Page 273 - DCOM504_SECURITY_ANALYSIS_AND_PORTFOLIO_MANAGEMENT

Security Analysis and Portfolio Management Tanima Dutta, Lovely Professional University

Notes Unit 11: Capital Market Theory

CONTENTS
Objectives
Introduction

11.1 Introduction to CAPM
11.2 Portfolio Risk
11.3 Further Explorations of the Capital Asset Pricing Model

11.4 Security Market Line (SML)
11.5 Capital Market Line (CML)
11.6 Beta Factor of a Market Portfolio
11.7 Benefits and Limitations of CAPM
11.8 Arbitrage Pricing Model

11.9 Arbitrage Pricing Theory (APT)
11.10 Using the APT
11.11 Modern Portfolio Theory

11.12 Summary
11.13 Keywords
11.14 Self Assessment
11.15 Review Questions
11.16 Further Readings

Objectives

After studying this unit, you will be able to:
Discuss concepts of risk free asset, risk free lending and borrowings
Explain the Capital Asset Pricing Model

Describe testing the Capital Asset Pricing Model
Define Capital Market Line
Explain Security Market Line
Discuss Empirical Evidence on the Capital Asset Pricing Model
Explain Arbitrage Pricing Theory

Describe Modern Portfolio Theory
Discuss Mean Variance Analysis
Understand Capital Market Line and Identification of Market Portfolio

268 LOVELY PROFESSIONAL UNIVERSITY