Portfolio Theory Financial Analyses-Exercises by Robert Alan Hill

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Portfolio Theory Financial Analyses-Exercises by Robert Alan Hill





Descriptions



Quote:



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



Contents



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Part I: An Introduction

1. An Overview
Introduction
Exercise 1.1: The Mean-Variance Paradox
Exercise 1.2: The Concept of Investor Utility
Summary and Conclusions
Selected References (From PTFA)

Part II: The Portfolio Decision

2. Risk and Portfolio Analysis
Introduction
Exercise 2.1: A Guide to Further Study
Exercise 2.2: The Correlation Coefficient and Risk
Exercise 2.3: Correlation and Risk Reduction
Summary and Conclusions
Selected References

3. The Optimum Portfolio
Introduction
Exercise 3.1: Two-Asset Portfolio Risk Minimisation
Exercise 3.2: Two-Asset Portfolio Minimum Variance (I)
Exercise 3.3: Two-Asset Portfolio Minimum Variance (II)
Exercise 3.4: The Multi-Asset Portfolio
Summary and Conclusions
Selected References

4. The Market Portfolio
Introduction
Exercise 4.1: Tobin and Perfect Capital Markets
Exercise 4.2: The Market Portfolio and Tobin’s Theorem
Summary and Conclusions
Selected References

Part III: Models of Capital Asset Pricing

5. The Beta Factor
Introduction
Exercise 5.1: The Derivation of Beta Factors
Exercise 5.2: The Security Beta Factor
Exercise 5.3: The Portfolio Beta Factor
Summary and Conclusions
Selected References

6. The Capital Asset Pricing Model (CAPM)
Introduction
Exercise 6.1: Market Volatility and Portfolio Management
Exercise 6.2: The CAPM and Company Valuation
Summary and Conclusions
Selected References

7. Capital Budgeting, Capital Structure and the CAPM
Introduction
Exercise 7.1: The CAPM Discount Rate
Exercise 7.2: MM, Geared Betas and the CAPM
Exercise 7.3: The CAPM: A Review
Conclusions
Summary and Conclusions
Selected References



About The Author



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With an eclectic record of University teaching, research, publication, consultancy and curricula development, underpinned by running a successful business, Alan has been a member of national academic validation bodies and held senior external examinerships and lectureships at both undergraduate and postgraduate level in the UK and abroad.

With increasing demand for global e-learning, his attention is now focussed on the free provision of a financial textbook series, underpinned by a critique of contemporary capital market theory in volatile markets, published by bookboon.com.

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