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 Jeffery . 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 . Portfolio theory. . Markowitz portfolio theory. . The Risk and Expected Return of a Portfolio. . Capital Asset Pricing Model CAPM . . Arbitrage Pricing Theory APT . . Market efficiency theory. Summary Key terms Questions and problems References and further readings . Portfolio theory . Markowitz portfolio theory The author of the modern portfolio theory is Harry Markowitz who introduced the analysis of the portfolios of investments .
