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Portfolio Management L2
Lessons
CFA Level 2: Portfolio Management – Introduction
Mean-Variance Analysis Assumptions
Expected Return and Variance for a Two Asset Portfolio
The Minimum Variance Frontier & Efficient Frontier
Diversification Benefits
The Capital Allocation Line – Introducing the Risk-free Asset
The Capital Market Line
CAPM & the SML
Adding an Asset to a Portfolio – Improving the Minimum Variance Frontier
The Market Model for a Security’s Returns
Adjusted and Unadjusted Beta
Multifactor Models
Arbitrage Portfolio Theory (APT) – A Multifactor Macroeconomic Model
Risk Factors and Tracking Portfolios
Markowitz, MPT, and Market Efficiency
International Capital Market Integration
Domestic CAPM and Extended CAPM
Changes in Real Exchange Rates
International CAPM (ICAPM) – Beyond Extended CAPM
Measuring Currency Exposure
Company Stock Value Responses to Changes in Real Exchange Rates
ICAPM vs. Domestic CAPM
The J-Curve – Impact of Exchange Rate Changes on National Economies
Moving Exchange Rates and Equity Markets
Impacts of Market Segmentation on ICAPM
Justifying Active Portfolio Management
The Treynor-Black Model
Portfolio Management Process
The Investor Policy Statement
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