Der Vortrag „Portfolio Risk and Return II“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Portfolio Management“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
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... risk-free asset with a portfolio of risky assets. Prerequisite ...
... "Risk free asset has 0 correlation with a risky asset. Thus including a risk free asset may generate a better tisk-ret urn tradeoff." On addtion of a risk free asset to the market portfolio: "Return: Original two asset portfolio return: ... This equation becomes: ...
... As the standard deviation of a risk free asset is zero the above formula is reduced to: Variance ...
... You are required to construct a portfolio comprising the market portfolio & risk-free asset. The expected return of your portfolio should be 16 %. Risk-free rate is 5 % & the expected market return is 20 %. Standard deviation of the returns ...
... Therefore, the weight of the market portfolio will be (1-x). 5(x) + 20(1-x) = 16 %. Solving for x, we get x = 0.33 Hence, the weight of the risk-free asset & market portfolio in our portfolio is 0.33 & 0.67 ...
... the standard deviation of risk-free assets returns is 0 & its correlation with the market portfolios returns is 0 too, the standard deviation of this portfolio ...
... (CAL) and the Capital Market Line (CML) ...
... Which of the following is least likely a characteristic of a portfolio on the Capital Market Line (CML)? A. It can be created by investing a portion of the capital in risk-free asset and the remaining portion in a fully diversified portfolio of all risky assets. B. It consists of all ...
... "Productivity", employment, "consumer confidence" models that provide as estimate of the expected return based on certain parameters: "multifactor model ...
... book value to market value ratio and the return on the market portfolio minus the risk-free rate. Economy growth rate is used in other multifactor models ...