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Lecture notes in Finance 1

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The main contents of this chapter include all of the following: The basics of return calculations, the basics of portfolio choice, mean-variance frontier, index models, portfolio choice, CAPM, foreign exchange, performance analysis, risk measures, utility-based portfolio choice, CAPM extensions and multi-factor models, investment for the long run, efficient markets, dynamic portfolio choice. | Lecture Notes in Finance 1 (MiQE/F, MSc course at UNISG) Paul Söderlind1 7 January 2017 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: Fin1MiQEFAll.TeX. Contents 1 2 3 4 The Basics of Return Calculations 1.1 Portfolio Return: Definition, Mean and Variance 1.2 Forward Contracts . . . . . . . . . . . . . . . . 1.3 Asset Value as Discounted Cash Flow . . . . . 1.4 Markets, Instruments and Some Key Terms . . 1.5 Asset Classes . . . . . . . . . . . . . . . . . . 1.6 Appendix: A Primer in Matrix Algebra . . . . 1.7 Appendix: Data Sources . . . . . . . . . . . . The Basics of Portfolio Choice 2.1 Investor Preferences . . . . . . . . . 2.2 Leverage . . . . . . . . . . . . . . . 2.3 Diversification . . . . . . . . . . . . 2.4 Portfolio Management . . . . . . . 2.5 Appendix: A Primer in Optimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mean-Variance Frontier 3.1 Mean-Variance Frontier of Risky Assets . . . . . . . . . . . . . . . . . 3.2 Mean-Variance Frontier of Riskfree and Risky Assets . . . . . . . . . . 3.3 The Tangency Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4 Appendix: A Primer on Using Numerical Optimization Routines . . . Index Models 4.1 The Inputs to a MV Analysis 4.2 The Market Model . . . . . 4.3 Single-Index Models . . . . 4.4 Estimating Beta . . . . . . .

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