Samenvatting
Summary INVESTMENTS: Complete slides + notes + graphs
- Vak
- Instelling
- Boek
This document is up to date () and is a summary of the slides + notes + graphs of the Investment class (1st Master).
[Meer zien]Voorbeeld 4 van de 56 pagina's
Voorbeeld 4 van de 56 pagina's
In winkelwagen
In winkelwagen
Gekoppeld boek
Titel boek:
Auteur(s):
- Uitgave:
- ISBN:
- Druk:
Meer samenvattingen voor studieboek
-
Lecture notes on Option Markets
-
Samenvatting Investment Management
-
COMPLETE summary Investments course. Grade: 7.8
Verkoper
Volgen
mmclopdb
Ontvangen beoordelingen
Voorbeeld van de inhoud
2022Investments
KUL
JUTTA BELLIU
,Master in Business Economics KUL
Table of contents
Capital Markets and Products ............................................................................................................................ 2
Investment Concepts .......................................................................................................................................... 7
Allocation to risky assets .................................................................................................................................. 10
Optimal risky portfolios .................................................................................................................................... 14
Index models .................................................................................................................................................... 21
Market Efficiency.............................................................................................................................................. 25
Behavioural finance and limits to arbitrage ..................................................................................................... 29
Fixed income instruments ................................................................................................................................ 35
Managing fixed income portfolios ................................................................................................................... 42
Applied portfolio management ........................................................................................................................ 50
1
,Master in Business Economics KUL
Capital Markets and Products
F Financial markets
o Financial markets allow to share or transfer risk –> willingness to take on risk.
§ As investor you take on risk, BUT: ALWAYS want to be compensated for it.
o Financial markets allow to separate the timing of income and consumption à store
wealth to transfer it to the future.
§ Savings accounts are made possible through the storage of wealth.
o Financial markets allow to separate ownership and management in support of large-
scale businesses, BUT: be careful with associated agency problems.
§ When you are connected to a specific founder à there is less opportunity to
grow –> will use external funding.
o Financial markets allow to allocate resources efficiently –> to most productive real
investment.
§ This is the informational role of financial markets à market efficiency >>>
money flows to productive opportunities.
o The traditional asset classes:
§ Money market instruments à these are short term, low risk debt securities
–> “cash”.
• They allow us to save.
• Are relatively risk-free assets.
§ Capital market instruments à these are long term, riskier and more diverse
assets –> “stocks and bonds”.
• These usually have a longer maturity –> are also riskier assets.
• They have a wide range of instruments.
§ Each instrument is unique in terms of uncertainty of payments and timing of
payments and has a distinct contribution to investment portfolio –> each has
unique risk return profile + different role to play in portfolio.
o Money market instruments:
§ Treasury bill = Government debt obligation with a maturity of less than a
year.
§ Certificate of deposit (CD) = Time deposit at a bank.
§ Commercial paper (CP) = Short term unsecured debt issued by a large
corporation.
§ Bankers’ acceptance = A bank promise to pay a prespecified amount.
§ Repurchase agreement (repo or RP) = A short term loan (usually overnight)
using other securities (usually government securities) as collateral.
§ Interbank loans = These are short term loans among banks (from which
reference rates are being calculated à ESTR, EURIBOR).
• ESTR = cost of borrowing from a bank overnight
§ Central bank deposits and loans = Short term deposit/ loan of a bank by its
central bank à federal funds, MRO, deposit facilities, lending facilities, MRR.
• Central bank acts as a bank to other banks à where the other banks
become the consumers.
§ Call loans = Loans that need to be repaid, on demand at any time à is often
made by banks to brokerage firms to fund individuals that buy on margin.
• Buy on margin = You borrow money & with that money you make
risky investment –> fundamentally. Banks sponsor the risky
investment.
2
, Master in Business Economics KUL
ð Most money market instruments are low risk, BUT: they are NOT risk free.
• T-bills have the lowest risk, BOTH in terms of credit risk, as well as in
liquidity risk
• When the economy is stable à ALL rates are relatively similar, BUT:
in unstable economy à they can vary a lot.
§ Rates spiked during the credit crisis >>> banks were in trouble
and a credit risk.
• Central Banks use the base rates in the economy as a policy tool.
o Capital market instruments
§ Bonds = These are debt issues by government or corporations.
• Longer term debt instrument with wide range of maturities >>> can
be bond from 1 year and onwards.
• Have various credit qualities à from high credit-quality instruments
to (very) low credit-quality (junk) instruments.
o High risk = high compensation.
• Liquidity can vary from very high to almost 0.
o If bond does NOT trade on regular basis à price might be
reduced >>> is NOT accurate anymore –> depends on
liquidity.
• Often in smaller denominations such that they can be held by retail
investors.
• Often NOT traded on the exchange, BUT: rather traded over the
counter (OTC) via dealers.
• Expressed as a % of the par value.
• Typically pay coupon interest.
• Performance measurement à hpr or yield which includes a risk.
Premium for credit risk.
è Currently we’re in an uncertain period with inverse relationship of bonds
and interest rates –> right now it is better to have short run bonds >>>
interest rates are increasing.
§ Types of bonds
• Treasury notes = Government debt with a maturity that is more than
1 year and less than 10.
• Treasury bonds = Government debt with a maturity larger than 10
years.
• Treasury inflation-protected securities (TIPS) = These are
government debt with principal and interest adjusted for inflation.
• Federal agency/ municipal bonds = Debt issued or guaranteed by,
respectively, a federal agency, state, or local government/
• Corporate bonds = Debt issued by a large corporation; typically,
larger default risk as compared to government debt; options
included (callable, convertible).
• Asset backed debt = Proportional ownership claims in an asset pool
à securitisation.
3
Voordelen van het kopen van samenvattingen bij Stuvia op een rij:
Verzekerd van kwaliteit door reviews
Stuvia-klanten hebben meer dan 700.000 samenvattingen beoordeeld. Zo weet je zeker dat je de beste documenten koopt!
Snel en makkelijk kopen
Je betaalt supersnel en eenmalig met iDeal, creditcard of Stuvia-tegoed voor de samenvatting. Zonder lidmaatschap.
Focus op de essentie
Samenvattingen worden geschreven voor en door anderen. Daarom zijn de samenvattingen altijd betrouwbaar en actueel. Zo kom je snel tot de kern!
Veelgestelde vragen
Wat krijg ik als ik dit document koop?
Je krijgt een PDF, die direct beschikbaar is na je aankoop. Het gekochte document is altijd, overal en oneindig toegankelijk via je profiel.
Tevredenheidsgarantie: hoe werkt dat?
Onze tevredenheidsgarantie zorgt ervoor dat je altijd een studiedocument vindt dat goed bij je past. Je vult een formulier in en onze klantenservice regelt de rest.
Van wie koop ik deze samenvatting?
Stuvia is een marktplaats, je koop dit document dus niet van ons, maar van verkoper mmclopdb. Stuvia faciliteert de betaling aan de verkoper.
Zit ik meteen vast aan een abonnement?
Nee, je koopt alleen deze samenvatting voor $7.98. Je zit daarna nergens aan vast.
Is Stuvia te vertrouwen?
4,6 sterren op Google & Trustpilot (+1000 reviews)
Afgelopen 30 dagen zijn er 67474 samenvattingen verkocht
Opgericht in 2010, al 14 jaar dé plek om samenvattingen te kopen
Laatst bekeken door jou
