Financial Modeling and Valuation Week VII Notes
Financial Modeling and Valuation Week VII Notes BU.230.620.W4.SP16
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This 2 page Class Notes was uploaded by Kwan on Thursday April 28, 2016. The Class Notes belongs to BU.230.620.W4.SP16 at Johns Hopkins University taught by Dr. Ken Yook in Spring 2016. Since its upload, it has received 35 views. For similar materials see Financial Modeling and Valuation in Finance at Johns Hopkins University.
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Date Created: 04/28/16
Modeling VII Thursday, April 28, 2016 09:02 1. Portfolio Co-‐variance How to calculate 2. Efficient Portfolio Inv Opportunity Set How to differentiate the slope (reference: Techniques for Calculating the Efficient Frontier) 3. Excel: chapter 9 Z= S (R-‐c) E(y): multiply the return vector, c)t (-‐R PPT: Portfolio Theory III Efficient frontline: use market data (all are best) Choose according to risk tolerance: indifference curve CML: Ri = Rf + (RM-‐Rf)/sigmaM *sigmai (Sharpe ratio: the slope) Asset allocation: passive strategy Reference: CAPM: CML-‐-‐> CAPM- -‐> SML PPT: Portfolio Theory IV Identifying a Stock's Alpha Evaluation of inv performance: alpha 4. Excel: VaR z: Normal table Exercise Standardized Normal Distribution: Data table Normal Distribution: Copy only formula Norm.dis: false -‐-‐not cumulative Mean$=initial inv*(1+mean%) VaR: PPT 12, PPT15 -‐17 Parametric Simulation: Historical, Monte Carlo (normal distribution) -‐-‐> data table-‐ -‐> percentile
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