MIP/MB-IPB/08 1 MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 3b: Portfolio Management

MIP/MB-IPB/08 2 Risk Reduction with Diversification Number of Securities St. Deviation Market Risk Unique Risk

MIP/MB-IPB/08 3 r p = W 1 r 1 + W 2 r 2 W 1 = Proportion of funds in Security 1 W 2 = Proportion of funds in Security 2 r 1 = Expected return on Security 1 r 2 = Expected return on Security 2 Two-Security Portfolio: Return

MIP/MB-IPB/08 4  p 2 = w 1 2  w 2 2  W 1 W 2 Cov(r 1 r 2 )  1 2 = Variance of Security 1  2 2 = Variance of Security 2 Cov(r 1 r 2 ) = Covariance of returns for Security 1 and Security 2 Two-Security Portfolio: Risk

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