Portfolio Management Portfolio Management [ An Introduction To Multi-factor Models ] 1. Arbitrage Pricing Theory - unsystematic risk can be diversified away in a portfolio - returns are generated using a factor model - no arbitrage opportunities exist 2. Multi-factor Model 1) Macroeconomic factor model - Ri = E(Ri) + bi1FGDP + bi2FQS + ei - Ri = return for Asset i - E(Ri) = expected return for Asset i (in the absenc.. 더보기 Fixed Income Fixed Income [ The Term Structure and Interest Rate Dynamics ] ○ Bond pricing - forward rate에서 spot rate(zero-coupon rate) 뽑아내고, spot rate으로 채권 CF 할인 - YTM ≦ spot rate ≦ forward rate ○ Spread - swap spread = swap rate - Treasury yield - I-spread = risky bond yield - swap rate - Z-spread = spot rate - default-free spot rate - Ted spread = 3M Libor - 3M T-bill - Libor-OIS spread = Libor - OIS(1일물).. 더보기 Equity Equity [ Equity Valuation: Applications and Process ] ○ Porter's five forces model new entrants supplier power rivalry buyer power substitutes ○ Conglomerate discount - internal capital inefficiency - endogenous (internal) factors - research measurement error [ Return Concepts ] ○ Supply-Side estimates - equity risk premium = [1+i] × [1+rEg] × [1+PEg] - 1 + Y - RF - i = expected inflation = YTM .. 더보기 이전 1 ··· 25 26 27 28 29 30 31 ··· 33 다음