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1、DOMESTICandINTERNATIONALPORTFOLIOMANAGEMENT(BEAM036)CapitalMarketTheoryandPortfolioManagement—ArbitragePricingTheory,MultifactorModelsandActivePortfolioManagementLearningOutcomes:Afterthissessionyoushouldbeableto1)Compareandcontrasttheassumptionsofthearbitragepricingtheory(APT)totheassumption
2、softheCAPMandtheIndexModel;2)Discussthearbitragepricingtheory(APT),includingitsunderlyingassumptionsanditsrelationtothemultifactormodels,calculatetheexpectedreturnonanassetgivenanasset’sfactorsensitivitiesandthefactorriskpremiums,anddeterminewhetheranarbitrageopportunityexists,includinghowtoe
3、xploittheopportunity;3)Explainhowtheriskfactorsinamultifactormodelarechosen,anddescribethemacroeconomicandmicroeconomicfactorsthathavebeenused.4)DiscusswhyRoll’scritiqueoftheCAPMandShanken’schallengetotheAPTcausemanyobserverstoconsiderthemodelstobeun-testable;5)Setoutthedifferencesbetweenacti
4、veandpassivemanagementstyles;6)Explainthreewaysofconstructingapassiveindexportfolio;7)Explainthreethemesthatanactiveequityportfoliomanagercanuse;8)Explainthesourcesofactiverisk,anddefineandinterprettrackingerror,trackingrisk,andtheinformationratio,andexplainfactorportfolioandtrackingportfolio
5、;9)Explainhowtoevaluateportfolioperformance.Reading:thReilly,F.K.,andK.C.Brown,2006,InvestmentAnalysisandPortfolioManagement,8ed.,Chapter9,16,25.HomeworkthReilly,F.K.,andK.C.Brown,2006,InvestmentAnalysisandPortfolioManagement,8ed.,p293-295.Questions2,5.Problems1,3,4.thReilly,F.K.,andK.C.Brown
6、,2006,InvestmentAnalysisandPortfolioManagement,8ed.,p642.Questions10,11.ArbitragePricingTheoryandMultifactorModelsI.MultifactorModelsThesinglefactormodelcanbedescribedas:Ri=E(Ri)+βiF+eiwhereE(Ri)istheexpectedreturn.Fistheunanticipatedcomponentsofthecommonfactor.eirepresentstheunanticipatedfir
7、m-specificevents.Thismodelconfinesallsystematicsourcesofrisktoasinglefactor.However,stocksmaydifferintheirexposurestothevariousfactors.1.Two-FactorModelSupposetwoimportantmacroeconomicsourcesofriskareuncertaintiesaboutthebusinesscycle,measure
