Risk and Return · Exercises
Measuring Return & Risk
- Holding-period return and its components
- Historical mean, variance and standard deviation
- Covariance and correlation
- Scenario probabilities, return moments and beta
Portfolio Construction & Diversification
Efficient Portfolios & Risk-Free Investing
Beta & CAPM
- Market beta and required return
- Portfolio beta and component betas
- Risk-free allocations for target return or beta
- Inferring risk-free and market returns
- Security Market Line and mispricing
- Consistency of covariance and CAPM inputs
- Systematic risk, diversification and CAPM assumptions
- Estimating beta from historical returns
CML, SML & Portfolio Applications
Multifactor Models
- APT and factor risk premia
- Fama–French factor models