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Extra resources for Portfolio Theory & Financial Analyses
Irrespective of whether financial policies matter, for the moment all we need say is that for all-equity firms with full dividend distribution policies, there is an academic consensus that business risk equals systematic (market) risk and is not diversifiable. com 62 Portfolio Theory & Financial Analyses The Market Portfolio Review Activity Given our analysis of Markowitz efficiency and the Separation of Tobin, briefly summarise the implications for optimum portfolio management? 4 Summary and Conclusions Markowitz, explains how investors or companies can reduce risk but maintain their return by holding more than one investment providing their returns are not positively correlated.
The amount borrowed would equal the ratio of the line rf – M: M-P. 2 The CML and Quantitative Analyses We have observed diagrammatically that if capital markets are efficient, all rational investors would ideally hold the market portfolio (M) irrespective of their risk attitudes. By finding the point of tangency between the efficiency frontier (F-F1) and the capital market line (CML) then borrowing or lending at the risk-free rate (rf ) it is also possible for individual investors to achieve a desired balance between risk and return elsewhere on the CML.
Activity 1 To illustrate the purpose of the CML, let us assume that historically an investment company has passively held a market portfolio (M) of risky assets. This fund tracks the London FT-SE 100 (Footsie) on behalf of its clients. However, with increasing global uncertainty the company now wishes to manage their portfolio actively, introducing risk-free investments into the mix and even borrowing funds if necessary. 2 for reference, briefly explain how the company’s new strategy would redefine its optimum portfolio (or portfolios) if it is willing to borrow up to point P?
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