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FINS (156)
FINS2624 (18)

Class Notes for FINS2624 at University of New South Wales

Portfolio Management

FINS2624 Lecture Notes - Lecture 11: Arbitrage, Standard Deviation, Log-Normal Distribution

11 Option Valuation Pricing Options: Options priced using no-arbitrage arguments Form portfolio that combines positions in option and its underlying asset, to replicate risk-free asset ...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 10: Put Option, Call Option, Financial Asset

10 Option Strategies Derivatives: Financial instruments whose value depend on some observable variable Most often price of some other financial variable (e.g. stock price) Financial asset that deriv...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 7: Sharpe Ratio, S&P 500 Index, Market Portfolio

7 SIM & Factor Models Stiglitz Paradox: Asset prices should reflect fundamentals to some extent Costly analysis required to map business information According to CAPM, everybody should buy mar...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 9: Sharpe Ratio, Idiosyncrasy, Standard Deviation

9 Performance Measures Need to take risk into account CAPM returns too high based on: Loading high on systematic risks High alpha normally attributable to greater idiosyncratic risk Main differe...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 5: Expected Return

5 Optimal Portfolios Expected return of risk free asset = variation of risk free asset = 0 Return of complete portfolio, C:

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 1: Cash Flow

Bond Pricing i. Three key parameters of typical borrowing-lending contract a. Maturity b. Principal c. Interest Rate (level & frequency) ii. Fundamental Pricing: Prices ...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 2: Spot Contract, Iterative Method, Yield Curve

2 Term Structure of Interest Rates T-period spot rate interest rate today for a t-period investment & no cash flows over investment period except for at maturity (also known as zero rate) Use t-period sp...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 6: Market Portfolio, Systematic Risk, Capital Asset Pricing Model

6 Capital Asset Pricing Model Assets contribution to the market portfolios variance: Deriving the CAPM (informally): Price of risk = market risk premium Assets compensated with high...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 4: Risk Premium, Risk Aversion, Expected Return

4 Markowitz Portfolio Theory Preferences aim to satisfy as many preferences as possible Utility functions assign value to each outcome (preferred outcomes = higher values) Utility depending only on w...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 8: Efficient-Market Hypothesis, Abnormal Return, Fundamental Analysis

8 EMH & Behavioural Finance Market Efficiency Current prices should reflect investors expectations about future performance If investors consider all currently available information when forming expec...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 3: Cash Flow, Approximation Error

3 - Duration Change in security values due to change in interest rates Risk measurement must measure sensitivity of market value to changes in interest rates Macaulay duration: Elasticity of pri...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 9: Information Ratio, Call Option
Premium

Chapter 24: SS and AA The appropriate performance measure depends on the role of the portfolio to be evaluated. Appropriate performance measures are as follows: o Sharpe: when the portfolio represents the entire investmen...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 6: Efficient-Market Hypothesis, Call Option, Noise Trader
Premium

EMH and behavioural finance - market efficiency: all correctly taken into account information when forming expectations- only NEW information can move the price (could not be inferred from currently ...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 2: Risk Aversion, Risk Premium, Efficient Frontier
Premium

Lecture 4: Markowitz portfolio theory - Dynamic optimisations in multiple periods - Utility: used to assign values to every possible outcome- modelled depending only on wealth- insatiation (greed) and ...

Finance
FINS2624
All Professors
FINS2624 Lecture Notes - Lecture 5: Sharpe Ratio, Capital Asset Pricing Model, Efficient Frontier
Premium

Lecture 7: SIM and factor models - Stiglitz paradox o According to CAPM, everyone is a passive market investor- no channel for info de real economy to enter capital market- therefore pri...

Finance
FINS2624
All Professors
Permachart - Marketing Reference Guide: New York Stock Exchange, Nyse American, Market Trend

l e a r n • r e f e r e n c e • r e v i e w permacharts TM Stocks & Bonds WHAT IS A STOCK? WHAT IS A BOND? ...

Biology
BIOL2761
All Professors
Permachart - Marketing Reference Guide: Net Asset Value, Mutual Fund, U.S. Securities And Exchange Commission

l e a r n • r e f e r e n c e • r e v i e w permacharts TM Mutual Funds WHAT IS A MUTUAL FUND? PURCHASING & REDEE...

Biology
BIOL2721
All Professors

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