TAILIEUCHUNG - Lecture Quantitative investment analysis: Chapter 11 – CFA Institute

Chapter 11 – Portfolio concepts. This chapter define mean–variance analysis and list its assumptions; explain the concept of an efficient portfolio; define the minimum-variance frontier, the global minimum-variance portfolio, and the efficient frontier;. | Portfolio Concepts This is an exceedingly long and complicated chapter. The instructor should plan at least two sessions for it and, depending on how detailed the coverage will be, possibly three. 1 Mean–Variance Analysis Mean–variance analysis is the fundamental implementation of modern portfolio theory, and describes the optimal allocation of assets between risky and risk-free assets when the investor knows the expected return and standard deviation of those assets. Assumptions necessary for mean–variance efficiency analysis: All investors are risk averse; they prefer less risk to more for the same level of expected return. Expected returns for all assets are known. The variances and covariances of all asset returns are known. Investors need know only the expected returns, variances, and covariances of returns to determine optimal portfolios. They can ignore skewness, kurtosis, and other attributes of a distribution. There are no transaction costs or taxes. 2 LOS: Define .

• Quản trị kinh doanh
• Quantitative Investment Analysis
• Investment process
• Quantitative methods
• Cash flow
• Mean variance analysis
• Efficient portfolios
• Time series analysis
• Trend analysis
• Multiple regression
• Regression analysis
• Interest rates
• Annuity due values
• Discounted cash flow applications
• Net present value
• Statistical concepts
• Market returns
• Candom variable
• Probability concepts
• Probability distributions
• Random variable
• Simple random sampling
• Point estimate
• Hypothesis testing
• Test statistic
• Sample covariance
• Correlation coefficient
• Quantitative investment analysis workbook
• The time value of money
• Portfolio concepts
• Industrial park
• Investor satisfaction
• Foreign direct investment
• Exploratory factor analysis
• Quantitative model
• Trichothecene Groups
• Other Applications
• GC MS Analysis
• Secondary Metabolites
• Qualitative and Quantitative
• Determinations
• Collateral Constraints
• Debt Management
• Investment Incentives
• Programming Marketing
• Earnings Management
• Tax System