The Risk Management Model for Desklib includes analysis of CAPM, Systematic Risk, Alpha, Validity of Model, Sharpe Measure and Treynor Measure. It covers portfolio return, required rate of return, and risk adjusted performance of assets. The report also provides insights on the interpretation of R2 and the comparison among the results.

Task 1 (Marks 20)

You are interested in real estate. You have decided to purchase 3 (three) properties with nice of your good friends. Since each investment requires the same amount of money and you will have a 10% interest in each, you will effectively have one -third of your portfolio invested in each apartment. While the apartment cost the same, they are different distances from Central business area and in different suburbs. You believe that the causes them to have different levels of systematic risk, and you estimate that the betas for the individual apartments are 1.2, 1.3 and 1.5. If the risk-free rate is 4% and the market risk premium is 6%, what will be the expected return on your real estates portfolio after you buy all three investments?

Discover Desklib's Risk Management Model with CAPM, Systematic Risk, Alpha, Validity, Sharpe Measure, Treynor Measure, portfolio return, and required rate of return.

Risk Management Model for Desklib - Analysis of CAPM, Systematic Risk, Alpha, Validity of Model, Sharpe Measure and Treynor Measure

This document discusses the use of CAPM and Fama-French models to evaluate stock performance. It explains the concepts of CAPM, Jensen alpha, and information ratio. The document also compares the performance of different stocks based on these models and explores the impact of constraints on portfolio returns.

Using CAPM and Fama-French Models to Evaluate Stock Performance

Investment Analysis  Portfolio Management

This report analyzes the risk and return measures of a company using the Capital Asset Pricing Model (CAPM). It explains the relation between risk and return, the calculation of beta for individual securities, and the diversification of portfolios to minimize risk and increase return. The report concludes that the case company has more risk than a hypothetical company, but also has the potential for higher returns. The use of CAPM has led to the foundation of a well-diversified portfolio that minimizes risk and increases return for investors.

Risk Management Model for Desklib - Analysis of CAPM, Systematic Risk, Alpha, Validity of Model, Sharpe Measure and Treynor Measure

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Using CAPM and Fama-French Models to Evaluate Stock Performance

Evaluation of Risk and Return Measures using CAPM Model

Risk Management Model for Desklib - Analysis of CAPM, Systematic Risk, Alpha, Validity of Model, Sharpe Measure and Treynor Measure

End of preview

Using CAPM and Fama-French Models to Evaluate Stock Performancelg...

Evaluation of Risk and Return Measures using CAPM Modellg...

Using CAPM and Fama-French Models to Evaluate Stock Performance

Evaluation of Risk and Return Measures using CAPM Model