Мы предполагаем, что вам понравилась эта презентация. Чтобы скачать ее, порекомендуйте, пожалуйста, эту презентацию своим друзьям в любой соц. сети. Кнопочки находятся чуть ниже. Спасибо.
Идет загрузка презентации. Пожалуйста, подождите
Презентация была опубликована
4 года назад
© A. Zaporozhetz, WIUU, Spring Lecture Analysis of abnormal return of managed portfolios by E. Fama. GSS. CFDR. NSS.
© A. Zaporozhetz, WIUU, Spring Eugene Fama Born in 1939, an American economist, known for his work on portfolio theory and asset pricing, both theoretical and empirical. Currently he is a professor of finance at the University of Chicago Booth School of Business. MBA, PhD.
© A. Zaporozhetz, WIUU, Spring Eugene Fama E. Fama is most often thought of as the father of efficient market hypothesis (EMH), beginning with his Ph.D. thesis. In a ground-breaking article in the May, 1970 issue of the Journal of Finance, entitled "Efficient Capital Markets: A Review of Theory and Empirical Work," E. Fama proposed three types of efficiency: (i) strong-form; (ii) semi-strong form; and (iii) weak efficiency. He was a co-founder of Fama–French three-factor model (1993).
© A. Zaporozhetz, WIUU, Spring GSS, Gross security selection = r act - r CAPM = CFDR + NSS CFDR, Compensation for diversifiable risk is the effect of higher volatility of portfolio on the GSS. CFDR = (r m – r f )*(sigma p /sigma m – beta p ) sigma p /sigma m could be called the «degree of volatility» NB: sigma p /sigma m > beta p Analysis of abnormal return by E. Fama
© A. Zaporozhetz, WIUU, Spring NSS, Net security selection= GSS – CFDR NSS is the effect of smart selection of securities for a portfolio, and effective & efficient trading (opening/closing positions).
© A. Zaporozhetz, WIUU, Spring In 2012, a managed portfolio: mean return p = 0,41% beta p = 0,77 sigma p = 3,55% Market proxy is ACWIFM (0,24%;1,83%) Find: GSS Degree of volatility CFDR NSS Evaluate the portfolio managers performance Practice
© A. Zaporozhetz, WIUU, Spring Analysis of abnormal return by E. Fama If NSS > 0, the portfolio manager was effective: he/she added up to the portfolio return. If NSS < 0, the portfolio manager was not effective: he/she ate up some return.
Witten Edward Witten (born August 26, 1951) is an American theoretical physicist with a focus on mathematical physics who is a professor of Mathematical.
Albert Einstein. Why I chose this person ? I think that Einstein was a talented man I want to know more about the achievements of this man And of course.
Outside Financing Under Asymmetric Information Plan for this part: Lemons problem in financial markets Market breakdown Market breakdown Overinvestment.
FINANCIAL UNIVERSITY UNDER THE GOVERNMENT OF THE RUSSIAN FEDERATION Foreign Languages-2 Department The Job of HR manager Margarita V. Ryazantseva PhD,
RLC circuit. An RLC circuit (or LCR circuit) is an electrical circuit consisting of a resistor, an inductor, and a capacitor, connected in series or in.
JEFF BEZOS JEFF JORGENSEN (BEZOS) Bezos, was born 1964 in Albuquerque, New Mexico. Jeff, born of a mother under 18 years, as soon as he was born and his.
Cultural Features In Management. The meaning of management Management activity is one of the deciding factors of effective work of the firm in a free.
Franklin Delano Roosevelt.. . Franklin Delano Roosevelt is the 32nd president of the USA (1933-1945).
PROJECT NAME INDIAN ECONOMY NAME:VIRENDER CLASS: 10 TH A ROLL NO.: 36.
Econometrics. Econometrics is "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that.
Flow-to-Equity Approach Calculate Free Cash Flow to Equity Compute their NPV using r E as a discount rate.
Charles Robert Darwin. Charles Robert Darwin (1809-1882), English naturalist, founder of Darwinism). The Origin of Species by Means of Natural Selection.
Scientists of Great Britain Isaac Newton Isaac Newton one of the greatest men in the history of science was born in a little village in the middle of.
(1874–1926). One of the best-recognized names in magic is that of Harry Houdini. His ability to skillfully free himself from ropes, chains, locks, and.
The Three Branches of the American Government By Jill Buckett.
CLONING DOLLY – the cloned sheep 0- Dolly (5 July 1996 – 14 February 2003) was a female domestic sheep, and the first mammal to be cloned from an adult.
Unknot The unknot arises in the mathematical theory of knots. Intuitively, the unknot is a closed loop of rope without a knot in it. A knot theorist would.
Artyom Golenkov. Albert Einstein 14 March 1879 – 18 April 1955) was a German-born theoretical physicist who developed the general theory of relativity,
© 2004 Cisco Systems, Inc. All rights reserved. ARCH v1.24-1 Module Summary An effective enterprise network management strategy is critical to guarantee.
Еще похожие презентации в нашем архиве:
© 2018 MyShared Inc. All rights reserved.