Portfolio and Investment Analysis with SAS

Chapter 3: The Risk and Return of Equity and the Capital Asset Pricing Model

3.1 Introduction

3.2 Calculating Holding Period Returns

3.3 Markowitz on Portfolio Risk

3.4 An Introduction to Modern Portfolio Theory

3.5 Estimating Stock Betas

3.6 Multi-Beta Risk Models

3.7 Summary and Conclusions

3.8 Appendix: Robust Regression and SAS Implementation

Hat-Matrix Diagonals

Residuals

Residual Regression Plots

A Brief History of Modern Robust Regression

3.1 Introduction

Individual investors must be compensated for bearing risk. It seems intuitive that there should be a direct linkage between the risk of a security and its rate of return. We are interested in securing the maximum return for a given level of risk, or the minimum risk for a given level ...