Egge at 10:22, 3 April 2008

2008-04-03T10:22:01Z

← Older revision		Revision as of 10:22, 3 April 2008
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	<math>\beta</math> = beta of { security } <math>_i</math>		<math>\beta</math> = beta of { security } <math>_i</math>
	<math>e_i</math> = a random { error } { term } (with an expected value of zero) and { uncorrelated } with <math>r_m - r_f</math> is known as the { equity } { risk } { premium } and measures the expected return pf the equity market over cash.		<math>e_i</math> = a random { error } { term } (with an expected value of zero) and { uncorrelated } with <math>r_m - r_f</math> is known as the { equity } { risk } { premium } and measures the expected return pf the equity market over cash.

			{Modern portfolio theory has proved to be a useful way for investors to think about investment. However, its obvious shortcomings have limited its application. However, MPT and its offshoots continue to be seen frequently in the following three areas:
			\|type="{}"}
			{ asset } { allocation } decisions
			decisions relating to the { active } { risk } of a { portfolio }
			{ option } pricing

	</quiz>		</quiz>

Egge: New page: { $\operatorname{E}(R_p) = \sum_{i=1}^n \operatorname{E}(R_i)w_i \quad$ |type="{}"} { expected } { portfolio } { return } Where:
2008-04-03T10:00:34Z

New page: <quiz display=simple shuffle=true case=(i)> {<math> \operatorname{E}(R_p) = \sum_{i=1}^n \operatorname{E}(R_i)w_i \quad </math> |type="{}"} { expected } { portfolio } { return } Where: <ma...

New page
<quiz display=simple shuffle=true case=(i)>
{<math> \operatorname{E}(R_p) = \sum_{i=1}^n \operatorname{E}(R_i)w_i \quad </math>
|type="{}"}
{ expected } { portfolio } { return }
Where:
<math>n</math> = number of { securities } in the { portfolio }
<math>w_i</math> = percent of { portfolio } in { asset } <math>i</math>
<math>\operatorname{E}(R_i)</math> = expected { return } of { asset } <math>i</math>
<math>\operatorname{E}(R_p)</math> = expected { return } of the { portfolio }

{<math>E\left(R_i\right) = R_f + B_{1}F_{1} + B_{2}F_{2} + \cdots + B_{n}F_{n}</math>
|type="{}"}
{ arbitrage } { pricing } { theory }
Where:
<math>R_f</math> = { risk }-{ free } { asset } { return }
<math>B</math> = { sensitivity } of the { asset } to its associated { factor }
<math>F</math> = { factor }

{<math>E\left(\sigma_p^2 \right) = \sum_{i=1}^n \sum_{j=1}^n v_{ij} w_i w_j</math>
|type="{}"}
{ expected } { variance } for calculating { portfolio } { risk }
Where:
<math>E\left(\sigma_p^2 \right)</math> = { expected } { variance } of { portfolio } P
<math>w_i,w_j</math> = { weighting } of { security } <math>i, j</math>
<math>v_{ij}</math> = { covariance } of { returns } between <math>i</math> and <math>j</math>
<math>n</math> = number of securities in the portfolio

{<math>r_i = r_f + \left(r_m - r_f \right) \beta_i + e_i</math>
|type="{}"}
{ CAPM }
Where:
<math>r_i</math> = { expected } { total } { return } for { security } <math>_i</math>
<math>r_f</math> = { risk }-{ free } { rate } of { return }
<math>r_m</math> = { expected } { total } { return } from the { market } { portfolio }
<math>\beta</math> = beta of { security } <math>_i</math>
<math>e_i</math> = a random { error } { term } (with an expected value of zero) and { uncorrelated } with <math>r_m - r_f</math> is known as the { equity } { risk } { premium } and measures the expected return pf the equity market over cash.

</quiz>

Next quiz [[Portfolio Management Quiz 3]]

[[Category:Portfolio Management|Quiz 02]]