Portfolio Theory and Financial Analyses Exercises

Robert Alan Hill
Portfolio Theory & Financial Analyses:
Exercises
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2

Robert Alan Hill
Portfolio Theory & Financial Analyses
Exercises
Download free eBooks at bookboon.com
3

Portfolio Theory & Financial Analyses: Exercises
1
st
edition
© 2010 Robert Alan Hill &
bookboon.com
ISBN 978-87-7681-616-2
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Portfolio Theory & Financial Analyses:
Exercises
4
Contents
Contents
About the Author 8
Part I: An Introduction 9
1 An Overview 10
Introduction 10

Exercise 1.1: e Mean-Variance Paradox 11
Exercise 1.2: e Concept of Investor Utility 13
Summary and Conclusions 14
Selected References (From PTFA) 15
Part II: e Portfolio Decision 16
2 Risk and Portfolio Analysis 17
Introduction 17
Exercise 2.1: A Guide to Further Study 18
Exercise 2.2: e Correlation Coecient and Risk 18
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Portfolio Theory & Financial Analyses:
Exercises
5
Contents

Exercise 2.3: Correlation and Risk Reduction 19
Summary and Conclusions 21
Selected References 22
3 e Optimum Portfolio 23
Introduction 23
Exercise 3.1: Two-Asset Portfolio Risk Minimisation 24
Exercise 3.2: Two-Asset Portfolio Minimum Variance (I) 26
Exercise 3.3: Two-Asset Portfolio Minimum Variance (II) 30
Exercise 3.4: e Multi-Asset Portfolio 31
Summary and Conclusions 32
Selected References 33
4 e Market Portfolio 34
Exercise 4.1: Tobin and Perfect Capital Markets 35
Exercise 4.2: e Market Portfolio and Tobin’s eorem 37
Summary and Conclusions 42
Selected References 43
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