Description
Apply the Markowitz and Capital Asset Pricing Model to analyze the
construction and qualitative nature of a portfolios risk-return
characteristics. Including covariance and correlation, expectation and risk,
Efficient frontier, Indifference curves, Capital Market Line, systematic and
unsystematic risk, characteristic line, alpha and beta coefficients, security
market line and risk adjusted performance measures.
Details
This suite includes the following features:
- Portfolio analysis
- Markowitz model - Efficient frontier, Indifference curve, Optimal portfolio
- Capital Market Theory - Equity portfolio, Capital Market Line
- Characteristic Line - finding the systematic risk
- Risk adjusted Performance measures - total return, geometric mean return, Sharpes ratio and Treynor's measure
- Calculation of portfolio parameters
- General case - calculation of the variance, risk and return for a portfolio with an arbitrary number of assets
- Two asset portfolio - calculation of the variance, risk and return of the only two assets
- Optimal diversification of risk for a portfolio with two assets
- Calculation of a portfolios statistical parameters
- Single asset - Calculate covariance, variance and expected return of an asset from given parameters or
probabilities based on historical rates of return
- Many assets - Calculated the covariance matrix and expected returns for a collection of assets
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