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Free Textbook

Portfolio Theory & Financial Analyses: Exercises

by Robert Alan Hill
72
Language :  English
This Exercise book and theory text evaluate Modern Portfolio Theory (Markowitz, CAPM and APT) for future study.
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Content

This Exercise book and theory text evaluate Modern Portfolio Theory (Markowitz, CAPM and APT) for future study. From the original purpose of MPT through to asset investment by management, we learn why anybody today with the software and a reasonable financial education can model portfolios. However, one lesson from the 2007 meltdown is that computer driven models are so complex that hardly anybody understands what is going on. Returning to first principles, we learn why investors and not their computers should always interpret their results. Moreover, MPT is a guide to action and not a substitute. Investors should understand the models that underpin the computer programmes they

  1. Part I: An Introduction
  2. An Overview
    1. Introduction
    2. Exercise 1.1: The Mean-Variance Paradox
    3. Exercise 1.2: The Concept of Investor Utility
    4. Summary and Conclusions
    5. Selected References (From PTFA)
  3. Part II: The Portfolio Decision
  4. Risk and Portfolio Analysis
    1. Introduction
    2. Exercise 2.1: A Guide to Further Study
    3. Exercise 2.2: The Correlation Coefficient and Risk
    4. Exercise 2.3: Correlation and Risk Reduction
    5. Summary and Conclusions
    6. Selected References
  5. The Optimum Portfolio
    1. Introduction
    2. Exercise 3.1: Two-Asset Portfolio Risk Minimisation
    3. Exercise 3.2: Two-Asset Portfolio Minimum Variance (I)
    4. Exercise 3.3: Two-Asset Portfolio Minimum Variance (II)
    5. Exercise 3.4: The Multi-Asset Portfolio
    6. Summary and Conclusions
    7. Selected References
  6. The Market Portfolio
    1. Introduction
    2. Exercise 4.1: Tobin and Perfect Capital Markets
    3. Exercise 4.2: The Market Portfolio and Tobin’s Theorem
    4. Summary and Conclusions
    5. Selected References
  7. Part III: Models of Capital Asset Pricing
  8. The Beta Factor
    1. Introduction
    2. Exercise 5.1: The Derivation of Beta Factors
    3. Exercise 5.2: The Security Beta Factor
    4. Exercise 5.3: The Portfolio Beta Factor
    5. Summary and Conclusions
    6. Selected References
  9. The Capital Asset Pricing Model (CAPM)
    1. Introduction
    2. Exercise 6.1: Market Volatility and Portfolio Management
    3. Exercise 6.2: The CAPM and Company Valuation
    4. Summary and Conclusions
    5. Selected References
  10. Capital Budgeting, Capital Structure and the CAPM
    1. Introduction
    2. Exercise 7.1: The CAPM Discount Rate
    3. Exercise 7.2: MM, Geared Betas and the CAPM
    4. Exercise 7.3: The CAPM: A Review
    5. Conclusions
    6. Summary and Conclusions
    7. Selected References
  11. Appendix
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Robert Alan Hill

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