You are on page 1of 40

1

Markowitz

Objectives

Constraints -1

-2

-3

-4 -5 -6

Security Analysis -1

Fundamental Analysis Technical Analysis

Top Down Approach

Bottom Up Approach

-2 (Systematic Risk)

(Unsystematic Risk)

Country Risk Sector Risk Company Risk Country Risk

-1 -2 -3

- -
5

- - - -

Sector Risk

Company Risk

Simple or Nave Diversification Not Putting All Eggs in one Basket Spread The Risk

-1 -2 -3 -4

(Income Stocks )

(Growth Stocks )

(Value Stocks)

Venture Capital

Portfolio Analysis Optimal Portfolio Dominance Principle -1 -2

Portfolio Selection Utility function -1

-2 Rational

Asset Allocation

The Optimum Mix of Asset Classes -1 -2 -3 -4

(Aggressive) (Conservative)

11

Performance Evaluation

. :

11

. : 1

. 2

. . : . . . -3

12

Efficiency

Harry Markwitz

Dominance Principle -1 -2 Portfolios

Portfolio Nodominated Assets

13

14

Investment Assets

Efficient Portfolios Same Risk Class

Efficient Set

Efficient Portfolios Efficient Frontier

Opportunity of Feasible Set Efficient Set Theorem (EST) -1 -2 Efficient Frontier Efficient Set

Efficient Set

(EST)

15

Efficient Set Theorem Efficient portfolios Efficient Set

Risk Averse

Optimal Risky Portfolio

16

Risky Assets

17

Covariance

Same Investment Horizon Risky Investment Price Risk Interest Rate Risk

Risk Reinvestment Rate

18

Efficient Set

19

Efficient Set Capital Asset Pricing Model

W.Sharpe Efficient Set Efficient Frontier H.Markwitze -1 Skewed

CAPM Central Limit Skewed One-period Theorem -2 -3 Risk Averse -4 -5 -6 -7 Homogeneous Expectations -8

-9

21

Perfect

Market Portfolio

Capital Market Line (CML)

21

Risk Averse Separation Theorem


22

Security Market Line (SML)

23

SML SML

SML

24

SML

Expected Capital Gains

Expected Dividend Yield Yield

25

Undervalued

Overvalued

Security Market Line (SML)

26

27

: Closed-end The Trust

Open-end

Fonds Unit

Liyods First Investment Trust

Open Investment

Mutual Funds

FCP Sicav FCP Quantitative

Sicav Sicav Sicav

28

Open-End Funds

Closed - End Funds

(OTC)

Income Funds Blue Chip

Growth Funds

29

Partially Income, Partially Growth

Income Growth Growth Income

Dual - Purpose Funds or Dual Funds Income Stocks Capital Gains Growth Stocks

Common Stock Funds

31

Bond Funds

Convertible Bonds

Balanced Funds Diversified Funds

31

Money Market Funds

Treasury Notes

Overnight Certificates Deposits

Liquidity Risks Net Asset Value Guarantee Risks

Indexed Funds FTSE Shares Index 100 Standard & Poors Index 500

32

Insured Funds Option Theory Portfolio Insurance

Composite Funds Funds of Funds Super Funds

Speculation Funds Speculation Funds in Future Markets

Hedging Funds Venture Capital Funds

Islamic Funds

33

34

Management Fees Benchmark Performance Fees

35

36

-1

-2 -3 -4 -5 -6

37

38

B RF

= RF

SF =

R F - R rf

SF RF R rf

(X i - X \) 2 n-1
I Xi X\

TF =

R F - R rf BF

BF =

BF
F

*R
M

FM

F
F

Rrf 39

41