Portfolio and Investment Analysis with SAS

Chapter 5: The Theory of Risk, Return, and Performance Measurement

5.1 Introduction

5.2 Risk and Return and Markowitz Optimization Analysis

Efficient Frontier

A General Form of Portfolio Optimization

5.3 Capital Market Equilibrium

Capital Market Line

CAPM Beta

5.4 The Barra Model: A Fundamental Risk Model

GEM

USE1

USE3 and USE4

BARRA Applications

5.5 APT and Statistical Risk Models: Constructing Mean-Variance Efficient Portfolios

APT Approach

Applying the Blin and Blender APT Model

Applying the APT Model with a Corporate Exports Constraint

5.6 The Axioma Risk Model: Fundamental and Statistical Risk Models

5.7 The Axioma Alpha Alignment Factor and Custom Risk Models

Custom Risk Model

Alpha Alignment Factor

5.8 Assessing Mutual Funds: The Treynor ...