significant element of investment management is the mechanisms of alternative investment. A strategic selection of the right asset allocation can provide a means of protection against unsystematic risk, also known as “diversifiable risk”. Though a well-diversified investment portfolio can provide a means of risk minimisation, allocating assets across a varied range of investments through alternative means is essentially the most effective mechanism. A combination of private equity, hedge funds, venture
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sample. -‐ Geometric Average 1. Also called a time-‐weighted average return-‐ignoring the quarter-‐to-‐quarter variation in funds under management; 2. Mutual funds are required to publish this as a measure of past performance. -‐ Dollar-‐weight Return 1. Similar to a capital budget problem 2. Accounting for varying amounts
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Pricing model concentrates on the analysis of risk in relation to investment return which has long been the problems of classical economic approaches to investment decisions. The market model, which is a complement of the CAPM is considered as a useful theoretical tool to analyze the systematic relationship between the return from a particular security and the overall market return. Such an information provides a general idea on the average fluctuation of return from a security relative to the overall
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market risk for a given corporation? a. Increased short-term interest rates b. Fire in the corporate warehouse c. Increased insurance costs d. Death of the CEO, e. Increased labor costs) (a) and (e) – The other three do not affect all participants in the economy. 2. When adding real estate to an asset allocation program that currently includes only stocks, bonds, and cash alternatives (risk-free-money market investments), which of the properties of real estate returns affect
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Midterm Review A few pointers PORTFOLIO THEORY Expected returns • As we talk about annual expected returns, keep in mind what they are: E(D1 ) + E ( P1 ) E(ri ) = -1 P0 E(D1 ) E(P1 ) - P0 = + P0 P0 Risk • As time passes, realized stock prices and dividends may differ from what you expected. • Such future deviations from expectations represent, from today’s perspective, risk. • Standard deviation measures this risk (“average deviation from expectation”). Portfolios • When
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imply the concept of the beta. The beta is a measure of the volatility, or systematic risk, or a portfolio in comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM), a model that calculates the expected return of an asset based on its beta and expected market returns. Beta is calculated using regression analysis and you can think of beta as the tendency of a security’s returns to respond to swings in the market. A beta of less than 1 means that the security will
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Chapter 1 UNDERSTANDING INVESTMENTS Multiple Choice Questions Establishing a Framework for Investors 1. Which of the following is the best definition of wealth? a. the sum of all current and future income b. the total of all assets and all income c. the total of assets and income less any liabilities. d. the sum of current income and the present value of future income. (d, moderate) 2. Stocks and bonds would be classified as: a. real assets
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‘ Investment Analysis & Portfolio Management Sharpe’s Single Index Model Practice Sheet -2 | |1. Betas of two stocks are 0.73 and 1.20 respectively. If the standard deviation of the market returns is 15.49%, the covariance between | | | |the two stock’s return is | | | |(a) 175.20(%)2 (b) 210.20(%)2 (c) 288.20(%)2 (d) 328.76(%)2 (e) 345.60(%)
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No.1. January 2012. Pp. 20 - 32 Pricing of Liquidity Risk in Emerging Markets: Evidence from Greater China Kuntonrat Davivongs1 and Pantisa Pavabutr2 This paper used the liquidity adjusted capital asset pricing model of Acharya and Pedersen (2005) to examine the liquidity risk of stocks in two retail-based equity markets, China and Taiwan during the period of 1996-2008. We found that the proportion of liquidity risk overwhelms market risk, unlike the findings in US markets. As a pricing factor
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Contents EXECUTIVE SUMMARY 2 1.1 ORIGIN OF THE REPORT 3 1.2 OBJECTIVES OF THE STUDY 3 1.3 METHODOLOGY USED IN THE STUDY 3 1.4 SCOPE OF THE STUDY 3 1.5 STUDY AREA 4 1.6 LIMITATIONS OF THE STUDY 4 Theoretical Overview 5 2.1 Economy of Bangladesh 7 2.2 Economic outlook 7 Industry Analysis 8 COMPANY ANALYSIS 9 ANALYSIS & INTERPRETATION 9 Conclusion 13 EXECUTIVE SUMMARY Today’s business world is so much competitive as a result every person has to be very cautious while taking an investment
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