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advances in Investment Analysis and Portfolio Management phần 4

Tính các biện pháp thống kê chính để giải thích mối quan hệ giữa cổ phiếu và danh mục đầu tư thị trường: • Các hiệp phương sai mẫu giữa tỷ lệ trả lại cho các cổ phiếu A và thị trường; • Các yếu tố Beta mẫu cổ phiếu A; Mối tương quan mẫu hệ số giữa tỷ lệ trở lại của cổ phiếu và thị trường; | Investment Analysis and Portfolio Management a Calculate the main statistic measures to explain the relationship between stock A and the market portfolio The sample covariance between rate of return for the stock A and the market The sample Beta factor of stock A The sample correlation coefficient between the rates of return of the stock A and the market The sample coefficient of determination associated with the stock A and the market. b Draw in the characteristic line of the stock A and give the interpretation - what does it show for the investor c Calculate the sample residual variance associated with stock s A characteristic line and explain how the investor would interpret the number of this statistic. d Do you recommend this stock for the investor with the lower tolerance of risk References and further readings 1. Fabozzi Frank J. 1999 . Investment Management. 2nd. ed. Prentice Hall Inc. 2. Francis Jack C. Roger Ibbotson 2002 . Investments A Global Perspective. Prentice Hall Inc. 3. Haugen Robert A. 2001 . Modern Investment Theory. 5th ed. Prentice Hall. 4. Levy Haim Thierry Post 2005 . Investments. FT Prentice Hall. 5. Rosenberg Jerry M. 1993 .Dictionary of Investing. John Wiley Sons Inc. 6. Sharpe William F. Gordon J.Alexander Jeffery V.Bailey. 1999 . Investments. International edition. Prentice -Hall International. 7. Strong Robert A. 1993 . Portfolio Construction Management and Protection. 50 Investment Analysis and Portfolio Management 3. Theory for investment portfolio formation Mini-contents 3.1. Portfolio theory. 3.1.1. Markowitz portfolio theory. 3.1.2. The Risk and Expected Return of a Portfolio. 3.2. Capital Asset Pricing Model CAPM . 3.3. Arbitrage Pricing Theory APT . 3.4. Market efficiency theory. Summary Key terms Questions and problems References and further readings 3.1. Portfolio theory 3.1.1. Markowitz portfolio theory The author of the modern portfolio theory is Harry Markowitz who introduced the analysis of the portfolios of investments .