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Chapter 11 Optimal Portfolio Choice Chapter Outline 11.1 The Expected Return of a Portfolio 11.2 The Volatility of a Two-Stock Portfolio 11.3 The Volatility of a Large Portfolio 11.4 Risk Versus Return: Choosing an Efficient Portfolio 11.5 Risk-Free Saving and Borrowing 11.6 The Efficient Portfolio and the Cost of Capital Learning Objectives Given a portfolio of stocks, including the holdings in each stock and the expected return in each stock, compute the following: portfolio weight of each stock (equation 11.1) expected return on the portfolio (equation 11.3) covariance of each pair of stocks in the portfolio (equation 11.5) correlation coefficient of each pair of stocks in the portfolio (equation 11.6) variance of the portfolio (equation 11.8) standard deviation of the portfolio Compute the variance of an equally weighted portfolio, using equation 11.12. Describe the contribution of each security to the portfolio. Learning Objectives (contd) Use the definition of an efficient portfolio from Chapter 10 to describe the efficient frontier. Explain how an individual investor will choose from the set of efficient portfolios. Describe what is meant by a short sale, and illustrate how short selling extends the set of possible portfolios. Explain the effect of combining a risk-free asset with a portfolio of risky assets, and compute the expected return and volatility for that combination. Illustrate why the risk-return combinations of the risk-free investment and a risky portfolio lie on a straight line. Learning Objectives (contd) Define the Sharpe ratio, and explain how it helps identify the portfolio with the highest possible expected return for any level of volatility, and how this information can be used to identify the tangency (efficient) portfolio. Calculate the beta of investment with a portfolio. Use the beta of a security, expected return on a portfolio, and the risk-free rate to decide whether buying shares of that security will improve the performa
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