تكوين وإدارة محافظ الأوراق المالية وصناديق الاستثمار

1

جامعة القاهرة كلية االقتصاد والعلوم السياسية

قسم االقتصاد

2

Markowitz

3

Objectives

Constraints

1-

2-

4

3-

4-

5-

6-

Security Analysis

1-

Fundamental Analysis

Technical Analysis

Top – Down Approach

Bottom – Up Approach

2-

(Systematic Risk)

5

(Unsystematic Risk)

1- Country Risk

2- Sector Risk

3- Company Risk

Country Risk

-أ‌

-ب‌

6

-ج‌

-د‌

-ه‌

-و‌

Sector Risk

Company Risk

Simple or Naïve Diversification

Not Putting All Eggs in one Basket

Spread The Risk

7

1-

2-

3-

4-

(Income Stocks )

8

(Growth Stocks )

(Value Stocks)

Venture

Capital

Portfolio Analysis

Optimal Portfolio

Dominance

Principle

1-

2-

9

Portfolio Selection

Utility function

1-

2-

Rational

Asset Allocation

The Optimum Mix of Asset Classes

1-

2-

3-

4-

(Aggressive)

(Conservative)

11

‌

11

Performance Evaluation

:

.

:

.

.

.

12

.

.

:

1

.

2

.

.

.

- 3 :

. .

.

13

Efficiency

Harry Markwitz

Dominance Principle

1-

2-

Portfolios

Portfolio

Nodominated Assets

14

15

Efficient PortfoliosInvestment Assets

Same Risk Class

Efficient Portfolios Efficient Set

Efficient Frontier

Opportunity of Feasible Set

Efficient Set Theorem (EST)

1-

2-

Efficient SetEfficient Frontier

(EST)Efficient Set

16

Efficient Set Theorem

Efficient SetEfficient portfolios

Optimal Risky PortfolioRisk Averse

17

Risky Assets

18

Covariance

Same Investment Horizon

Risky Investment

Price Risk

Interest Rate Risk

Reinvestment Rate Risk

X X

19

X

Efficient Set

21

نموذج تسعير األصول الرأسمالية

Efficient Set

Capital Asset Pricing

Model

W.Sharpe

H.Markwitze Efficient Frontier Efficient Set

1-

Skewed

CAPM

Central Limit

TheoremSkewed

2- One-period

3-

4- Risk Averse

5-

6-

7-

8- Homogeneous Expectations

9-

21

Perfect

Market Portfolio

Capital Market Line (CML)

22

Risk Averse

Separation Theorem

23

Security Market Line (SML)

24

SML

SML

SML

25

SML

Expected Dividend YieldExpected Capital Gains

Yield

26

Undervalued

Overvalued

Security Market Line (SML)

27

28

مفهوم صناديق االستثمار

: نشأة وتطور صناديق االستثمار

Closed-end

The Trust

Open-end

Liyods FirstFonds

Unit

Investment Trust

Mutual FundsOpen Investment

SicavFCP

SicavSicav

SicavFCP

Quantitative

29

: اديق االستثمار أنواع صن

Open-End Funds

Closed - End Funds

(OTC)

Income Funds

Blue Chip

Growth Funds

31

Partially Income, Partially Growth

Income Growth

Growth Income

Dual - Purpose Funds or Dual Funds

Income Stocks

Growth StocksCapital Gains

Common Stock Funds

31

Bond Funds

Convertible Bonds

Balanced Funds

Diversified Funds

32

Money Market Funds

OvernightTreasury Notes

Certificates Deposits

Liquidity Risks

Net Asset Value

Guarantee Risks

Indexed Funds

Standard & Poors Index 500FTSE Shares Index 100

33

Insured Funds

Option Theory

Portfolio Insurance

Composite Funds

Funds of Funds

Super Funds

Speculation Funds

Speculation Funds in Future Markets

Hedging Funds

Venture Capital Funds

Islamic Funds

34

35

Management Fees

Performance FeesBenchmark

36

37

1-

2-

3-

4-

5-

6-

38

39

B

RF

= RF

F rfF

F

R - RS =

SF

RF

R rf

F

\

i (X - X ) 2

n - 1

Xi I

X\

F rfF

F

R - R T =

B

BF

F FMF

M

*R B =

F

F

Rrf

41