Ses 16: The CAPM and APT II
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- čas přidán 9. 05. 2013
- 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
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His teachings are still educating students in 2023.
That's literally me going through the course after failing CFA Level 1 to get more insight before I re-attempt.
The intuition from around 50:30 is the best part of this lecture
I wish the more advanced courses also had video lectures
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.
"now we may have unshaven geeks" @ 0:23:59 how right he was!
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.
Such a great lecturer! Thank you!
brilliant! thank you
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
Will be the Investments 433 course available? Or might be it is already accessible?
Not the videos unfortunately, lecture notes are at
ocw.mit.edu/courses/15-433-investments-spring-2003/pages/lecture-notes/
Does anyone know if the portfolio he showed is the Madoff SSC portfolio? It looks very very similar to the Madoff portfolio.
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?
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
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
"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.
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 Tangency Portfolio*
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.
@@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.
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.
Great to see Kanye in the MIT class
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?
Alex Uriatin beta equals covariant with between asset and market, decided by variance of the market
기본정리 확실하게 뭔가 이해를 하려면 기본정리가 되야한다
❤️
Slide 13 - Ponzi risk?
20:04
I didn't get it...
49:39
50:10
HELL RED