TAILIEUCHUNG - Capital Markets and Portfolio TheoryRoland Portait From the class notes taken by Peng

As for other laws that regulate or impact businesses, in many countries it is all but impossible to chronicle them all in a single reference source. There are laws governing treatment of labour and generally relations with employees, safety and protection issues (Health and Safety), anti-discrimination laws (age, gender, disabilities, race, and in some jurisdictions, sexual orientation), minimum wage laws, union laws, workers compensation laws, and annual vacation or working hours time. | Capital Markets and Portfolio Theory Roland Portait From the class notes taken by Peng Cheng Novembre 2000 2 Table of Contents Table of Contents PART I Standard One Period Portfolio 1 Portfolio Framework and notations. 2 No Risk-free Asset. 2 With Risk-free Asset. 4 Efficient portfolio in absence of a risk-free asset. 6 Efficiency criteria. 6 Efficient portfolio and risk averse investors. 8 Efficient set. 9 Two funds separation Black . 10 Efficient portfolio with a risk-free asset. 11 1. D HARA preferences and Cass-Stiglitz 2 fund HARA Hyperbolic Absolute Risk Aversion .14 1. Cass and Stiglitz separation. 15 2 Capital Market 2. A CAPM. 17 2. The Model . 17 Geometry . 19 CAPM as a Pricing and Equilibrium Testing the CAPM . 21 2. B Factor Models and APT. 21 K-factor models. 21 APT. 22 Arbitrage and Equilibrium . 24 2. References. 25 PART II Multiperiod Capital Market Theory the Probabilistic 3 3. A Probability Space and Information. 27 Asset Prices. 28 3. Definitions and Notations. 28 Portfolio Strategies. 29 Notation . 29 Discrete Time . 29 Continuous Time . 30

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