Chapter 5. Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM) Practice Question Set contains 48 pages covering the following learning objectives:
* Explain modern portfolio theory and interpret the Markowitz efficient frontier.
* Understand the derivation and components of the CAPM.
* Describe the assumptions underlying the CAPM.
* Interpret the capital market line.
* Apply the CAPM in calculating the expected return on an asset.
* Interpret beta and calculate the beta of a single asset or portfolio.
* Calculate, compare, and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino ratio.
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