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Table 4-1 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

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Presentation on theme: "Table 4-1 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc."— Presentation transcript:

1 Table 4-1 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

2 Table 4-2 Return on Various Assets
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

3 Table 4-3 Returns on Various Investmentsa
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

4 Table 4-4 Dollars at Period 2 Given Alternative Investments
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

5 Table 4-5 Monthly Returns on IBM, Alcoa, and GM (in percent)
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

6 FIGURE 4-1 Securities and predetermined portfolios.
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

7 Table 4-6 Calculating Covariances
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

8 Table 4-7 Covariance and Correlation Coefficients (in Brackets) Between Assets
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

9 Table 4-8 Effect of Diversification
(Table continues on next slide) Table 4-8 Effect of Diversification Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

10 Table 4-8 (continued) Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

11 Table 4-9 Percentage of the Risk on an Individual Security that Can Be Eliminated by Holding a Random Portfolio of Stocks within Selected National Markets and among National Markets [13] Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

12 FIGURE 4-2 The effect of number of securities on risk of the portfolio in the United States[13].
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

13 FIGURE 4-3 The effect of securities on risk in the U. K. [13].
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

14 Table 4-10 Historical Data on Bonds and Stocks
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

15 Table 4-11 Mean Return and Standard Deviation for Combinations of Stocks and Bonds
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

16 FIGURE 4-4 Combinations of bonds and stocks.
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

17 Table 4-12 Mean Return and Standard Deviation for Combinations of Domestic and International Stocks
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

18 FIGURE 4-5 Combinations of U.S. stocks and international stocks.
Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

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