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Portfolio Theory & Financial Analyses: Exercises

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In a world where ownership is divorced from control, characterised by economic and geo-political uncertainty, our companion text Portfolio Theory and Financial Analyses (PTFA henceforth) began with the following question. We then observed that if investors are rational and capital markets are efficient with a large number of constituents,economic variables (such as share prices and returns) should be random, which simplifies matters. Using standard statistical notation, rational investors (including management) can now assess the present value (PV) of anticipated investment returns (ri) by reference to their probability of occurrence, (pi) using linear models based on classical statistical theory