عنوان قارسی مقاله: نمونه کارهای ریسک و بازده


عنوان انگلیسی مقاله:

Portfolio Risk and Return





 

فهرست مطالب



Portfolio Risk and Return
Return on Financial Assets
Holding Period Return
Average Returns
Arithmetic or Mean Return
Geometric Mean Return
Money-Weighted Return
Annualized Return
Gross and Net Returns
Pre-Tax and After-Tax Nominal Return
Nominal Returns and Real Returns
Variance and Standard Deviation of a Single Asset
Variance of a Portfolio of Assets
EXAMPLE 5-4 Return and Risk of a Two-Asset Portfolio
EXAMPLE 5-4 Return and Risk of a Two-Asset Portfolio (Continued)
EXHIBIT 5-5 Risk and Return for U.S. Asset Classes by Decade (%)
EXHIBIT 5-7 Nominal Returns, Real Returns, and Risk Premiums for Asset Classes (1900–2008)
Important Assumptions of Mean-Variance Analysis
EXHIBIT 5-9 Histogram of U.S. Large Company Stock Returns, 1926-2008
Utility Theory
Indifference Curves
Indifference Curves
Portfolio Expected Return and Risk Assuming a Risk-Free Asset
The Capital Allocation Line (CAL)
The Capital Allocation Line (CAL)
EXHIBIT 5-15 Portfolio Selection for Two Investors with Various Levels of Risk Aversion
Correlation and Portfolio Risk
EXHIBIT 5-16 Relationship between Risk and Return
EXHIBIT 5-16 Relationship between Risk and Return
EXHIBIT 5-17 Relationship between Risk and Return
Avenues for Diversification
EXHIBIT 5-22 Minimum-Variance Frontier
EXHIBIT 5-23 Capital Allocation Line and Optimal Risky Portfolio
The Two-Fund Separation Theorem
EXHIBIT 5-25 Optimal Investor Portfolio
Summary



بخشی از مقاله


EXAMPLE 5-4 Return and Risk of a Two-Asset Portfolio
Assume that as a U.S. investor, you decide to hold a portfolio with 80 percent invested in the S&P 500 U.S. stock index and the remaining 20 percent in the MSCI Emerging Markets index. The expected return is 9.93 percent for the S&P 500 and 18.20 percent for the Emerging Markets index. The risk (standard deviation) is 16.21 percent for the S&P 500 and 33.11 percent for the Emerging Markets index. What will be the portfolio’s expected return and risk given that the covariance between the S&P 500 and the Emerging Markets index is 0.0050?




 

کلمات کلیدی: 

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