...VINCENNES UNIVERSITY CATALOG Vol. LXIX August, 2010 No. 61 A COMPREHENSIVE TWO-YEAR COLLEGE OFFERING ASSOCIATE DEGREES IN THE LIBERAL ARTS, SCIENCES, EDUCATION, ENGINEERING, AND TECHNOLOGY AND OFFERING BACCALAUREATE DEGREES IN SPECIALIZED AREAS Accreditation The North Central Association of Colleges and Schools 30 North LaSalle Street, Suite 2400, Chicago, IL 60602 (312) 263-0456 www.ncacihe.org FAX 312-263-7462 Accreditation Review Council on Education in Surgical Technology and Surgical Assisting American Bar Association American Board of Funeral Service Education American Health Information Management Association Association of Collegiate Business Schools and Programs Commission on Accreditation of Allied Health Educational Programs Commission on Accreditation in Physical Therapy Education Federal Aviation Administration Higher Education Coordinating Board of the State of Washington Indiana State Board of Nursing Joint Review Committee on Education In Radiologic Technology National Alliance of Concurrent Enrollment Partnerships National Association of Schools of Art and Design National Association of Schools of Theatre National League for Nursing Accrediting Commission Printing Industries of America, Inc. Approved for Veterans Membership The American Association of Community Colleges Aviation Technician Education Council The Council of North Central Two Year Colleges The Higher Education Transfer Alliance The National Academic Advising Association The North Central Association...
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...2011 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: Fin1MiQEFAll.TeX Contents 1 Mean-Variance Frontier 1.1 Portfolio Return: Mean, Variance, and the Effect of Diversification 1.2 Mean-Variance Frontier of Risky Assets . . . . . . . . . . . . . . 1.3 Mean-Variance Frontier of Riskfree and Risky Assets . . . . . . . 1.4 Examples of Portfolio Weights from MV Calculations . . . . . . . . . . . . . . . 4 4 9 19 22 A A Primer in Matrix Algebra 24 B A Primer in Optimization 27 2 . . . . . . . . 31 31 32 37 39 42 45 46 47 3 Risk Measures 3.1 Symmetric Dispersion Measures . . . . . . . . . . . . . . . . . . . . 3.2 Downside Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3 Empirical Return Distributions . . . . . . . . . . . . . . . . . . . . . 54 54 56 67 4 CAPM 4.1 Portfolio Choice with Mean-Variance Utility . . . . . . . . . . . . . . 70 70 Index Models 2.1 The Inputs to a MV Analysis . 2.2 Single-Index Models . . . . . 2.3 Estimating Beta . . . . . . . . 2.4 Multi-Index Models . . . . . . 2.5 Principal Component Analysis 2.6 Estimating Expected Returns . 2.7 Estimation on Subsamples . . 2.8 Robust Estimation . . . . . . . . . . . . . . . .. .. .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...
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