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Tài chính doanh nghiệp - Financial modeling - Topic 4: Portfolio risk - Return optimizationFind optimal complete portfolios for complete portfolio volatility of 9%, 18%, and 27% Complete (or combined) portfolios may combine risky assets with risk-free assets and borrowing 18%: Envelope Portfolio: Contains SPY, EFA, EEM 9:%: ORP + Rf: Contains SPY, EFA, EEM, and Rf 27%: OBP + Rb: Contains SPY, EFA, EEM, and -Rb
22 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 766 | Lượt tải: 0
Financial modeling - Topic 3: Computing portfolio risk and returnMultiplication of Matrices Matrix A can be multiplied by Matrix B (written AxB or AB), if the number of columns of A equals the number of rows in Matrix B. (inside dimensions (rC*Rc) The resulting matrix has the same number of rows as the first matrix and the number of columns as the second matrix (outside dimensions Rc*rC) If the outer dimensio...
28 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 779 | Lượt tải: 0
Tài chính doanh nghiệp - Financial modeling - Topic 2: Estimating asset riskThis course will always use population variance (VARP) and population standard deviation (STDEVP) statistics for all lectures, assignments and exams. Sample statistics should be used when dealing with small samples in the real world. The only difference is that the sample statistics compute the average squared deviation by dividing the sum of squar...
26 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 754 | Lượt tải: 0
Tài chính doanh nghiệp - Financial modeling - Topic 1: Asset expected return and user - defined functionAdvantages Higher r-squared (explains more historical return) Accounts for historical correlations between returns and firm size and book/market ratio Disadvantages Not sure why firm size and book/market matter More model risk: Must now estimate 3 betas and 3 premiums FF3F may be preferable to CAPM if you believe that the small firm and book ...
26 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 749 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 19: Global portfolio optimizationIf there were no risk-free asset, you would choose one of the envelope portfolios based on your risk-return preferences Consider what happens once we add a risk-free asset. Combining the risk-free asset with one particular portfolio of risky securities generates a new efficient frontier which is linear. This is called the Capital Allocation Lin...
24 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 810 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 18: Global investing1. Assume that a global portfolio has an expected return of 8% and standard deviation of 16%. domestic portfolio has an expected return of 6% and standard deviation of 14%. The risk free rate of return is 1%. What is the global volatility improvement (reduction in standard deviation) if an investor desires a 4% expected return? What are the portfol...
12 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 921 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 17: Foreign funds and global portfolio improvementImprovements shown in the example are due to the historical Sharpe values which show that the global portfolio has had a better excess return/risk ratio over that period (2003-2010) This may not always hold for individual years or longer periods of time However, many financial advisors and financial research suggest that a portfolio should includ...
23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 695 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 16: Foreign securities, risks, and expected returnsGDRs are similar to ADRs but differ in that they are generally traded on two or more markets outside of the foreign issuer’s home market sold in the U.S. through private placement market (Under Rule 144A) to qualified institutional buyers Allow foreign companies to raise capital in multiple markets and broaden their investor base As of 2001...
20 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 696 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 15: Global capital budgeting and country riskSuppose the yields on government bonds in the U.S., Mexico, and Pakistan are 4%, 7%, and 9%. A U.S. multinational firm is considering an investment in Mexico or Pakistan. The domestic discount rate is 12%. What are the discount rates for Mexico and Pakistan using the sovereign risk premium method? Mexico Cost of Capital = .12 + (.07-.04)=.15 P...
21 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 854 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 14: Domestic capital budgeting: npv, free cash flows, and cost of capitalFacebook is evaluating an investment in a new venture. The investment costs $900M today and is expected to return FCFs of $100M next year. FCF growth in years 2 and 3 is 15%, and 3% in year 4. What is the NPV of the project if the WACC is 12% and the FCF exit multiple is 10?
26 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 796 | Lượt tải: 0
