Samenvatting
Security Pricing and Portfolio Selection summary KUL
- Instelling
- Katholieke Universiteit Leuven (KU Leuven)
summary of the slides & notes
[Meer zien]Voorbeeld 4 van de 72 pagina's
Voorbeeld 4 van de 72 pagina's
In winkelwagen1 beoordeling
Door: sannadelbeke1 • 2 jaar geleden
Voorbeeld van de inhoud
INVESTMENTS: CAPITAL MARKET AND PRODUCTS ................................................................. 5Financial markets ............................................................................................................................................. 5
Investment funds ............................................................................................................................................. 6
Investment companies ....................................................................................................................................... 6
Other investment organizations ......................................................................................................................... 7
Mutual funds.................................................................................................................................................... 7
Organization ....................................................................................................................................................... 7
Investment policies ............................................................................................................................................. 8
INVESTMENT CONCEPTS .......................................................................................................10
Characterization of an investment ................................................................................................................. 10
Reward-to-risk .................................................................................................................................................. 10
Portfolios and Indices ..................................................................................................................................... 11
Market indices .................................................................................................................................................. 12
An historic perspective on portfolio returns ................................................................................................... 14
CAPITAL ALLOCATION TO RISKY ASSETS .................................................................................15
Investment opportunity set ........................................................................................................................... 15
Portfolios of one risky and one risk-free asset ................................................................................................. 15
Risk and risk aversion ..................................................................................................................................... 16
Choosing among portfolios ............................................................................................................................... 17
Capital allocation decision.............................................................................................................................. 18
OPTIMAL RISKY PORTFOLIOS .................................................................................................19
Diversification ................................................................................................................................................ 19
Stylized diversification strategy with two risky assets ...................................................................................... 19
A diversification strategy with many risky assets and systematic risks ............................................................ 20
Mean-Variance analysis ................................................................................................................................. 21
Portfolio with two risky assets .......................................................................................................................... 21
Global minimum variance portfolio ............................................................................................................. 22
Portfolio characteristics as a function of portfolio weights ......................................................................... 22
A risk-expected return representation ......................................................................................................... 23
Portfolio with many risky assets ....................................................................................................................... 23
The optimal portfolio ........................................................................................................................................ 24
Mean-variance analysis with a T-bill .............................................................................................................. 24
Portfolio optimization ....................................................................................................................................... 25
1
,Portfolio management in practice .................................................................................................................. 26
Horizon effects of risk ....................................................................................................................................... 27
Life-cycle approach ........................................................................................................................................... 28
INDEX MODELS .....................................................................................................................29
Single index model ......................................................................................................................................... 29
Advantages ....................................................................................................................................................... 30
Portfolio construction in a single-index world ................................................................................................ 31
Portfolio construction in a CAPM world ......................................................................................................... 32
Portfolio construction in a pragmatic way ...................................................................................................... 32
The mean-variance model: a critical note....................................................................................................... 34
MARKET EFFICIENCY .............................................................................................................35
Efficient market hypothesis ............................................................................................................................ 35
Empirical evidence on market efficiency ........................................................................................................ 35
Weak-form efficiency ....................................................................................................................................... 36
Semi-strong-form efficiency ............................................................................................................................. 37
Mutual fund and analyst performance ........................................................................................................... 37
Equity research analysis.................................................................................................................................... 37
Active vs passive funds ..................................................................................................................................... 38
Role of asset management in a EMH world...................................................................................................... 38
BEHAVIOURAL FINANCE AND LIMITS TO ARBITRAGE .............................................................39
Information processing .................................................................................................................................. 39
Representativeness bias ................................................................................................................................... 39
Conjunction fallacy ........................................................................................................................................... 39
Overconfidence ................................................................................................................................................ 39
Anchoring.......................................................................................................................................................... 40
Behavioural biases ......................................................................................................................................... 40
Regret avoidance .............................................................................................................................................. 40
Mental accounting ............................................................................................................................................ 40
Risk aversion ..................................................................................................................................................... 41
Loss aversion..................................................................................................................................................... 41
The weakness of behavioural finance............................................................................................................... 41
Limits to arbitrage .......................................................................................................................................... 42
Fundamental risk .............................................................................................................................................. 42
Implementation costs ....................................................................................................................................... 42
Model risk ......................................................................................................................................................... 43
Law of one price ............................................................................................................................................... 43
2
, Impossibility of strong form EMH ..................................................................................................................... 44
FIXED INCOME INSTRUMENTS ..............................................................................................46
Fixed-income basics ....................................................................................................................................... 46
Bond pricing ................................................................................................................................................... 47
Realized return over a single period ................................................................................................................. 49
Yield to call ........................................................................................................................................................ 49
Default risk ..................................................................................................................................................... 50
Credit ratings .................................................................................................................................................... 50
Credit risk determinants ................................................................................................................................... 51
Default rates ..................................................................................................................................................... 51
Bond indentures ............................................................................................................................................... 51
Stated versus expected YTM ............................................................................................................................ 51
Credit derivatives ........................................................................................................................................... 52
Credit default swap (CDS) ................................................................................................................................. 52
Standard CDS ................................................................................................................................................ 52
Digital CDS .................................................................................................................................................... 52
Basket CDS .................................................................................................................................................... 53
Portfolio CDS ................................................................................................................................................ 53
Collateralized debt obligation (CDO) ................................................................................................................ 53
Traditional CDO ............................................................................................................................................ 53
Synthetic CDO............................................................................................................................................... 54
MANAGING FIXED INCOME PORTFOLIOS ..............................................................................55
The yield curve ............................................................................................................................................... 55
The yield curve under certainty ........................................................................................................................ 55
The expectations hypothesis ........................................................................................................................ 56
The liquidity preference theory.................................................................................................................... 57
Forward rates as forward contracts ............................................................................................................. 58
Interest rate risk............................................................................................................................................. 59
Macaulay’s duration ......................................................................................................................................... 60
Passive bond management ............................................................................................................................ 62
Active bond management .............................................................................................................................. 64
APPLIED PORTFOLIO MANAGEMENT .....................................................................................65
Performance evaluation: traditional approach ............................................................................................... 65
Risk correction .................................................................................................................................................. 65
Absolute performance measures ................................................................................................................. 66
Relative performance measures .................................................................................................................. 66
Information ratio...................................................................................................................................... 67
3
, Treynor ratio ............................................................................................................................................ 67
Industry fund rating systems ........................................................................................................................ 68
Morningstar ............................................................................................................................................. 68
Lipper Leaders .......................................................................................................................................... 68
Challenges ...................................................................................................................................................... 68
Which measure is appropriate?........................................................................................................................ 68
Time-varying risk............................................................................................................................................... 69
Changing portfolio composition ................................................................................................................... 69
Market timing ............................................................................................................................................... 70
Drivers of performance .................................................................................................................................. 71
Style analysis ..................................................................................................................................................... 71
Performance attribution ................................................................................................................................... 72
4
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, Bancontact of creditcard 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 Femke44. Stuvia faciliteert de betaling aan de verkoper.
Zit ik meteen vast aan een abonnement?
Nee, je koopt alleen deze samenvatting voor €10,49. Je zit daarna nergens aan vast.
Is Stuvia te vertrouwen?
4,6 sterren op Google & Trustpilot (+1000 reviews)
Afgelopen 30 dagen zijn er 70055 samenvattingen verkocht
Opgericht in 2010, al 14 jaar dé plek om samenvattingen te kopen