《投资分析与组合管理 Frank K. Reilly》ch07.pptVIP

Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly Keith C. Brown Chapter 7 - An Introduction to Asset Pricing Models Questions to be answered: What are the assumptions of the capital asset pricing model? What is a risk-free asset and what are its risk-return characteristics? What is the covariance and correlation between the risk-free asset and a risky asset or portfolio of risky assets? Chapter 7 - An Introduction to Asset Pricing Models What is the expected return when you combine the risk-free asset and a portfolio of risky assets? What is the standard deviation when you combine the risk-free asset and a portfolio of risky assets? When you combine the risk-free asset and a portfolio of risky assets on the Markowitz efficient frontier, what does the set of possible portfolios look like? Chapter 7 - An Introduction to Asset Pricing Models Given the initial set of portfolio possibilities with a risk-free asset, what happens when you add financial leverage (that is, borrow)? What is the market portfolio, what assets are included in this portfolio, and what are the relative weights for the alternative assets included? What is the capital market line (CML)? What do we mean by complete diversification? Chapter 7 - An Introduction to Asset Pricing Models How do we measure diversification for an individual portfolio? What are systematic and unsystematic risk? Given the capital market line (CML), what is the separation theorem? Given the CML, what is the relevant risk measure for an individual risky asset? What is the security market line (SML) and how does it differ from the CML? Chapter 7 - An Introduction to Asset Pricing Models What is beta and why is it referred to as a standardized measure of systematic risk? How can you use the SML to determine the expected (required) rate of return for a risky asset? Using the SML, what do we mean by an undervalued and overvalued security, and how do we d