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Financial Modeling and Valuation Week VII Notes

by: Kwan

Financial Modeling and Valuation Week VII Notes BU.230.620.W4.SP16

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Financial Modeling and Valuation
Dr. Ken Yook
Class Notes
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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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