تكوين وإدارة محافظ الأوراق المالية وصناديق الاستثمار
Post on 15-Apr-2017
149 Views
Preview:
TRANSCRIPT
1
جامعة القاهرة كلية االقتصاد والعلوم السياسية
قسم االقتصاد
2
Markowitz
3
Objectives
Constraints
1-
2-
4
3-
4-
5-
6-
Security Analysis
1-
Fundamental Analysis
Technical Analysis
Top – Down Approach
Bottom – Up Approach
2-
(Systematic Risk)
5
(Unsystematic Risk)
1- Country Risk
2- Sector Risk
3- Company Risk
Country Risk
-أ
-ب
6
-ج
-د
-ه
-و
Sector Risk
Company Risk
Simple or Naïve Diversification
Not Putting All Eggs in one Basket
Spread The Risk
7
1-
2-
3-
4-
(Income Stocks )
8
(Growth Stocks )
(Value Stocks)
Venture
Capital
Portfolio Analysis
Optimal Portfolio
Dominance
Principle
1-
2-
9
Portfolio Selection
Utility function
1-
2-
Rational
Asset Allocation
The Optimum Mix of Asset Classes
1-
2-
3-
4-
(Aggressive)
(Conservative)
11
11
Performance Evaluation
:
.
:
.
.
.
12
.
.
:
1
.
2
.
.
.
- 3 :
. .
.
13
Efficiency
Harry Markwitz
Dominance Principle
1-
2-
Portfolios
Portfolio
Nodominated Assets
14
15
Efficient PortfoliosInvestment Assets
Same Risk Class
Efficient Portfolios Efficient Set
Efficient Frontier
Opportunity of Feasible Set
Efficient Set Theorem (EST)
1-
2-
Efficient SetEfficient Frontier
(EST)Efficient Set
16
Efficient Set Theorem
Efficient SetEfficient portfolios
Optimal Risky PortfolioRisk Averse
17
Risky Assets
18
Covariance
Same Investment Horizon
Risky Investment
Price Risk
Interest Rate Risk
Reinvestment Rate Risk
X X
19
X
Efficient Set
21
نموذج تسعير األصول الرأسمالية
Efficient Set
Capital Asset Pricing
Model
W.Sharpe
H.Markwitze Efficient Frontier Efficient Set
1-
Skewed
CAPM
Central Limit
TheoremSkewed
2- One-period
3-
4- Risk Averse
5-
6-
7-
8- Homogeneous Expectations
9-
21
Perfect
Market Portfolio
Capital Market Line (CML)
22
Risk Averse
Separation Theorem
23
Security Market Line (SML)
24
SML
SML
SML
25
SML
Expected Dividend YieldExpected Capital Gains
Yield
26
Undervalued
Overvalued
Security Market Line (SML)
27
28
مفهوم صناديق االستثمار
: نشأة وتطور صناديق االستثمار
Closed-end
The Trust
Open-end
Liyods FirstFonds
Unit
Investment Trust
Mutual FundsOpen Investment
SicavFCP
SicavSicav
SicavFCP
Quantitative
29
: اديق االستثمار أنواع صن
Open-End Funds
Closed - End Funds
(OTC)
Income Funds
Blue Chip
Growth Funds
31
Partially Income, Partially Growth
Income Growth
Growth Income
Dual - Purpose Funds or Dual Funds
Income Stocks
Growth StocksCapital Gains
Common Stock Funds
31
Bond Funds
Convertible Bonds
Balanced Funds
Diversified Funds
32
Money Market Funds
OvernightTreasury Notes
Certificates Deposits
Liquidity Risks
Net Asset Value
Guarantee Risks
Indexed Funds
Standard & Poors Index 500FTSE Shares Index 100
33
Insured Funds
Option Theory
Portfolio Insurance
Composite Funds
Funds of Funds
Super Funds
Speculation Funds
Speculation Funds in Future Markets
Hedging Funds
Venture Capital Funds
Islamic Funds
34
35
Management Fees
Performance FeesBenchmark
36
37
1-
2-
3-
4-
5-
6-
38
39
B
RF
= RF
F rfF
F
R - RS =
SF
RF
R rf
F
\
i (X - X ) 2
n - 1
Xi I
X\
F rfF
F
R - R T =
B
BF
F FMF
M
*R B =
F
F
Rrf
41
top related