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Advanced Finance (Fach) / Allocation of Risky Assets (Lektion)
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Diese Lektion wurde von Janaw55 erstellt.
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- Value at risk VaR amount that could happen to be lost = expected shortfall + lowest partial standart deviation usually 5% worst case scenario out of best-case scenarios
- Right Skewed Positive Mean > expected Return
- Left-skewed Mean < Expected Return
- HPR l Holding Period Revenue Income + End of period value - initial value / initial value
- Equilibrium in the market Demand = Supply of assets Price of asset = expected Return of the assets l no arbitrage
- Optimal risky portfolio highest sharp measure CAL with the sleepest slope
- What is the expected utility U of a lottery A with outcomes x and y and probabilities π and 1 − π respectively U(A) = π · U (x) + (1 − π) · U (y)
- What does the Allais Paradox tell us? o Expected Utility Theory does not explain actual behavior of persons sufficiently well o People tend to violate the Independence Axiom and against Bernoulli (Expected Utility) Real People are not always rational
- Can combining two risky assets yield a portfolio with zero variance? o Yes, if the two assets are perfectly negatively correlated (correlation coeficient is −1)
- What is the mean-variance opportunity set o The set of all possible combinations of mean and variance that can be reached by a portfolio of risky assets X
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- What is the efficient frontier? The set of all possible portfolios that have maximal return for a given standard deviation The upper boundary of the mean-variance opportunity set in the mean- variance diagram
- What is the tangent portfolio? o The portfolio on the efficient frontier such that a line from there to the risk-free asset has a maximum slope (Steigung)
- Noting µj the expected return of asset j, σj its corresponding standard de- viation and rf the return of the risk-free asset, what is the Sharpe ratio of asset j? o (µj − rf )/σj Reward-to-Variability-Ratio l is someone well compensated for the amount of risk or not? Der Vergleich von Sharpe-Ratios untereinander zeigt zwar an, ob eine Unter- oder Überperformance erzielt wurde, und ermöglicht eine ordinale Skalierung, macht aber keine direkte Aussage über das eingegangene Risiko.
- Two-Fund -Separation Theorem for mean-variance investors The theoretical result that all investors will hold a combination of the risk-free asset and the market portfolio. o All investors should hold the same portfolio of risky assets
- Given two assets with variance,which one has, according to the CAPM, a smaller mean? o The one with a larger correlation with the market has a smaller mean
- Choose the optimal asset Portfolio in the sense that the investor will earn the highest possible expected return given the level of volatility the investor is willing to accept or, equivalently, the investor’s portfolio will have the lowest level of volatility given the level of expected return the investor requires.
- The Portfolio Variance is lower when the correlation coefficient is lower True
- Constraints that restrict investment strategies have the effect of reducing the Sharpe ratios of that portfolio True
- Optimal risky portfolio maximizes Sharpe ratio Right
- Primary assumption in Portfolio theory is that returns are normally distributed Right
- Average returns of firms with a high book to market ratio have been higher that expected True
- The CAPM predicts that the y-intercept of the SML is 0 True
- The risk-premium is referred to as beta Right. ß > 1 - more than compensated for risk
- The capital market line graphs the expected return of efficient complete portfolios as a function of portfolio standard deviation whereas the security market line graphs the expected return of individual stocks as a function of their systematic risk Right
- The holding-period return (HPR) on a share of stock is equal to the capital gain yield during the period, plus the dividend yield True
- les enseignants Personne qui est chargée de l'enseignement. Un enseignant est un pédagogue, qui pratique l'enseignement scolaire, scientifique, technique, sportif, religieux, artistique, spirituel... auprès d'enfants Lehrer
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- la sauvagerie comportement, caractère d'une personne méchante. caractère de celui qui vit de façon sauvage, en fuyant la société. cruauté, barbarie, férocité.
- Le but Point que l'on cherche à atteindre.
- Les Verbes + yer l employer, aboyer, ennuyer, envoyer, essayer, nettoyer j' emplois tu emplois il emploie employond employez employent
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- Les Verbes + ger / cer l lancer partager je partagetu partagesil partagenous partageonsvous partagezils partagent je lance tu lances il lance nous lançons vous lacez lancent
- Verbes au é - célebrer je célèbre tu célèbres il célèbre nous célébrons vour célébrez il célèbrent
- Verbes au e l acheter j'achète tu achètes il achète nous achetons vour achetez il achètent
- Les verbes en re l peindre, écrire, éteindre je peins tu peins il peint nous peignons vour peignez il peignent
- Les verbes en - oir l croire, recevoir Je crois Tu crois Il croi nous croyons croyez croient Je reçois Tu reçois il reçoit nous recevons vour recevez ils reçoivent
- Devant le nom adjectif Beau Joli bon mauvais petit grande gros nouveau jeune vieux double demi autre meme premier dernier
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- pour for quand tu es malade, tu dois prendre le médécin pour trois semaines
- pendant during Je marche pendant
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- The efficient frontier of risky assets the portion of the investment opportunity set that lies above the global minimum variance portfolio
- Diversificable risk Nonsystematic risk diversificable risk firm-specific risk unique risk
- Market risk Systematic risk non-diversificable Risk
- The CAL The line tangent to the efficient frontier of risky securities drawn from the risk-free rate