Markowitz
Objectives
Constraints -1
-2
-3
-4 -5 -6
Security Analysis -1
Bottom Up Approach
-2 (Systematic Risk)
(Unsystematic 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
-2 Rational
Asset Allocation
(Aggressive) (Conservative)
11
Performance Evaluation
. :
11
. : 1
. 2
. . : . . . -3
12
Efficiency
Harry Markwitz
13
14
Investment Assets
Efficient Set
Opportunity of Feasible Set Efficient Set Theorem (EST) -1 -2 Efficient Frontier Efficient Set
Efficient Set
(EST)
15
Risk Averse
16
Risky Assets
17
Covariance
Same Investment Horizon Risky Investment Price Risk Interest Rate Risk
18
Efficient Set
19
CAPM Central Limit Skewed One-period Theorem -2 -3 Risk Averse -4 -5 -6 -7 Homogeneous Expectations -8
-9
21
Perfect
Market Portfolio
21
22
23
SML SML
SML
24
SML
25
Undervalued
Overvalued
26
27
Open-end
Fonds Unit
Open Investment
Mutual Funds
28
Open-End Funds
(OTC)
Growth Funds
29
Dual - Purpose Funds or Dual Funds Income Stocks Capital Gains Growth Stocks
31
Bond Funds
Convertible Bonds
31
Treasury Notes
Indexed Funds FTSE Shares Index 100 Standard & Poors Index 500
32
Islamic Funds
33
34
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