Ses 16: The CAPM and APT II

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Ses 16: The CAPM and APT II

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11 жыл бұрын

MIT 15.401 Finance Theory I, Fall 2008
View the complete course: ocw.mit.edu/15-401F08
Instructor: Andrew Lo
License: Creative Commons BY-NC-SA
More information at ocw.mit.edu/terms
More courses at ocw.mit.edu

Пікірлер: 33

@rahulraj_yt Жыл бұрын

His teachings are still educating students in 2023.

@malakia_m 11 ай бұрын

That's literally me going through the course after failing CFA Level 1 to get more insight before I re-attempt.

@basi4869 7 жыл бұрын

The intuition from around 50:30 is the best part of this lecture

@Pabloparsil 3 жыл бұрын

I wish the more advanced courses also had video lectures

@crashtheimf 2 жыл бұрын

Portfolio optimizer is a cool tool with limitations such that it won't pre-screen results for you but you can input your favorite stocks and it will give any ratio on the tangent line.

@joeberner2004 4 жыл бұрын

"now we may have unshaven geeks" @ 0:23:59 how right he was!

@xxyyzz8464 11 ай бұрын

At 19:33, it’s also important to note that the reason covariances matter more in most portfolios is because there is correlation. In a portfolio of nearly uncorrelated or uncorrelated assets, it doesn’t matter that there are far more covariance terms because they are all near 0 or identically 0.

@anna212em 4 жыл бұрын

Such a great lecturer! Thank you!

@newyorksharp 10 жыл бұрын

Zeris & Co, PC I am a CPA, Law and graduate LL M courses in Tax. Will be going to William & Mary, MBA in January Great job!! Thank you!! I really enjoyed I am also originally from Queens

@khadijasaadallah5050 4 жыл бұрын

brilliant! thank you

@ja7857 4 жыл бұрын

"If markets are in equilibrium, all of this beautiful math applies". True, but all of the REAL money is to be made when markets are not in equilibrium; when they are highly volatile and changing state.

@smplinvestmentsllc9915 3 жыл бұрын

Does anyone know if the portfolio he showed is the Madoff SSC portfolio? It looks very very similar to the Madoff portfolio.

@nikolaimanushkin3107 3 жыл бұрын

Will be the Investments 433 course available? Or might be it is already accessible?

@michaellorke1980 2 жыл бұрын

Not the videos unfortunately, lecture notes are at ocw.mit.edu/courses/15-433-investments-spring-2003/pages/lecture-notes/

@abrahamgomez653 2 жыл бұрын

Technical analysis is rarely taught at colleges which gives us a extra layer of market behavior. At least how volume and charting helps us understand more or less the behavior of assets.

@Axceed1 9 жыл бұрын

Hi I really love these videos but I want to make sure something, Did Andrew derive the CAPM in the video? I feel like there's an awkward jump between the capital market line and the security market line

@Axceed1 9 жыл бұрын

Axceed1 Tangency Portfolio*

@klam77 6 жыл бұрын

he said (last lecture) that "it's very compelling", and you ahve to take 433, the undergrad investments course, to delve into a formal PROOF (involving matrix algebra) of CAPM for the security market line.

@ja7857 4 жыл бұрын

@@klam77 15.433 is NOT an undergraduate course, it's a grad course: ocw.mit.edu/courses/sloan-school-of-management/15-433-investments-spring-2003/. Plus, Andrew said that these lectures were for first-year MBA students and always refers to 15.433 as the "next" course.

@clydetan214 5 жыл бұрын

On slide 18, assuming that the regression is ran on excess returns, shouldn’t the intercept (1.6% for the case of Biogen) be the monthly alpha? Anyone have any idea how 3.7% was derived?

@lucasfoliattideazevedo4445 2 жыл бұрын

Given that alpha is the excess of return from CAPM: alpha+beta*(R_m-R_f) = R_i-R_f => R_i = beta*R_m + alpha+R_f*(1-beta) so, the intercept is equal to: intercept = alpha + R_f*(1-beta) => 1,6 = alpha - 2,1 so alpha = 3,7

@crashtheimf 2 жыл бұрын

Does anyone know if a stock screener that illustrates in real time all stocks over and under the line. It would make buying and selling a snap

@videostowatchintoilet-pr2pn 3 ай бұрын

Great to see Kanye in the MIT class

@user-st6is9ml4x 3 жыл бұрын

20:04 I didn't get it...

@HonestFranklin 3 жыл бұрын

기본정리 확실하게 뭔가 이해를 하려면 기본정리가 되야한다

@alex_8704 8 жыл бұрын

If I'm not wrong beta equals correlation coefficient times stock SD divided by market SD. The slide 12 (with the highest beta of 1.8) assumes that the market volatility is as low as 20 / 1.8 % = 11.1 %. It seems too low, doesn't it?

@rosyxu6639 7 жыл бұрын

Alex Uriatin beta equals covariant with between asset and market, decided by variance of the market