Please enable JavaScript.
Coggle requires JavaScript to display documents.
QUANT 8) - Coggle Diagram
QUANT 8)
8.3: Correlation and Diversification Benefits
Diversification Benefit Using Different Portfolio Weights
Risk and Return for Different Values of ρ
ρ = -1 case :check:
Variance-Covariance Matrix for Three-Asset and Four-Asset Portfolios
Expected Portfolio Variance
Diversification
Correlation change effect on portfolio volatility
Increase in the correlations between assets in a portfolio -> Increase in the portfolio’s volatility :check:
8.7: The Capital Asset Pricing Model
unsystematic risk
systematic risk
Beta :check:
return-generating models
capital asset pricing model (CAPM) :check:
security market line (SML)
Portfolio Theory Limitations
8.2: Portfolio Risk Measures
standard deviation
Variance of portfolio returns
3-asset portfolio variance formula :check:
Covariances
from Correlation to Covariance :check:
8.4: The Minimum-Variance Portfolio and the Efficient Frontier
Optimal Risky Portfolio With a Risk-Free Asset
tangency portfolio
selecting the most efficient allocation of assets for a portfolio
minimum-variance portfolio weight formula for a two-asset portfolio :check:
8.5: Risk Aversion
Investor Risk Preferences
Risk seeking, Risk neutral and Risk averse :check:
Utility Functions
Indifference Curves
Risk-Averse Investor's Indifference Curves
8.6: Capital Allocation Line and Capital Market Line
capital allocation line (CAL)
Capital Market Line
8.1: Portfolio Expected Return
historical return of a portfolio , portfolio drift