankings of risky assets, even in an extremely simplified framework such as the Gaussian one.3 The main ideas that we present hereafter are: 1) the Omega measure is biased in some cases due to the importance of the mean ret ...
Short Term Alpha as a Predictor of Future Mutual Fund Performance
Short Term Alpha as a Predictor of Future Mutual Fund Performance

... capability of the short term alpha values calculated with the process described above.   The  trading  system  consists  of  purchasing  the  highest  rated  three  funds  within  a  particular asset class on the trade date and holding the funds for a prescribed number of  days,  and  then  replacin ...
OPTION PRICING MODEL
OPTION PRICING MODEL

... • Model is based on constructing a replicating portfolio (RP). • The RP is a portfolio whose cash flows match the cash flows of a call option. • By the law of one price, two assets with the same cash flows will in equilibrium be equally priced; if not, arbitrage opportunities would exist. ...
Analysing and Decomposing the Sources of Added
Analysing and Decomposing the Sources of Added

... the PSP and hedging benefits for LHP), the intuition suggests that the interaction between performance and hedging motives should also play an important role. We analyse this effect and show that investor welfare can be improved by the design of performance-seeking portfolios with improved liability ...
Imperial Money Market Pool
Imperial Money Market Pool

... dealers in respect of the sale of units of the Pool. However, CIBC Trust receives fees from its clients for offering discretionary management services and, from these fees, CIBC Trust may pay affiliated dealers and other CIBC members for services provided in connection with the client’s discretionar ...
Intermediary Asset Pricing
Intermediary Asset Pricing

classical and novel risk measures for a stock index on a developed
classical and novel risk measures for a stock index on a developed

Asset correlations and credit portfolio risk
Asset correlations and credit portfolio risk

... internal credit risk modelling processes and banking supervision. We first find substantial time variation in asset correlations both for the market model and the sector model. This suggests that asset correlation estimates should be regularly validated. For example, the median inferred asset correlat ...
Hedging and rebalancing options in a binomial tree.
Hedging and rebalancing options in a binomial tree.

... Options are versatile instruments that allow investors to hedge their portfolios through the use of the different properties that each type of option – European call, European put, American call, American put, and other options outside the scoop of these report – possesses. Their prices depend on th ...
Stochastic dominance and behavior towards risk: The market for
Stochastic dominance and behavior towards risk: The market for

... As mentioned, expected utility is the predominant approach used in asset ...
Market and Public Liquidity
Market and Public Liquidity

... In a frictionless financial system it is efficient for SRs to rely on this source of outside liquidity. This mechanism allows SRs to originate a larger volume of valuable assets and to distribute them to the highest-value holders. However, in reality there are at least two frictions that may disrupt ...
Inter-generational Redistribution in the Great Recession
Inter-generational Redistribution in the Great Recession

... actually be better off if they become economically active in the midst of a large and persistent economic downtown. The answer to this question is that it depends on the size of the decline in equilibrium asset prices, relative to the decline in wages, in response to a negative aggregate shock. If o ...
1. Introduction to risk
1. Introduction to risk

Document
Document

... Traditional assets (liquid): Shares, bonds and mutual funds in different markets. Non-traditional Assets (not liquid): Assets and bonds of new projects (project finance), alternative investment funds (Private equity funds, hedge funds, commodities funds, real estate funds etc.) securitization of rea ...
Housing and Portfolio Choice: A Life Cycle Simulation Model
Housing and Portfolio Choice: A Life Cycle Simulation Model

... as a primary residence and not as an investment in a real estate fund – can play a central role in determining optimal asset demand. First, housing is a prominent asset in most households’ portfolios and responsible for a significant part of the households’ expenses. Yao and Zhang (2005) report from ...
Advanced Cash-Flow Techniques in Product Pricing
Advanced Cash-Flow Techniques in Product Pricing

... We started with a spread of 145 basis points, which gave a 14.2% return on investment (ROI). We then took the same product and ran 100 interest rate scenarios in an asset/liability model. We came up with an average rate of return of 12.9% (down from 14.2%). I'll qualify the actual number that we're ...
Number 67
Number 67

... sets of risk-allocation. Value-based generational accounting is used as the framework of the analysis. First, they find that a pension deal is a zero-sum game in value terms; then, by introducing a welfare analysis of pension deals, they show that a pension deal is potentially a positive-sum game in ...
Chapter 3 Statistical Concepts and Market Returns
Chapter 3 Statistical Concepts and Market Returns

... Measures of relative dispersion are used to compare risk and return across differing sets of observations. • The coefficient of variation is the ratio of the standard deviation of a set of observations to their mean value. - This ratio can be thought of as the units of risk per unit of mean return. ...
Dynamic deposit – Higher profit opportunities
Dynamic deposit – Higher profit opportunities

... guaranteed principal amount • What is a dynamic deposit? A dynamic deposit is an investment which gives you the opportunity to invest free funds for a specific period of time with larger profit opportunities and guaranteed deposit amount at the end of the investment period. Contrary to a term depos ...
Actuarial Mathematics (MA310)
Actuarial Mathematics (MA310)

< 1 ... 14 15 16 17 18 19 20 21 22 ... 62 >

Modern portfolio theory

Modern portfolio theory (MPT) is a theory of finance that attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets. Although MPT is widely used in practice in the financial industry and several of its creators won a Nobel memorial prize for the theory, in recent years the basic assumptions of MPT have been widely challenged by fields such as behavioral economics.MPT is a mathematical formulation of the concept of diversification in investing, with the aim of selecting a collection of investment assets that has lower overall risk than any other combination of assets with the same expected return. This is possible, intuitively speaking, because different types of assets sometimes change in value in opposite directions. For example, to the extent prices in the stock market move differently from prices in the bond market, a combination of both types of assets can in theory generate lower overall risk than either individually. Diversification can lower risk even if assets' returns are positively correlated.More technically, MPT models an asset's return as a normally or elliptically distributed random variable, defines risk as the standard deviation of return, and models a portfolio as a weighted combination of assets, so that the return of a portfolio is the weighted combination of the assets' returns. By combining different assets whose returns are not perfectly positively correlated, MPT seeks to reduce the total variance of the portfolio return. MPT also assumes that investors are rational and markets are efficient.MPT was developed in the 1950s through the early 1970s and was considered an important advance in the mathematical modeling of finance. Since then, some theoretical and practical criticisms have been leveled against it. These include evidence that financial returns do not follow a normal distribution or indeed any symmetric distribution, and that correlations between asset classes are not fixed but can vary depending on external events (especially in crises). Further, there remains evidence that investors are not rational and markets may not be efficient. Finally, the low volatility anomaly conflicts with CAPM's trade-off assumption of higher risk for higher return. It states that a portfolio consisting of low volatility equities (like blue chip stocks) reaps higher risk-adjusted returns than a portfolio with high volatility equities (like illiquid penny stocks). A study conducted by Myron Scholes, Michael Jensen, and Fischer Black in 1972 suggests that the relationship between return and beta might be flat or even negatively correlated.
  • studyres.com © 2025
  • DMCA
  • Privacy
  • Terms
  • Report