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‫جامعة القاهرة‬ ‫كلية االقتصاد والعلوم السياسية‬ ‫قسم االقتصاد‬

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Markowitz

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Objectives

Constraints -1

-2

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-3

-4 -5 -6

Security Analysis -1

Fundamental Analysis Technical Analysis

Top – Down Approach

Bottom – Up Approach

-2 (Systematic Risk)

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(Unsystematic Risk)

Country Risk Sector Risk Company Risk Country Risk

-1 -2 -3

- ‫‌أ‬ - ‫‌ب‬
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- ‫‌ج‬ - ‫‌د‬ - ‫‌ه‬ - ‫‌و‬

Sector Risk

Company Risk

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

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-1 -2 -3 -4

(Income Stocks )

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(Growth Stocks )

(Value Stocks)

Venture Capital

Portfolio Analysis Optimal Portfolio Dominance Principle -1 -2

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Portfolio Selection Utility function -1

-2 Rational

Asset Allocation

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

(Aggressive) (Conservative)

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Performance Evaluation

:

. :

.

.

.

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.

. : 1

. 2

.

. . : . . . -3

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Efficiency

Harry Markwitz

Dominance Principle -1 -2 Portfolios

Portfolio Nodominated Assets

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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)

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Efficient Set Theorem Efficient portfolios Efficient Set

Risk Averse

Optimal Risky Portfolio

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Risky Assets

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Covariance

Same Investment Horizon Risky Investment Price Risk Interest Rate Risk

Risk Reinvestment Rate

 

X

X

   

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X

Efficient Set

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‫نموذج تسعير األصول الرأسمالية‬

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

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Perfect

Market Portfolio

Capital Market Line (CML)

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Risk Averse Separation Theorem

 
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  

Security Market Line (SML)

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SML SML


SML

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SML

Expected Capital Gains

Expected Dividend Yield Yield

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Undervalued

Overvalued

Security Market Line (SML)

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‫مفهوم صناديق االستثمار‬

     : ‫نشأة وتطور صناديق االستثمار‬ Closed-end The Trust

Open-end

Fonds Unit

Liyods First Investment Trust

Open Investment

Mutual Funds

FCP Sicav FCP Quantitative

Sicav Sicav Sicav

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: ‫أنواع صناديق االستثمار‬

Open-End Funds

Closed - End Funds

(OTC)

Income Funds Blue Chip

Growth Funds

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Partially Income, Partially Growth

Income Growth Growth Income

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

Common Stock Funds

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  

Bond Funds 

 

Convertible Bonds

Balanced Funds Diversified Funds

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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

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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

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 

    34

    

Management Fees Benchmark Performance Fees

 

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   

 

    

-1

-2 -3 -4 -5 -6

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   

     

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B RF

= RF

SF =

R F - R rf

F

SF RF R rf

F

 (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

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