Microsoft PowerPoint - PoF.ppt

Overviewƒ 24

Properties of portfolios

ƒ

Return

ƒ

Risk

ƒ

Diversification

ƒ

Minimum variance and efficient set

ƒ

Combination lines

ƒ

Markowitz

ƒ

Tobin

ƒ

Additional literature

ƒ

Haugen, R. A.,

Modern Investment Theory

, 5th edition, 2001.

Relevant chapters: 4 and 5.

Single-period random cash flows: Mean-variance portfolio theory