incastle의 콩나물

What is the fair price of an asset? What is the reasonable price of a stock? ===> 오늘의 주제! 투자자들은 efficient portfolio를 원한다 => HIGH return and LOW risk 이를 위해서 포트폴리오는 efficient frontier위에 있어야 한다. 여기에 무위험 자산이 추가 되면 아래의 왼쪽과 같이 새로운 포트폴리오가 추가되고, 최종적인 new feasible set은 오른쪽 그림과 같아진다. 그런데 여기서도 투자자들은 high return, low risk를 원하기 때문에 efficient forntier위의 포트폴리오만 추구하게 됨 여기서 접점(tangent portfolio)는 위험자산만 투자이다. 접점과..

6.6 The Markowitz Model (mean-variance model, analysis라고도 불림) Assumptions of the M-V model Assumptions of the mean-variance approach 모든 투자자들은 mean(Return)과 variance(risk)만을 고려한다. 모든 투자자는 평균, 분산 및 공분산에 대해 동일한 평가를 합니다 All investors are rational (= risk averse) investors only consider a single-period framework Markowitz Model We will now formulate a mathematical problem that leads to minimum varian..

Diagram of a Portfolio Combinations of assets 1 and 2 trace out a curve that includes the two assets Exact shape of the curve depends on the covariance of assets 1 and 2 Solid portion corresponds to positive combinations of the two assets 6.5 The Feasible Set Feasible Set Suppose that there are n basic assets We can plot them as points on the mean-standard deviation diagram Next imagine forming ..

6.2 Random Variables Random Returns Frequently the amount of money to be obtained when selling an asset is uncertain at the time of purchase In that case, return is random and can be described in probabilistic terms Random Variable Expected Value Expected value of a random variable x is the average value obtained by regarding the probabilities as frequencies Terms mean or mean value are often us..