Portfolio Management Revision Class for Quiz 1

The purpose of this week revision class is to recap and revise the principles learned in portfolio
management. The revision includes among others;

(i) How to measure risk and return in practice,

a. Historical Analysis
b. Scenario Analysis

(ii) Portfolio analysis of 2 and 3 risky assets cases,

a. Correlation between -1 and +1
b. Correlation = -1
c. Correlation = +1

(iii) One risk free and 1 risky asset – foundation of asset pricing models

(iv) Asset allocation and security selection – strategic, tactical, etc

(v) Portfolio management process –setting investment objectives, portfolio selection,

portfolio monitoring, portfolio evaluation/feedback and portfolio rebalancing.

(vi) Asset pricing models and applications,

a. CML
b. CAPM
c. APT
d. Applications of asset pricing models (UFO, EMH etc)

(vii) Portfolio performance evaluation.

a. Sharpe Index

b. Risk-adjusted Performance

c. Treynor Index

d. Jensen Index

e. Sortino Index

f. Information ratio