Portfolio Management
R42 Portfolio Risk and Return: Part I
Return Measures
HPR
Average Return
Arithmetic Mean Return
Geometric Mean Return Money-Weighted Rate of Return
Others
Gross Return
Pretax Nominal Return After-tax Nominal Return Real Return Leveraged Return Expected Return, Variance and Covariance of Returns
Expected Return
Variance of Return
Single Investment
Portfolio Variance
Covariance& Correlation
Modern Portfolio Theory
Efficient Frontier
Minimum Variance Frontier Global Minimum-Variance Portfolio
Efficient Frontier (EF)
Risk Aversion
Concepts
Risk-Averse Risk-Neutral Risk-Seeking
Utility Theory Utility Function Indifference Curve
Capital Allocation Line (CAL)
Two-Fund Separation Theorem
Optimal CAL: EF CAL
Optimal Investor Portfolio:
Optimal CAL
R43 Portfolio Risk and Return: Part II
Capital Market Line (CML)
Homogenous Expectations
Market Portfolio
CML Markowitz EF
Risky Asset
CML
= Sharpe Ratio Sharpe Ratio = Sharpe Ratio
Lending Portfolio Borrowing Portfolio
Passive Investment Strategy
Systematic Risk and Nonsystematic Risk
Systematic Risk —
CAPM and SML
=Market Risk Premium=E(R m )-R f
Undervalued Overvalued
—
Differences between SML and CML
Measure of Risk Slope
Performance Evaluation Indicators
For not Well-Diversified Portfolio
Sharpe Ratio M-Squared For Well-Diversified Portfolio
Treynor Ratio Jensen's Alpha
R40 Portfolio Management: An Overview
Portfolio Perspective
Portfolio Management Process
Planning Step
Execution Step Feedback Step
Types of Investors and
Pooled Investment Products
Individuals DB Plan Banks
Endowments& Foundations Insurance Mutual Funds Time Horizon Risk Tolerance Liquidity Needs
R44 Basics of Portfolio Planning and Construction
IPS
Components
Objectives
Risk
Willingness Ability
Return
Desired Return Required Return Investment Constraints
Liquidity Requirement Time Horizon Tax Concerns
Legal and Regulatory Factors Unique Circumstances
Asset Allocation
Strategic Asset Allocation Tactical Asset Allocation
R41 Risk Management:An Introduction
Risk Management
Definition Framework
Identify Financial and Non-Financial Sources of Risk
Financial Risks
Market Risk
Credit Risk Liquidity Risk
Non-Financial Risks
Operational Risk Solvency Risk
Methods for Measuring and Modifying Risk Exposures
Common Measures of Risk
Standard Deviation
Asset-Specific Measures Derivative Measures Tail Measures
Methods of Risk Modification
Risk Prevention and Avoidance
Risk Acceptance Risk Transfer Risk Shifting
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